Countercyclical Contingent Capital (CCC): Possible Use and Ideal Design
Countercyclical Contingent Capital (CCC): Possible Use and Ideal Design
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DOI：
10.2139/ssrn.1721512
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发表时间：
2010-09
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影响因子：
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通讯作者：
G. de Martino;Massimo Libertucci;Mario Marangoni;Mario Quagliariello
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文献类型：
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作者：
G. de Martino;Massimo Libertucci;Mario Marangoni;Mario Quagliariello
或有资本i？1/2当预定义事件发生时转换为股权的任何债务工具i？作为一种可行的工具，它使银行能够在需要时以比普通股相对更实惠的价格筹集资本，这一点越来越受到关注。虽然辩论的重点是具有系统重要性的金融机构的或有资本，但本文件集中讨论其可能用于满足实施反周期缓冲所产生的资本需求。我们建议引入基于双重触发的逆周期或有资本（CCC）。这两个触发因素的相互作用将决定准违约状态。当金融体系同时面临总体问题和个别银行的困境时，就需要进行转换。#21518;，但仍处于持续经营状态。二分之一显示出弱点。在此基础上，本文测试了不同的双重触发机制在过去是如何工作的，并讨论了转换机制和审慎处理的最佳设计。
Contingent capital i?½ any debt instrument that converts into equity when a predefined event occurs i?½ has received increasing attention as a viable tool for allowing banks to raise capital when needed at relatively more affordable prices than common equity. While the debate has focused on contingent capital for systemically important financial institutions, this paper concentrates on its possible use for covering capital needs arising from the implementation of countercyclical buffers. We propose the introduction of countercyclical contingent capital (CCC) based on a double trigger. The interaction of the two triggers would determine a quasi-default status. Conversion would be required when the financial system is simultaneously facing aggregate problems and the individual bank i?½ while still in a going concern status i?½ shows weaknesses. Building on this proposal, the paper tests how different double triggers would have worked in the past and discusses the optimal design of the conversion mechanism and prudential treatment.