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von Furstenberg, George M
CESifo forum, 10/2014, Volume: 15, Issue: 3Journal Article
CoCos, or simply cocos, are a promising form of hybrids first issued in 2009 by major West-European banks. They are contingent convertible debt securities that convert automatically into common equity when a regulatory capital ratio has fallen to its trigger level. For high-trigger cocos this level is reached when the book value of common equity tier 1 (CET1) has fallen to 7% of risk-weighted assets (RWA) as defined under the Basel III capital-requirements framework. At that point the bank is still a going concern and expected to recover. High-trigger cocos, which are the focus of this article, are dedicated to crisis preparedness and the recovery process.
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