含分层损失吸收型债务的银行资本结构设计与定价

Capital structure designing and pricing of banks with stratified loss-absorbing debts

为了解决全球系统重要性银行总损失吸收能力不足,以及近年来只发行或有可转债一种损失吸收型债券的银行出现的额外风险问题,在借鉴《巴塞尔协议Ⅲ》和《TLAC原则及清单》建议的基础上,研究了一种含分层损失吸收型债务的新型银行资本结构.首先,对资本结构的基本设定和损失吸收机制进行了细致的刻画;在此基础上,给出了银行资产、各项债务以及原股东股权的定价模型.数值模拟分析表明,一般情况下含有分层损失吸收型债务的银行资本结构,要比含有单一损失吸收型债务的资本结构具有更强的损失吸收能力,并且存在最优的损失吸收型债务结构.对价差进行灵敏度分析表明,只有在波动率极端大水平上发行单一的损失吸收型债务才会有利于银行发行成本的节省,而在通常的波动率率水平下,银行为了节约成本都可以选择发行更短期限的TLAC债券.

A new type of bank capital structure with stratified loss-absorbing debts is studied based on the suggestions of Basel Ⅲ and TLAC Term Sheet in order to solve the problem that the total loss absorbing capacity of global systemically important banks is insufficient and the single lossing-absorbing debts-CoCos will bring extra risk to the bank in recent years.Firstly,it analyzed the basic setting of capital structure and loss absorbing mechnism,and then,it calculated the value of bank asset,various debts and original shareholder’ equity.The numerical analysis shows that the loss asorbing capital of the bank with stratified loss-absorbing debts is stronger than that with single loss-absorbing debt and there is an optimal loss-absorbing debt structure in this case.The sensitivity analysis of spread indicates that only when the volatility is extremely high,issuing single loss-absorbing debt will help the bank to save issuing cost.At any normal volatility level,banks can choose to issue shorter term TLAC bonds to save issuing cost.