欧洲央行-或有可转换债务：是什么，应该是什么（英）-2026.1.pdfVIP

WorkingPaperSeries

RicardoCorreia,Contingentconvertibledebt:whatis

FranciscoJavierPoblaciónGarcía

andwhatshouldhavebeen

No3170

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank

(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

Abstract:

ThispaperdevelopsamodelofAT1CoCosandcorporatesecuritiesanalysingtheroleofCoCosas

replacementsofEquityorofDebt.Ourresultsshowthat,intermsofvaluecreation,CoCosperform

betterwhentheyreplacevanillacorporatedebtratherthanwhentheyreplacecommonEquity.

Moreover,weshowaswellthatalthoughdebtincreasestheprobabilityofbankruptcy,giventhe

couponsuspensionpossibility,withCoCostheprobabilityoffinancialdistressishigher.Ourpaper

alsohighlightstheconsiderablecomplexityofthisinstrument,somethingatoddswithitsroleasa

potentialsolutiontoafinancialcrisisinparttriggeredbylesscomplexsecurities.

JELCodes:K22,G01,G13,G21,G33

Keywords:CoCodebt,AT1Capital,RegulatoryUncertainty,ComplexSecurities.

ECBWorkingPaperSeriesNo31701

Non-TechnicalSummary

CoCosemergedintheaftermathofthe2008financialcrisisasaresponsetotheneedforgreater

financialstabilityandresilienceinthebankingsector.ThelogicbehindCoCosistoimprovetheloss-

absorbingcapacityofbankswithoutrequiringimmediateequityissuance.Byconvertingintoequity

intimesofdistress,CoCoshelptomaintainabankscapitaladequacy.

Wedevelopamodelthatcomprisesagovernmentandbanksinwhichthegovernmentmustkeep

banksoperatingevenifprivateshareholdersdecidetoaband