以股權衍生性商品模型評價應急強迫轉換債

Abstract

應急強迫轉換債(Contingent Convertible Capital Instrument )，一般稱為CoCo，是一種新興的金融商品，其結構特殊，同時存在債券和股權的特性，並具有緊急救助銀行財務危機的功能。CoCo的結構多變，目前市場上仍無定型化的契約，發行者仍可根據需求自行設計契約，故雖然名稱叫做強迫轉換債，但其中仍有一種類型的CoCo債券是不需要轉換成股權的。自2009年英國勞埃德(Lloyds)銀行集團發行CoCo以來，此金融商品的市場逐漸成長，也受到越來愈多銀行以及投資人的關注。本研究將簡單介紹CoCo的結構和截至目前的市場現況，並以股權衍生性商品複製CoCo，並用構建三元樹模型評價CoCo。

Contingent Convertible Capital Instrument (CoCos) is a kind of hybrid security. The structure of CoCos is special, which contain features with equity and debt. It can absorb losses when capital of issuing bank falls below a certain level. Because of the variety of its structure, issuer can design CoCos depends on his needs. Since 2009 the first CoCo issued by Lloyds, this market grows up gradually and gets attentions from banks and investors. First of all, this paper will introduce market and structure of CoCos, then valuate CoCos by trinomial tree with equity derivative model.