KDI 한국개발연구원 - 경제정책정보 - 발간처별 목록 - 은행 - Bank of England - Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks?

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Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks?

Bank of England 2021.08.30
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We assess the impact of contingent convertible (CoCo) bonds and the wealth transfers they imply conditional on conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk-taking incentives by issuing CoCo bonds, when regulators reduce them through higher capitalisation ratios? While we test for, and reject sample selection bias, we show that CoCo bonds issuance has a strong positive effect on risk-taking behaviour, and so do conversion parameters that reduce dilution of existing shareholders upon conversion. Higher economic volatility amplifies the impact of CoCo bonds on risk-taking.

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