Title Portuguese:
Contingentes Conversíveis e seus Impactos na Otimização da Estrutura de Capital de Bancos Brasileiros sob Basileia III
Abstract:
Banks around the world maintain excess regulatory capital, whether to minimize capitalization costs or to mitigate risks of financial difficulties. However, it was only after the financial crisis of 2008 that the quality of capital gained greater importance among international regulators, through the Third Basel Accord (Basel III), which suggested a capital structure formed of the new equity and debt hybrid instruments, that is, Contingent Convertibles (CoCos), which have the main goal of recapitalizing banks automatically when they show signs of financial difficulties. Using the continuous-time structural model developed by Koziol and Lawrenz (2012), with December 2013 as a reference, this paper analyzes the capital structure of the 10 biggest Brazilian banks in terms of total assets, comparing their current structures - with only subordinated debts - with the structure proposed in Basel III, composed solely of contingent convertibles, with a view to verifying the influence of CoCos in banks’ risks and evaluating the effectiveness of this Basel III recommendation. Through the evidence obtained using the model mentioned, this paper’s main contribution is in demonstrating that the use of CoCos would optimize the capital structure of banks under the restrictions of Basel III, considering these are effective. If not, the automatic recapitalization of these instruments could be used for shareholders’ own benefit, thus increasing the likelihood of banks experiencing financial difficulties, which could cause a new financial crisis, like that which occurred in 2008.
Abstract Portuguese:
Os bancos do mundo todo mantêm excesso de capital regulatório, seja para minimizar custos de capitalização ou para mitigar riscos de dificuldades financeiras. No entanto, foi somente após a crise financeira de 2008 que a qualidade do capital ganhou maior importância entre os órgãos reguladores internacionais; isso se deu através do Terceiro Acordo de Basileia (Basileia III), no qual é sugerida uma estrutura de capital formada pelos novos instrumentos híbridos de capital e dívidas, isto é, os contingentes conversíveis (Contingent Convertible ou CoCos, na sigla em inglês), cujo principal objetivo é recapitalizar o banco automaticamente quando este apresentar sinais de dificuldades financeiras. Utilizando o modelo estrutural de tempo contínuo, desenvolvido por Koziol e Lawrenz (2012), e tendo como referência o mês de dezembro de 2013, o presente trabalho analisa a estrutura de capital dos 10 maiores bancos brasileiros em ativos totais, comparando suas estruturas atuais - apenas com dívidas subordinadas - com a estrutura proposta em Basileia III, composta apenas por contingentes conversíveis, visando verificar a influência dos CoCos nos riscos dos bancos e avaliando a eficácia dessa recomendação da Basileia III. Através das evidências obtidas ao se utilizar o referenciado modelo, a principal contribuição do presente trabalho é demonstrar que a utilização de CoCos otimizaria a estrutura de capital dos bancos sob a restrição de Basileia III, considerando que estas são eficazes. Caso contrário, a recapitalização automática desses instrumentos pode ser utilizada em benefício próprio dos acionistas, aumentando assim a probabilidade de dificuldades financeiras dos bancos, o que pode ocasionar uma nova crise financeira, como a que ocorreu em 2008.
ABNT Citation:
GOES, K. C.; SHENG, H. H.; SCHIOZER, R. F. Contingentes Conversíveis e seus Impactos na Otimização da Estrutura de Capital de Bancos Brasileiros sob Basileia III. Revista Contabilidade & Finanças, v. 27, n. 70, p. 80-97, 2016.
APA Citation:
Goes, K. C., Sheng, H. H., & Schiozer, R. F. (2016). Contingentes Conversíveis e seus Impactos na Otimização da Estrutura de Capital de Bancos Brasileiros sob Basileia III. Revista Contabilidade & Finanças, 27(70), 80-97.
DOI:
10.1590/1808-057x201501350
Permalink:
https://www.spell.org.br/documentos/ver/40595/contingent-convertibles-and-their-impacts-on-the-optimization-of-the-capital-structure-of-brazilian-banks-under-basel-iii-/i/en
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