We conduct a comprehensive pricing study of additional tier 1 ​(AT1) contingent convertible (CoCo) bonds issued by Eurozone banks. By accounting for an extensive set of pricing determinants related to the regulatory framework, the security design and key market variables, we show that the regulatory concept of the maximum distributable amount (MDA) introduced in 2016 has a significant and economically meaningful impact on CoCo spreads. Furthermore, we examine whether the market stress induced by the COVID-19 pandemic influences the determinants of CoCo spreads. Our results show that the pricing factors remain stable throughout tranquil and volatile periods.

中文翻译：

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银行 AT1 CoCo 价差的决定因素

我们对欧元区银行发行的额外一级 (AT1) 或有可转换 (CoCo) 债券进行全面定价研究。通过考虑与监管框架、证券设计和关键市场变量相关的大量定价决定因素，我们表明 2016 年引入的最大可分配金额 (MDA) 的监管概念对 CoCo 价差具有重大且具有经济意义的影响. 此外，我们研究了由 COVID-19 大流行引起的市场压力是否会影响 CoCo 价差的决定因素。我们的研究结果表明，定价因素在平静和波动期间保持稳定。