Blog posts by Gergely Szalka
Mar. 18, 2019
Banco Santander announced it would extend — i.e., not call — its additional-tier-one contingent-convertible (coco) bond. Was the market caught off guard?
Nov. 30, 2018
Is my convertible bond more like a stock or a bond? How can I identify convertible bonds offering protection from rising rates?
Feb. 16, 2018
The recent surge in volatility took some investors by surprise: The level of the VIX doubled in a day, and put an end to some strategies that involved short selling of the VIX. But larger exposures to rising volatility may be hiding elsewhere, including in volatility targeting and risk-parity strategies designed to better balance risk across asset classes. We stress tested potential scenarios to explore the vulnerabilities.
Sep. 18, 2017
Convertible contingent securities — known as “CoCo bonds”-- are a popular form of hybrid debt, but they can be hard to value when issuers head into troubled waters. These securities are a form of risky debt (typically issued by European financial institutions) that convert to equity when a predetermined trigger is met, such as when the issuer’s capital or balance sheet plunges in value.