含重置条款的或有可转债路径分解式定价

Pricing of Resetable CoCos Based on Path Decomposition

为了解决或有可转债在长期没有进行债转股的情况下,可能会出现的由于发行方无力支付高额息票而被迫对债券进行赎回的问题,设计了一种包含重置条款的或有可转债。首先,通过对债券存续期内标的股票价格可能发生的路径进行分解,分析了此类条款下债券价值的路径依赖特征;在此基础上,进一步确定了回售边界以及债券价值。通过数值分析得出,本文设计的或有可转债的价值低于相同参数下的不含任何附加条款的或有可转债的价值,并且条款的可用性与目前市场上普遍存在的可赎回或有可转债相比存在一定的优势。敏感度分析结果显示,债券价值与股价年波动率之间呈负相关关系,与修正条款执行日之间呈正相关关系,因而宜根据对未来市场风险的预测来选取适当的条款执行日。

If contingent convertible bonds(CoCos)have not been changed to equity for a long time,the issuer may not be able to pay high coupons and will be forced to redeem the bond.In order to solve the problem,this paper designed a resetable CoCos(RCCs).First,it analyzed the path dependence characteristics of bond value through the decomposition of possible paths of the stock price.Then,it calculated the put-back boundary and bond value.The numerical analysis show that the value of RCCs is less than the that of CoCos under the same parameters and the usability of its clauses has certain advantages compared with the redeemable CoCos which are prevalent in the current market.The sensitivity analysis indicates that there is a negative correlation between the bond value and the annual volatility of the stock price,and a positive correlation between the bond value and the resetable date.Therefore,it is necessary to select the appropriate resetable date based on the prediction of future market risk.