反式可轉債之市場面研究

Abstract

自2009年以來，全球反式可轉換債券的發行量一直在穩步增長，本文嘗試從市場的角度來解釋此現象的原因。投資人在購入反式可轉換債券時，隱含同時出售了該債券所連結的標的資產之賣權給金融機構，因此反式可轉換債券的票面利率較一般債券高很多。此項產品尤其在德國受歡迎，也因此多以歐元交易。而所連結的標的資產多為大型公司、且穩定發放股利的股票，但股價表現相對不佳。從機構投資人的觀點，市場衰退的信號和選擇權商品的不足使他們有誘因向大型金融機構購買大型股的賣權以避險。金融機構為了轉移賣出賣權給機構投資人的潛在風險，因此將這些賣權包裝到反式可轉換債券中再出售給散戶投資者，同時賺取手續費。對散戶投資者而言，反式可轉換債券的高票面利率以及其標的資產穩定發放股利的特質具有一定吸引力，使散戶投資者有誘因進行投資。

The issuing amount of reverse convertible bonds (RCBs) has increased steadily since 2009. This thesis attempts to find out the reasons for the popularity of RCBs from the market perspective. A reverse convertible bond is a combination of owning a debt while selling the put option right of a single asset or a basket of assets, and their riskiness offers the investors high coupon payments in return. These products are especially popular in Germany and are often traded in Euros. The underlying assets are usually big firms’ stocks with steady dividend payments but tend to relatively underperform after the issuance of the debt. For institutional investors, the downward market signals drive them to buy put options of the underlying assets of RCBs from financial institutions for hedge. Financial institutions pack these put options into RCBs and sell them to retail investors to transfer risks and earn transaction fees. Retail investors are in favor of RCBs because of the high coupon rate and the stable dividend payments of underlying assets.