探討發行次順位債券對公司的影響

Abstract

次順位債券(Subordinated Debt)目前在金融機構以及一般企業均被廣泛的使用，若公司目前已有發行債券，且該債券的條款上有明訂優先求償權，則此後公司所發行的債券都將被視為次順位公司債券。本篇論文探討公司在已發行優先順位債券的情況下，接著利用不同次順位債券之舉債策略進行籌資，分別為發行次順位公司債券、發行次順位黃金連結債券、先發行次順位公司債券再放空黃金遠期、先放空黃金遠期再發行次順位公司債券、發行次順位反轉可替換債券以及發行次順位反轉可轉換債券，並由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，分析最適資本結構、舉債能力、信用增強效果、資產替代問題以及債權稀釋問題。研究分析發現，當公司資產價值與黃金價格呈現高度正相關時，次順位黃金連結債券的籌資能力以及最適槓桿價值皆優於其他舉債策略，且不會發生債權稀釋(Claim dilution)，又能降低股東與債權人間資產替代問題發生的可能。

Subordinated debt is a debt that ranks below other debts with regard to claims on assets or earnings and it is widely used by financial institutions and industrial companies. In this paper, under the condition that the firm has issued one senior bond, I analysis various scenarios where the firm raise funds by subordinated debt with different funding strategies, inclusive of issuing subordinated bond, issuing subordinated gold-link bond, issuing subordinated debt before shorting gold-link forward, issuing subordinated debt after shorting gold-link forward, issuing subordinated reverse-exchangeable bond, and subordinated reverse-convertible 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, debt capacity, credit enhancement effect, asset substitution problem and claim dilution problem. Among the funding strategies mentioned in the beginning, subordinated gold-link bond outperform others concerning debt capacity and optimal firm leverage value, when the asset value of a firm and the price of gold are highly correlated. Furthermore, if a company issues subordinated gold-link bond, the problem of claim dilution would not take place and the wealth transfer between equity and bond holders is less likely to happen.