01855cas a2200241 a 4500 AALejournalIMF019190 230101c9999 xx r poo 0 0eng d 5.00 USD 9781498312080 1018-5941 BD-DhAAL BD-DhAAL Santos, Andre. Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks? / Andre Santos. Washington, D.C. : International Monetary Fund, 2019. 1 online resource (30 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2019/099 Full text available on IMF http://elibrary.imf.org/view/journals/001/2019/099/001.2019.issue-099-en.xml IMF e-Library