CoCos And How They Trade – Bond Structure Aspects

CoCos And How They Trade - Bond Structure Aspects by @creditmacro

Cocos... such a catchy term yet utterly bewildering to those unfamiliar with the asset class.

Cocos have been around for some 7 years now but many will only have come across the term in the past couple of years as returns have outweighed other asset classes and sharpe ratios have looked nothing short of a fixed income investors dream.  The concept was first issued back in 2009 by Lloyds and their ECN bonds, a tier 2 structured debt, with the slightly less catchy name of Enhanced Capital Note which offered racey coupons varying from 6-16%.  As the market and regulation evolved we moved from ECNs to Tier 2...