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Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks?

Author: Andre O Santos; IMF e-Library - York University.
Publisher: Washington, D.C. : International Monetary Fund, 2019.
Series: IMF Working Papers; Working Paper, no. 19/99.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
This paper analyzes the capital structure of private asset managers in which the acquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles (CoCos) placed with investors. The paper develops a model based on NPL transfer prices and residual recovery rates to assess capital structures consisting of CoCos and equity. The CoCos would contain put and call options to write down losses and write up  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print Version:
Santos, Andre O.
Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks?.
Washington, D.C. : International Monetary Fund, 2019
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Andre O Santos; IMF e-Library - York University.
ISBN: 149831208X 9781498312080 9781498314404 1498314406
OCLC Number: 1104881020
Description: 1 online resource (30 pages)
Series Title: IMF Working Papers; Working Paper, no. 19/99.
Responsibility: Santos, Andre O.

Abstract:

This paper analyzes the capital structure of private asset managers in which the acquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles (CoCos) placed with investors. The paper develops a model based on NPL transfer prices and residual recovery rates to assess capital structures consisting of CoCos and equity. The CoCos would contain put and call options to write down losses and write up profits, respectively, arising from liquidation and restructuring procedures. The paper concludes that the protection mechanism provided by debt write-downs embedded in CoCos and the incentives to investors provided by debt write-ups could help bridge the gap between Portuguese banks' NPL bid prices and private equity firms' ask prices.

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