應急資本發行與資產替代問題

Abstract

應急資本(contingent capital, CC)允許發行者在觸發合約載明的條件時，減計債券價值或將其轉換成股權，以協助公司改善資本結構度過危機。為了滿足Basel III協定，許多銀行發行CC，其他類型公司也可發行CC舉債。本篇論文比較非金融機構在已發行優先順位公司債券(senior bonds)的情況下的發債籌資策略。考慮公司可發行具有避險效果的CC，可分為轉換為公司普通股的應急資本，如反轉可轉換債券、雙門檻應急可轉債，連結與公司正相關性標的應急資本，如黃金連結債券、放空黃金遠期後發行普通債、反轉可替換債券，並以Merton的結構式信用風險模型來評價公司的各項財務變數，分析公司的最適槓桿比例(optimal leverage ratio)、舉債能力(debt capacity)、信用增強效果(credit enhancement effect)、債權稀釋效果(claim dilution effect)以及財富移轉(wealth transfer)，並與發行普通債(straight bond)比較，隨後將連結與公司正相關性標的應急資本，利用市場上不同的金融商品消除舉債策略的避險效果，分析各種不同情況下的(asset substitution)資產替代問題及財富移轉效果。研究分析發現，以連結與公司正相關性標的應急資本中，放空黃金遠期後發行普通債取代發行黃金連結債券對於股東權益與優先順位債有較好效果，而當應急資本連結標的與公司資產相關性較低時，發行反轉可替換債券是較適合舉債策略。對於連結與公司正相關性標的應急資本以反轉可替換債券會造成較嚴重的資產替代問題，黃金連結債券因性質接近股東權益，較可避免資產替代問題。轉換為公司普通股的應急資本因會造成股權稀釋和經營權易手的情況，故公司能夠發行的量相當有限。

A contingent capital (CC) is a debt that can be converted into equity or be written down when the firm financial status suffers or when triggers predetermined in CC are met. Many financial institutions issue contingent capitals for satisfying capital requirements of Basel III. We consider the case that non-financial institutions can issue contingent capital. This paper analysis under the condition that a firm issues a junior (contingent) bond with existing senior debts. Contingent capitals can be separated into two types by their conversion targets. The first type can be converted into issuer’s equity, like reverse-convertible bond, dual triggers contingent convertible bond. The second type can be converted into another reference asset that is (highly) correlated with the issuer’s firm value, like gold-link bond, which can be replicated by a subordinated straight debt plus a shorting gold forward, and reverse-exchangeable bond. Then we analyze the asset substitution problem by trading the derivatives of the reference asset to eliminate the hedging effect of the second type CC. We analysis the impacts of raising different types of CCs on the optimal capital structure, the debt capacity, the credit enhancement effect, the claim dilution problem and the asset substitutions problem. According to our study, issuing subordinated debt and shorting gold-link forward has better effects on firm value and credit enhancement effect than issuing gold-link bond. Issuing reverse-exchangeable bond introduce more severe asset substitutions problem than other second type CCs. On the other hand, gold-link bonds perform like equity and have slight asset substitutions problems. Contingent capital which converts into equity has equity dilution problem, so the issuer may restrict debt issue amount to avoid the transfer of control rights.