The determinants of banks' AT1 CoCo spreads

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2022
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Oster, Philippe
Peter, Franziska J.
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European Financial Management. Wiley. 2022, 28(2), pp. 567-604. ISSN 1354-7798. eISSN 1468-036X. Available under: doi: 10.1111/eufm.12314
Zusammenfassung

We conduct a comprehensive pricing study of additional tier 1 ​(AT1) contingent convertible (CoCo) bonds issued by Eurozone banks. By accounting for an extensive set of pricing determinants related to the regulatory framework, the security design and key market variables, we show that the regulatory concept of the maximum distributable amount (MDA) introduced in 2016 has a significant and economically meaningful impact on CoCo spreads. Furthermore, we examine whether the market stress induced by the COVID-19 pandemic influences the determinants of CoCo spreads. Our results show that the pricing factors remain stable throughout tranquil and volatile periods.

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ISO 690KIND, Axel, Philippe OSTER, Franziska J. PETER, 2022. The determinants of banks' AT1 CoCo spreads. In: European Financial Management. Wiley. 2022, 28(2), pp. 567-604. ISSN 1354-7798. eISSN 1468-036X. Available under: doi: 10.1111/eufm.12314
BibTex
@article{Kind2022deter-54229,
  year={2022},
  doi={10.1111/eufm.12314},
  title={The determinants of banks' AT1 CoCo spreads},
  number={2},
  volume={28},
  issn={1354-7798},
  journal={European Financial Management},
  pages={567--604},
  author={Kind, Axel and Oster, Philippe and Peter, Franziska J.}
}
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