债券投资者的“保护盾”还是债务违约的“多米诺”——对债券交叉违约制度的分析

A“Shield”for Bond Investors or a“Domino”for Debt Defaults——An Analysis of the Bond Cross-Default Arrangement

债券“刚性兑付”打破后如何防范债务违约风险、保护债权人利益成为防范化解系统性金融风险的重中之重。在债券契约中引入交叉违约这一创新的金融制度安排旨在让同一企业不同债券投资者可以在企业发生债务违约时享有同等求偿权,意图保护债权人利益,但这也可能在事前释放了企业低质量的信号,在事后又可能导致企业因资金链断裂而产生更高的违约风险。为此,本文通过检验交叉违约制度对债券违约风险的影响,以分析其到底是债券投资者的“保护盾”还是债务违约的“多米诺”。研究发现,交叉违约制度显著提高而非降低了债券违约风险,表现为债券信用利差显著更高。机制检验结果发现,债券发行人触发交叉违约条款后会产生一系列负面影响;当交叉违约条款更易被触发时,附有交叉违约条款的债券其信用利差更高。异质性检验发现,交叉违约制度导致债券信用利差抬升的现象在债务违约预期高、偿债压力大的企业中更显著,当债券未设置“事前”的限制性契约条款时也更显著。结果表明,与推出交叉违约制度的初衷不同,交叉违约会导致单只债券的违约对企业其他债券产生连锁违约效应,极大增加系统性金融风险。本文的研究发现为监管层重新认识交叉违约制度提供了实证依据。

How to prevent the risk of debt default and protect the interests of creditors has become a top priority in preventing and resolving systemic financial risks after the“rigid payment”of bonds has been broken.The introduction of cross-default in bond covenants is an innovative financial institution that allows investors in different bonds of the same enterprise to enjoy the same claim rights in the event of default,thereby protecting the interests of creditors,but it may also signal the low quality of enterprises ex ante and lead to higher default risks due to capital shortage.To this end,this paper examines the impact of cross-default arrangements on bond default risk to analyze whether they are a“shield”for bond investors or a“domino”for debt defaults.It is found that the cross-default arrangement significantly increases,rather than decreases,bond default risk,as evidenced by significantly higher bond credit spreads.The results of the mechanism test also found that there are a number of negative consequences for bond issuers when cross-default clauses are triggered,and that bonds with cross-default clauses have higher credit spreads when the cross-default clauses are more likely to be triggered.Heterogeneity tests also found that the rise in bond credit spreads due to cross-default arrangements was significantly stronger among firms with high expectations of debt default and high debt repayment pressure,and also when bonds did not have ex ante restrictive covenants.The results suggest that,contrary to the original intent of the cross-default arrangement,cross-default can lead to a cascading effect of a single bond default on other bonds of the firm,significantly increasing systemic financial risk.The findings of this paper provide an empirical basis for the regulator to re-conceptualise the cross-default arrangment.