The determinants of banks' AT1 CoCo spreads
研究了欧元区银行AT1或有可转换债券的定价，发现2016年引入的最大可分配金额监管概念对利差有显著影响，且定价因素在疫情等市场波动期间保持稳定。
Abstract 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.