You're going to hear a lot about them - maybe - for the same reason you had to learn what a CDO or a ninja loan is. Financially speaking, a CoCo bond is a colossally bad idea made alluring through the application of usurious interest rates. Usurious interest rates are great when you're earning them and really really shitty when you aren't anymore. And, considering the lack of long-term memory and utter opacity of the bond market, chances are good that in addition to the shit Lloyds and Deutsche Bank are dealing with right now, everyone else will, too.

Herein lies a MASSIVE problem: Risk calculations are performed as if the risk associated with one asset is decoupled from the risk of seemingly unrelated assets. We should have learned back in 2007-9 that risks are not independent, especially when we put layers upon layers of debts, equities, derivatives, etc, that are all based on the same underlying asset (in the case of a bank, of course, this is its deposits and loans, which represent for the majors about 1% of their business).

In order to truly understand risk, we would need a super computer model that could account for all the information of the financial system, which is of course completely impossible, given that people issuing securities clearly often don't understand them, let alone me or you.

Thus I leave you with James Carville:

I used to think if there was reincarnation, I wanted to come back as the president or the pope or a .400 baseball hitter. But now I want to come back as the bond market. You can intimidate everybody.