應急強迫轉換債與違約風險溢酬之探討與研究---以巴克萊銀行2012年發行之應急強迫轉換債為例

Abstract

2008年全球金融海嘯催生Basel III問世，此一重大改革方案也甫於2013年起分階段實施，Basel III所重視資本吸收損失的能力。在此協議下推生出一新金融商品，應急強迫轉換債(Contingent Convertible Bond, CoCo Bond)。本篇論文首先介紹資本適足率監理演進及CoCo Bond市場概況。此外，CoCo Bond具有吸收損失的能力，在償付順位後於債權而先於股權，因此銀行或金融機構發行CoCo Bond後應能降低原有債務違約的可能性。此外CoCo Bond因具有提早吸收損失之特性，且流動性不足等原因，其非違約性風險應高於公司債。本篇論文根據Longstaff, Mithal, and Neis (2005)的模型針對上述兩項假說加以驗證。

Since 2008, the outburst of global financial crisis have made the Basel Committee on Banking Supervision publish so called basel 3 agreement which require banks' capital have the loss absorption mechanism. Under this Accord, an new financial instrument, Contingent Convertible(CoCo) Bond, have launched. This paper introduce the evolution of supervision on capital adequacy ratio and the overview CoCo Bond market. In terms of priority of payment in liquidation, CoCo Bond is subordinated to debt but prior to equity; thus the bank or financial institution who issued CoCo shall reduce it default probability. Besides, due to its loss absorption mechanism and illiquidity, CoCo Bond shall have higher risk premium compared to corporate bond. This paper follow Longstaff, Mithal, and Neis (2005)'s model to examine the hypothesis mentioned above.