上市公司可转换债券发行条款价值分析

A Value Analysis of provisions of convertible bonds of listed companies

上市公司发行可转换债券在我国已有三年的历史。由于可转换债券兼有债务资本和权益资本的双重特性,其定价方法比较复杂。我国可转换债券的发行条款执行条件多为有条件执行,其定价方法更为复杂。蒙特卡罗模拟数值算法在赎回条款和特别向下修正条款两个发行条款共同作用下的可转换债券期权价值,在赎回条款的作用下,特别向下修正条款对可转换债券期权价值的贡献较小,但当发行公司的股价大幅下跌时,损害了发行公司的原有股东的利益。

Convertible bonds of listed companies have been issued since 2000 in Chinese capital markets. The binary feature of convertible bonds, which are both equity and debt, makes pricing complicated. The executing conditions of the provisions of Chinese convertible bonds depend on stock prices, which make pricing more complicated. This paper uses Monte-Carlo simulation method to analyze the influences of two provisions: call provision and strike-price-adjusted provision under both provisions. As we can see, strike-price-adjusted provision does not have much contribution to convertible bonds holders. But when the stock prices of the listed companies come down, the previous owners of the issuing companys stocks suffer a lot.