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Safe Bank

Published: 2023-04-18

Loss absorption by capital instruments RT1 CoCos, Tier 2 and Tier 3 on the grounds of Solvency II and IRRD

Kamil Liberadzki Logo ORCID , Marcin Liberadzki Logo ORCID
Section: Problems and Opinions
https://doi.org/10.26354/bb.6.1.90.2023

Abstract

The paper treats on loss absorbing capacity of issuers’ RT1, Tier 2 and Tier 3 subordinated debt.  The Solvency II loss absorbing capacity of RT1 CoCos (contingent convertibles) varies from that of IRRD proposal. The main objective was to set the insurer’s point of non-viability (PONV) and then compare it to RT1’s contractual trigger event in various scenarios of breaching Solvency II capital requirements. It turns out that contractual trigger is activated prior to reaching the PONV, so one may conclude that RT1s absorb losses on a going concern basis.

JEL Codes

G21, G28

Citation rules

Liberadzki, K., & Liberadzki, M. (2023). Loss absorption by capital instruments RT1 CoCos, Tier 2 and Tier 3 on the grounds of Solvency II and IRRD. Safe Bank, 90(1), 103–122. https://doi.org/10.26354/bb.6.1.90.2023

Cited by / Share

Vol. 90 No. 1 (2023)
Published: 2023-04-19


ISSN: 1429-2939
eISSN: 2544-7068
Ikona DOI 10.26354

Publisher
Bankowy Fundusz Gwarancyjny

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