探討發行或有資本對公司的影響

Abstract

或有資本(Contingent capital)可被視為一種負債，當契約中的條件發生時，將被轉換成權益或降低償還的債務金額，這些條件通常會和公司的資本結構連結，藉以穩定公司的財務和營運狀況。此篇論文在給定公司已發行優先債券情況下，對於不同的次順位債券發行策略所產生的信用增強效果、財富移轉問題以及資產替代問題進行分析；論文中我們考慮以黃金作為標的資產，且黃金價格與發行者公司價值呈現高度相關情況下，分別以發行次順位黃金連結債券、次順位債券並同時放空黃金遠期、反轉可替換債券(其可能被替換為其他標的資產)以及反轉可轉換債券(其可能被轉換為發行者的股票)，將這四種不同的情況與單純發行次順位債券相比較。根據Merton(1974)率先提出的結構化信用風險模型指出，嚴謹的數學分析可作為或有求償權的定價工具，而數值研究顯示發行或有資本的負債可以加強公司的信用並降低破產的可能性，除此之外，也可以增加公司的舉債價值及提高最適槓桿比率。此外，為了分析債權人及股東之間的代理問題，我們分別以舉債後改變公司價值波動度以及舉債後抵銷或有資本中所隱含的選擇權兩種情境，分析其產生的權益變化和次順位債券價值變動來檢視代理問題，結果發行黃金連結債券之績效通常表現優於其他的籌資方式；另一方面，與大眾熱烈討論的Coco債券相似的反轉可轉換債券，通常伴隨著嚴重的代理問題；最後，敏感度分析顯示或有資本的表現高度依賴於發行者的價值及黃金價格間的相關性。

Contingent capital can be treated as a kind of debt that will be converted into equity or reduce the amount of the debt repayment when prespecified events occur. These events are usually linked to the firm’s prevailing capital structure in order to stabilize its financial status and the operation. This thesis analyzes the credit enhancement effect, wealth transfer effect, and the asset substitution problem under different kinds of junior debt issuing strategies given that the issuing firm had issued a senior straight bond. Here we consider a reference asset, say gold in this thesis, whose price is highly correlated to the issuer’s value. Compared to directly issuing a junior straight bond, we compare issuing junior bonds with shorting forwards on gold, issuing junior gold-linked bond, issuing reverse exchangeable (that might be converted into reference asset), and issuing reverse convertible (that might be converted into issuer’s stock). Rigorous mathematical analyses are derived to price all the contingent claims based on the structural credit risk model pioneered by Merton (1974). Numerical studies suggest that raising debts with contingent capital tends to enhance the firm’s credit and reduce the likelihood of the bankruptcy. In addition, it also increases the firm levered value and the optimal leverage ratio. To analyze the agency problem between the debt and equity holders, we analyze the change of equity and junior bond value due to the change of the firm value volatility or the unwound of the options embedded in the contingent capital. Issuing gold-linked bonds tends to outperform other approaches. On the other hand, issuing reverse convertible, which is similar to popularly discussed Coco bonds, tends to incur serious agency problem. Besides, sensitivity analyses are given to show that the performance of the contingent capital highly relies on the correlation between the issuer’s value and the gold price (if applicable).