Mar 18, 2019

Santander’s coco extension: The new market norm? »

Imre Vörös , Gergely Szalka

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

Investing in convertible bonds when rates rise »

Gergely Szalka

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

Stress-testing risk-parity strategies »

Gergely Szalka

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

Don’t let CoCo bond risk sneak up on you »

Gergely Szalka

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.