Distance to a contingent-convertible trigger calculator
The headroom, and why the trigger is rarely what fires.
Interactive: distance to a contingent-convertible triggerMedium
An AT1 bond converts or writes down when the issuer's capital ratio falls to a stated level. This measures how far away that is, both in percentage points and in the losses it would take to get there.
- Common equity
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- Buffer above the trigger
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- Headroom
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- Losses to reach it
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- As a share of RWA
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- Running yield
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- Reading
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- The important caveat
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The caveat line is the whole lesson. The mechanical trigger is almost never what fires: coupon cancellation is discretionary and comes earlier, supervisory intervention comes earlier still, and in 2023 an entire AT1 stack was written off while shareholders below it received stock — because the documentation said so. See the AT1 write-down and the bail-in waterfall.
The idea behind it
This calculator belongs to Credit Derivatives, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
Instruments it applies to
- Contingent Convertible Bond — A bank bond with a self-destruct clause: it pays like debt until the bank stumbles — then it becomes equity, or nothing.
More calculators from Credit Derivatives
- Spread ⇄ default probability — the credit triangle.
- Spread-duration P&L — the credit trader's mental arithmetic.
- Tranche loss calculator — where a portfolio loss lands in the stack.
- CDS–bond basis — the classic relative-value gap.
- Expected loss and the breakeven spread — default probability times the loss when it happens.
- Altman Z-score — the 1968 distress screen, still in use.
- Downgrade risk, not just default risk — most credit loss is the first, not the second.