動態資本結構和權益型追索債券

Abstract

本論文用二項樹的數值方法分析由Bulow and Klemperer(2015)提出的 Equity Recourse Note(ERNs)最適資本結構，它是或有可轉債(Contingent Convertible Bonds)的其中一種混合型資本工具，發行時以債券的形式存在，並設計了兩種轉換界線，當碰到轉換界線時，債權人會以股東的形式存在:(1)票息轉換：當公司發生股價大幅度下降的情況時，公司在付息日會以發放股票代替付票息的方式發給ERNs債權人。倘若公司下一期股價回升時，則在付息日時，公司將正常發放票息給ERNs債權人。(2)本金轉換:當公司價值低於轉換界線時，本金將全部轉換為股東權益。其中，票息轉換只會發生在本金被轉換之前。和過去的或有可轉債相比，ERNs多考慮票息的轉換界線，目的是為了能夠反應即時的市場狀況，並且降低對監管機構的依賴。 本論文是由原股東決定ERNs的轉換界線，使得原股東價值極大化。因此，我們延伸Broadie and Kaya (2007)的二項樹模型，處理在票息轉換和本金轉換的效果下，原股東被稀釋的程度。最後，分析在不同的風險程度下，公司發行或有可轉債和ERNs的數值分析。

In our paper, we analyze the optimal capital structure of Equity Recourse Notes(ERNs) by a binomial lattice model. ERNs were proposed by Bulow and Klemperer (2015), one of hybrid contingent convertible capital instruments for bank that start life as debt, but any currently-due payment is automatically converted into equity if the issuer suffers a substantial decline in share price on the day the payment is due until the principal is also converted into equity at once. Once principle of ERNs is converted, ERNs holders will exist in the form of shareholders. In contrast to contingent convertible capital, equity recourse notes additional consider coupon trigger in order to improve the shortcoming of timeliness of market signals and reduce the reliance on the regulatory system. We define original shareholders determine the time of conversion of equity recourse notes and the time of bankruptcy maximizing the value of equity. Therefore, we extend Broadie and Kaya (2007) model to handle complex problem such as equity dilution after coupon and principle are converted. Finally, we compare the company issued equity recourse notes with contingent convertible bonds at different risk levels.