探討發行或有可轉換債券對公司的影響

Abstract

大型金融機構具有「大到不能倒」的特性，政府會被迫出手救助這些陷入危機的機構，產生道德風險的問題，為了解決政府用納稅人民的錢注資的不公平現象，便產生了「或有可轉換債」此類可以為金融機構內部做自救的商品。此商品在公司財務狀況良好時是一債券商品，定期需支付債權人利息，並於到期日償還本金，公司享有稅盾利益；當公司財務惡化時，將強制轉換為該發行公司的普通股，或是債務可以強制取消。本篇論文探討公司在已發行優先順位債券的情況下，接著舉不同次順位債券之舉債策略進行籌資，分別為發行次順位債券的純粹債券、反轉可替換債券、反轉可轉換債券與雙門檻或有可轉換債券。並藉由 Merton(1974)的結構式信用風險模型對公司各項權益價值進行評價，分析其最適資本結構、舉債能力、財富移轉、信用增強效果以及債權稀釋問題。研究分析發現，發行反轉可替換債券與雙門檻或有可轉換債券，可為公司帶來較佳的影響，一方面對舊債有信用增強的效果，也可以提升舊有股東的價值；且雙門檻或有可轉換債的各項資料分析介於反轉可替換債券與反轉可轉換債券的資料分析之間，不僅可以避免道德風險，也可以避免避免類似於反轉可替換債券在發行公司沒有發生危機就轉換的問題。

Governments are forced to provide financial aid to large financial institutions in difficulty to avoid credit risk contagion problem; that is, these institutions are "too big to fail". But these aids also arise the problem of moral hazard. To solve the unfair phenomenon that saving financial institutions with tax-payer money, a product called "contingent convertible bond" that provide internal financial aids appears. A contingent convertible bond performs like a normal bond when the issuer is in a good financial position. The issuer pays bond holders interests regularly at coupon payment dates and gains tax shield benefits. But when the issuer’s financial status deteriorates, the bonds are either forced to convert into the issuer’s common stock or written down. In this paper, I analysis various scenarios of the firm raising funds by issuing different subordinated debts, like straight bonds, reverse exchangeable bonds, reverse convertible bonds, and contingent capital with a dual price trigger given that the firm has issued one senior bond. I evaluate the values of claim holders in different scenarios using the structural credit risk model pioneered by Merton (1974) and discuss the issues of the optimal capital structure, the debt capacity, the wealth transfer effect, the credit enhancement effect and the claim dilution problem. We find that issuing subordinated reverse convertible bonds and contingent capital with a dual price trigger can benefit the issuer. It not only brings credit enhancement effect on the senior bonds but enhances the value of original shareholders. Also, the data analysis of contingent capital with a dual price trigger, which between the reverse exchangeable bonds and the reverse convertible bonds, can avoid the problems of the moral hazard and the improper conversion time.