應急強迫轉換債之研究

Abstract

全球金融海嘯催生Basel III問世，促使全球金融機構增加有效資本準備。因應此一重大改革方案推生出一新金融商品—應急強迫轉換債（Contingent Convertibles, CoCos）。本篇論文首先介紹巴賽爾資本協議演進及應急強迫轉換債設定與市場概況，文中亦強調中國現行發行概況與應急強迫轉換債未來對亞洲可能影響。進而以巴克萊銀行為例，建立假說，驗證： 1. 因應急強迫轉換債償付順序後於優先順位及次順位公司債，故推論有最高的違約可能； 2. 因應急強迫轉換債具有可贖回條款、潛在利息損失等特性，影響其流動性，故推論有較高的非違約風險； 3. 應急強迫轉換債具有吸收損失之特性，故金融機構發行後將有效降低原有公司債違約可能。 研究方法根據Longstaff, Mithal, and Neis (2005)的模型；修正戴詒霖（2014）的假設針對上述三項假說加以驗證。

The financial tsunami in 2008 was the invisible hands to create the Basel III agreement which pushes banks' to raise their effective capital reserves to a certain level in the near future. Contingent Convertibles (Cocos), a new financial instrument, has launched as an probable solution to this upcoming regulation. This paper begins with the evolution of Basel Capital Accord, the introduction of Cocos and the market overview. It also introduces the booming popularity of Cocos in the Chinese and other Asian markets. This paper then takes one of the Cocos of Barclays as an example to examine the following hypothesis: 1. In terms of priority of compensation which Cocos are subordinated to both senior and subordinated bonds; thus Cocos shall have the highest default probability; 2. In terms of properties including callable and interest loss probability which affects the liquidity of Cocos; thus Cocos shall have the highest non-default risk comparing to senior and subordinated bonds; 3. In terms of loss absorption; thus the financial institutions which issued Cocos shall reduce their default probability after the issuance This paper follows the model of Longstaff, Mithal, and Neis (2005), amends the settings of Yi-Lin Tai (2014) to examine the above 3 hypothesis.