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After the beginning of the credit and liquidity crisis, financialinstitutions have been considering creating a convertible-bond type contractfocusing on Capital. Under the terms of this contract, a bond is converted intoequity if the authorities deem the institution to be under-capitalized. Thispaper discusses this Contingent Capital (or Coco) bond instrument and presentsa pricing methodology based on firm value models. The model is calibrated toreadily available market data. A stress test of model parameters is illustratedto account for potential model risk. Finally, a brief overview of how theinstrument performs is presented.

CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models