On April 26, 2010, the U.S. Treasury had 163 trading days to sell a $37 billion dollar stake of 7.7 billion shares in Citigroup. Citigroup's stock price on April 23, 2010, was well above the U.S. Treasury's “break even” price of $3.25. The U.S. Treasury announced that it planned an...

On September 17, 2009, Boston Private Financial Holdings (BPFH) sold its Coral Gables, Florida based Gibraltar Private Bank & Trust subsidiary for $93 million. On October 27, 2009, Scott Rothstein fled to Morocco on a private jet before turning himself in to authorities. Mr. Rothstein has...

This paper finds that banks that offered lower opening bids were rewarded with significantly lower warrant repurchase prices in transactions that raised $2.856 billion in 2009. These results were scaled by third-party consultants' and the Congressional Oversight Panel's estimates of the...

On December 10, 2009, the auction of JP Morgan Chase's warrants raised gross proceeds of $950 million, topping the previous warrant auction record of the 1983 Chrysler warrants in real and nominal terms. This paper analyzed the results from the secondary market trading on December 9, 2009, of...

The U.S. Treasury began auctioning its warrant holdings in December 2009. Nevertheless, this was not the first large auction of warrants. The U.S. Treasury auctioned its holdings of warrants from the bailout of Chrysler Motors in 1983. That warrant auction resulted in an implied volatility of...

This paper formally models the Public Private Investment Partnership (PPIP), a plan for U.S. government sponsored purchases of distressed assets. This paper solves both the problem of the asset manager buying toxic assets and the banks selling toxic assets. It solves for the fair market value of...

Under the Capital Purchase Program (CPP), U.S. taxpayers hold warrants issued by over 270 publicly traded banks. The provisions of the CPP allow for half of the warrants to be cancelled if the recipient bank issues enough preferred or common stock by the end of 2009. This paper develops a model...

In this paper we start with the introduction of two pricing models to value contingent convertibles. One model ("rule of thumb") has its roots in credit derivatives pricing while the second model implements an equity derivatives approach. From these models we then quantify the equity sensitivity...

We discuss the current funding practice of banks, looking at the typical capital structure of banks, examining where CoCos will likely fit within this structure and giving examples of recently issued CoCos. We explore the key design choices of bank CoCos analysing the potential problems that...

We use the option-based Merton (1974) model to derive the implicit probability of default of 218 banks in 24 emerging economies in the period 1995-2009 from their stock prices. This solvency indicator is well comparable between banks in different countries since it does not require the selection...