SDC Platinum & Coco bonds

Contingent Convertible Bonds (Coco bonds) are a relatively new financial instrument that are used by banks (among others) to meet current capital requirements without running too much risk compared to traditional bonds or convertible bonds. A Coco bond can be converted into regular equity. Below follow two defintions:

Wikipedia definition:
A contingent convertible bond (CoCo), also known as an enhanced capital note (ECN) is a fixed-income instrument that is convertible into equity if a pre-specified trigger event occurs.

Investopdia definition:
Contingent convertibles (CoCos) refer to a security similar to a traditional convertible bond in that there is a strike price (the cost of the stock when the bond converts into stock). What differs is that there is another price, even higher than the strike price, which the company’s stock price must reach before an investor has the right to make that conversion (known as the “upside contingency”).

The COCO bond data is available in the SDC Platinum database called Global New Issue. It requires a combination search of Security Type and Transaction Type to get all the data from both the Equity databases and Bonds databases.

  • Security Type: Thomson Reuters code for the type of security being offered
  • Transaction Type: Similar to security type. Itemizes the major characteristics of the issue. Data item is useful for searching all debentures. Rather than having to choose all security types within security type that have debenture in the security type, this can be used to choose an overall security type.

The search in SDC goes as follows:

1) Start up SDC and go to the tab with Global New Issue databases

2) Select both the Equity and Bonds databases. This is necessary because Coco bonds can be found in both types of part databases:

3) For the example I searched all years of the databases. Now I use the variable Security Type to narrow down to type 2006 = Coco bonds. This variable applies to the Equity databases. See:

4) Now use the variable Transaction type to search for Coco bonds. This variable searches in the Bonds databases. See:

When you select the Transaction type you need a question will pop up asking you if this search item should be used in all part databases, even though not applicable. Reply no to this question to avoid getting inaccurate data:

5) When the search is run the result will cover both Equity and Bond databases. I combined the variables with USE and logical operators. See a previous post for an example of how to do this. Result:

Important: The amount of Coco bonds in this result is not large: approximately 260 (at this point in time). Based on papers from the past I am unsure if the SDC covers the whole market where Coco bonds are concerned. According to the Thomson Reuters helpdesk, however, these are the only options to get Coco bonds from their SDC databases. I tried using alternate keywords like Enhanced Capital Note or ECN but was unable to find more. Possible alternatives for finding data on Coco bonds are: the Dealscan database or Bloomberg.

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