銀行應急可轉債之研究與探討

Abstract

面對新巴賽爾資本協定的規範以及嚴峻的總體經濟環境，銀行在經營方面遇到更多挑戰。銀行應急可轉債具有可轉換公司債的特徵，當銀行的資本適足率或其他約定比率等達到門檻之下，可以適時轉換為資本，避免金融體系的危機。 經過本研究分析，本研究結論如下： 一、銀行應急可轉債以市場價值或風險調整後的銀行資產價值為計算基礎，提高資本適足率轉換門檻，以強化監督效率，降低銀行風險。 二、由個案銀行之銀行應急可轉債籌資過程看出銀行應急可轉債可降低破產風險，減少流動性風險溢酬，故降低資金成本，此結論呼應Glasserman and Nouri（2012）論點，亦即降低Myers and Majluf（1984）所提出的資金募集過程存在之逆選擇問題。 三、Murphy, Walsh and Willison（2012）認為銀行應急可轉債對於銀行治理效率的提升效果在於其可以降低管理階層所控制的現金流量，降低管理階層接受高風險投資個案的風險，降低代理成本，提高銀行治理效率。 四、銀行應急可轉債設計過程之關鍵因素，包括提高資本適足率與高票息率。提高資本適足率可以增加投資者對公司管理階層的信心，提高投資誘因，同時高票息率可以滿足固定收益為主的機構法人的需求。

With the regulations of the New Basel Capital Accord and severe macroeconomic environment, banking groups will face meet more challenges than ever. With the characteristics like convertible bonds , contingent convertible bonds could be converted into equity by the clauses in the contracts of contingent convertible bonds, as the designed ratio regarding common equity to assets or other specific ratios below the triggers of contracts. After the analysis in this study, the conclusions in this study are listed as following: First, under on the market-based ratios or risk-adjusted values of assets, contingent convertible bonds could strengthen the efficiency of regulation and lower the risks of banking groups ,by higher ratio of common equity to assets. Second, from the raising fund-raising process of case banking groups, contingent convertible bonds could lower the risk of bankrupt and reduce the expected liquid risk premiums of investors, leading to the efficient cost of capital. The results support the conclusions of Glasserman and Nouri（2012） and avoid the adverse selection proposed by Myers and Majluf（1984）.Third, Murphy, Walsh and Willison（2012） has argued that the influences of bank governance of contingent convertible bonds result from the existence of contingent convertible bonds could lower the cash flows the management control , leading to less risks inherent in the high risk projects. Therefore, contingent convertible bonds could lower agent costs and enhance the efficiency of bank governance. Fourth,higher ratio of common equity to assets and higher coupon rates could fit the demands of fixed-income-based institute investors.