On June 7th, 2017 the Single Resolution Board transferred all shares and capital instruments of Banco Popular to Banco Santander. CoCo bond investors saw the value of their initial investment decimated and were painfully remembered of the risk embedded in the high coupon of the CoCo bond. They bought the cake and had to eat it. We took the opportunity perform a sanity check of our risk models in this post-mortem analysis.

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