This paper studies the senior unsecured bondholders’ bail-in expectations and market monitoring following bail-in legislative events aimed at introducing new tools for subordination. We measure bail-in expectations using a difference in differences approach that compares the reaction to bail-in events of senior unsecured bonds to the reaction of non-bailinable bonds. Similarly, we measure senior unsecured bondholders’ monitoring activity by using a triple differencing analysis that compares the yield-risk sensitivity reaction of senior unsecured bonds with respect to that of non-bailinable bonds. Our results indicate unaffected bail-in expectations by senior unsecured bondholders who, accordingly, do not enhance their pricing of banks’ risk.

本文研究了高级无担保债券持有人的自救预期和市场监控，目的是引入新的从属工具。我们使用差分法来衡量自救预期，该方法将高级无担保债券对自救事件的反应与不可自救债券的反应进行比较。同样，我们通过使用三重差分分析来衡量高级无担保债券持有人的监督活动，该分析比较了高级无担保债券与不可偿还债券的收益风险敏感性反应。我们的结果表明高级无担保债券持有人的自救预期未受影响，因此他们不会提高对银行风险的定价。