Loss absorption by capital instruments RT1 CoCos, Tier 2 and Tier 3 on the grounds of Solvency II and IRRD
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.
Keywords:
IRRD , resolution , Solvency II , CoCos , Restricted Tier 1 , RT1 , capital instrumentsJEL Codes
G21, G28Download files
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Vol. 90 No. 1 (2023)
Published: 2023-04-19
10.26354

This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Język Polski
English