加强AT1的持续经营作用：选择与权衡

Strengthening the going-concern role Rodrigo Coelho, Yvan Lengwiler, Kumar Rishabh and RastkoVrbaski FSI Briefs are written by staff members of the Financial Stability Institute (FSI) of the Bank for InternationalSettlements (BIS), sometimes in cooperation with other experts. They are short notes on regulatory andsupervisory subjects of topical interest and are technical in character. The views expressed in this This publication is available on the BIS website (www.bis.org). To contact the BIS Global Media and PublicRelationsteam,pleaseemailmedia@bis.org.Youcansignupforemailalertsat www.bis.org/emailalerts.htm. ©Bank for International Settlements 2026. All rights reserved. Brief excerpts may be reproduced ortranslated provided the source is stated. ISSN 2708-1117 (online)ISBN 978-92-9259-957-7 (online) Strengthening the going-concern role of AT1: options and Highlights •Additional Tier 1 (AT1) instruments are designed to operate as going-concern capital. In instanceswhere the issuer reaches the point of non-viability, these instruments also support an orderlyresolution of a gone concern.•Nonetheless, in practice, the effectiveness of AT1 Instruments in fulfilling their primary role asgoing-concern capital is undermined by low trigger thresholds, the discretionary nature ofactivation and insufficient incentives for recapitalisation. 1.Introduction Key to making the banking sector more resilient is ensuring that losses on bank balance sheets areabsorbed early enough. This principle led regulators in the aftermath of the Great Financial Crisis tocreate Additional Tier 1 (AT1) capital – a class of debt-like instruments that can help cushion shocks, like AT1 instruments absorb losses through two channels. First, an automatic trigger, typically linkedto the bank’s Common Equity Tier 1 (CET1) ratio falling below a predefined threshold, results in the bankwriting down or converting the instrument into equity, immediately improving the bank’s CET1 capitalposition. Second, bank management has broad discretion to cancel interest (coupon) payments toconserve capital. Beyond these going-concern mechanisms, AT1 instruments also carry a non-viability In practice, however, AT1’s going-concern function has not materialised. Current designfeatures mean that AT1 instruments rarely absorb losses while a bank is still viable, and markets do notprice them as if they will. The instruments have instead functioned primarily as gone-concern capital, The writedown of Credit Suisse’s AT1 instruments in March 2023 demonstrated this. Indeed, itwas only once the Swiss supervisory authority declared a viability event that Credit Suisse AT1instruments were written down. Prior to that, they did nothing to contribute to the firm’s recovery efforts,while continuing to distribute coupons. Moreover, the sharp repricing in AT1 instruments issued by otherbanks following the Credit Suisse event indicates that investors had not priced key state contingencies, The gap between design and function creates uncertainty rather than stability, an outcome thatis not viable from a prudential perspective. Against that background, policymakers are left with twobroad options. The first is to phase out AT1 entirely as regulatory capital. The Australian PrudentialRegulation Authority (APRA) has taken this path, concluding that AT1 does not fulfil a stabilising function The case for reform rests on whether a well designed AT1 can support early recapitalisation.When a bank is highly leveraged and its capital base is eroding, shareholders are reluctant to inject freshequity. Much of the value restored by new capital accrues to creditors through reduced default risk,while shareholders bear the full cost of issuance and gain only residually. This is the standard debtoverhang problem. Shareholders prefer to delay recapitalisation even when early action would increasethe value of the bank as a whole. Yet if failing to recapitalise results in AT1 conversion that transfers The incentive failure is one of several design shortcomings that prevent AT1 from functioningas going-concern capital. This paper examines whether they can be addressed. It is structured as follows:Section 2 outlines a framework to identify why AT1, as currently designed, behaves de facto as gone- 2.Why current AT1 design fails as going-concern capital 2.1What going-concern AT1 must achieve CET1 is the benchmark for loss absorption on a going-concern basis. CET1 is perpetual and never repaidoutside of liquidation. It immediately reflects a bank’s profits and losses and is therefore the first andmost direct buffer against losses. The effectiveness of debt instruments as going-concern capital hinges The Basel Framework requires that AT1 instruments classified as liabilities include specificstructural features that seek to emulate CET1. They must be perpetual, offer discretionary coupons and incorporate a mechanism for principal loss absorption, either through writedown or conversion