Hybrid Securities

<p>PREFACE<br/>1. THE DEFINITION OF HYBRID SECURITIES 9<br/>1.1. Introduction<br/>1.2. Core features of hybrids<br/><br/>2. EVOLUTION OF HYBRIDS <br/>2.1. Preferred shares <br/>2.2. Perpetual bonds <br/>2.3. Subordinated bonds <br/>2.4. Convertible bonds <br/>2.5. Reverse convertible bonds <br/>2.6. Mandatory convertible bonds <br/>2.7. Catastrophe (CAT) Bonds and Catastrophe Mortality (CATM) Bonds <br/>2.8. Basel I and Basel II capital instruments <br/>2.9. Solvency I capital instruments <br/>2.10. Basel III capital instruments <br/>2.11. Bail-in bonds <br/>2.12 Comparison of different conversion into equity mechanisms<br/>2.13 Conclusions<br/>3. LEGAL FRAMEWORK FOR FINANCIAL HYBRIDS IN THE BANKING INDUSTRY <br/>3.1. Transposition of Basel III <br/>3.2. Bank Resolution and Recovery Directive <br/>3.3. Banking Union framework <br/>4. CRD IV/CRR PACKAGE LEGAL FRAMEWORK <br/>4.1. Overview <br/>4.2. Common Equity Tier 1 financial instruments <br/>4.3. Deduction mechanism <br/>5. CRR ADDITIONAL TIER 1 FINANCIAL INSTRUMENTS <br/>5.1. General remarks <br/>5.2. Maturity <br/>5.3. Deferral <br/>5.4. Subordination <br/>5.5. Contingent conversion and write-down <br/>6. CRR TIER 2 BONDS <br/>6.1. General remarks <br/>6.2. Maturity <br/>6.3. Regulatory amortization of T2 financial instruments <br/>6.4. Deferral <br/>6.5. Subordination <br/>6.6. Contingent conversion (write-down) <br/>7. THE ROLE OF HYBRID SECURITIES IN THE BRRD <br/>7.1. Overview <br/>7.2. Early intervention measures 7.3. Resolution <br/>7.4. Bail-in tool <br/>8. HYBRID SECURITIES ISSUED BY INSURERS <br/>8.1. General remarks <br/>8.2. Tier 1 hybrid securities <br/>8.3. Tier 2 and Tier 3 hybrid securities <br/>9. CORPORATE HYBRIDS <br/>9.1. Characteristics of corporate hybrids <br/>9.2. Monetizing treasury shares of MOL through issue of perpetual exchangeable bonds via magnolia finance ltd ('Transaction') <br/>10. ISSUANCE OF HYBRIDS <br/>11. PUBLIC OFFERING AND ADMISSION TO TRADING <br/>11.1. Overview <br/>11.2. Scope of the Prospectus Directive <br/>11.3. Financial hybrids as 'non-equity securities' <br/>11.4. Obligation to publish a prospectus <br/>11.5. Stand-alone issue vs. debt programme <br/>11.6. Responsibility attached to prospectus <br/>11.7. Disclosure requirements <br/>12. REGULAR AND TIMELY ONGOING DISCLOSURE 86<br/>12.1. Overview <br/>12.2. Transparency Directive <br/>13. FINANCIAL INTERMEDIATION <br/>13.1. Overview <br/>13.2. MiFID <br/>13.3. MiFID II/MiFIR <br/>14. NON-EEA COCOS <br/>14.1. Overview <br/>14.2 Switzerland <br/>14.3. The United States <br/>14.4. BRASIL <br/>14.5. CHINA <br/>14.6. BASEL III-COMPLIANT SUKUK <br/>15. BONDS CREDIT RISK MODELING <br/>15.1 Introduction <br/>15.2 Bond pricing – stochastic approach <br/>15.3 Credit spreads<br/>15.4 The probability of default <br/>16. CONTINGENT CONVERTIBLE BONDS PRICING <br/>16.1. Introduction <br/>16.2. Assets dynamics modeling<br/>16.3. CoCo pricing with a binomial model<br/>16.4. Credit derivatives method <br/>16.5. Equity derivatives method <br/>16.6. The Deutsche Bank CoCos pricing – a case study <br/>17. STRUCTURAL MODEL FOR CORPORATE HYBRID VALUATION<br/>17.1. The model<br/>17.2. Last maturity case <br/>17.3. Valuation of deferrable coupons <br/>Appendix <br/>18. HYBRID SECURITIES' IMPACT ON RISK <br/>18.1 Overview <br/>18.2. Impact of new CoCos on issuer's solvability<br/>18.3. Introduction to market contagion <br/>18.4. Market contagion – definitions <br/>18.5. A framework for market contagion modeling <br/>18.6. Contagion at the bond market <br/>REFERENCES <br/></p>