企業發行他國貨幣可轉換公司債資產交換訂價之分析

Abstract

本研究探討跨貨幣可轉換公司債透過資產交換結構重新配置信用風險與股權波動性風險，聚焦於匯率保證選擇權(Quantity-Adjusted Option)調整機制對可轉換公司債資產交換(Convertible Bond Asset Swap)的影響。 透過最小平方蒙地卡羅模擬方法建構多因子訂價模型，推導可轉換公司債選擇權溢價(CBO Premium)與可贖回資產交換(CAS)利差的理論關係，證明兩者在無套利均衡下滿足特定函數關係。 運用300,000條蒙地卡羅路徑實證分析發現，股價與匯率負相關性（ρ = -0.174）透過匯率保證選擇權調整機制，使可轉換公司債選擇權溢價增加2.15個百分點，可贖回資產交換利差減少126個基點，並提供發行條件優化建議。

This study examines how cross-currency convertible bonds reallocate credit risk and equity volatility risk through asset swap structures, focusing on the impact of Quantity-Adjusted Option adjustment mechanisms on Convertible Bond Asset Swaps (CBAS). Using the Least Squares Monte Carlo simulation method to construct a multi-factor pricing model, this research derives the theoretical relationship between Convertible Bond Option Premium (CBO Premium) and Callable Asset Swap (CAS) spreads, demonstrating that both satisfy a specific functional relationship under no-arbitrage equilibrium conditions. Empirical analysis using 300,000 Monte Carlo simulation paths reveals that the negative correlation between stock price and exchange rate (ρ = -0.174) through the Quantity-Adjusted Option adjustment mechanism increases the convertible bond option premium by 2.15 percentage points and reduces the callable asset swap spread by 126 basis points, while providing issuance terms optimization recommendations.