兼具债转股和债务减记特征的或有可转债及其定价

Contingent Convertible Bond with the Properties of Debt-to-Equity and Write-Down and Their Pricing

兼顾债转股和债务减记特征,设计了一款双触发器或有可转债(DEWDCC)。当金融系统风险累积到较高水平时,DEWDCC赋予投资者将其转化为普通股权或减记债的权力,以避免因强制债转股对投资者带来过多的损失。其所采用的巴黎式外生阈值有望适度避免人为操纵债转股,且有利于向银行和投资者提供风险预警,而债务减记有助于及时有效地救助陷入困境中的银行。通过蒙特卡罗模拟分析,得到:DEWDCC的债转股属性和债务减记特征对资产转移的影响相互抵消,而不恰当的或有债券的发行不利于金融市场的稳定性;DEWDCC的债转股特征可有效增加银行的逆周期缓冲资本,进而增强其应对外部冲击的弹性;而债务减记特征可有效吸收银行损失并维持银行的正常运营。总之,转股选择权使得DEWDCC比普通CoCos更具吸引力。

A novel dual-trigger contingent hybrid bond,i.e.,DEWDCC,is designed and priced in this paper which can be converted into common equity,i.e.,debt-to-equity,or into an ordinary write-down contingent convertible bond,i.e.,write-down CoCo,when the financial systemic risk is accumulated to a dangerous level.A Parisian exogenous trigger is employed which is helpful in providing debt-issuer and investors with an early warning of the accumulation of the financial systemic risk,and in suppressing the motivation of manipulating debt-to-equity.Moreover,the write-down property with the endogenous trigger is helpful in absorbing the losses of the troubled bank in time.The Monte Carlo simulation is employed to analyze DEWDCC.The results indicate that the effects of two triggers on debt-to-equity and write-down are complex,and can even offset each other.Besides,inappropriate CoCos may lead to instability of the financial market.In addition,the property of debt-to-equity can provide the bank with an opportunity to increase countercyclical buffer capitals,while the write-down property can effectively maintain the subsisting of the troubled bank.In a word,the conversion option makes DEWDCC more attractive than normal CoCos.