关键词: 或有可转债, 逆周期缓冲资本, 股权稀释效应, 资产转移效应

Abstract:

A novel dual-trigger contingent hybrid bond, i.e., DEWDCC, is designed and priced in this paper which can be converted into common equity, i.e., debt-to-equity, or into an ordinary write-down contingent convertible bond, i.e., write-down CoCo, when the financial systemic risk is accumulated to a dangerous level. A Parisian exogenous trigger is employed which is helpful in providing debt-issuer and investors with an early warning of the accumulation of the financial systemic risk, and in suppressing the motivation of manipulating debt-to-equity. Moreover, the write-down property with the endogenous trigger is helpful in absorbing the losses of the troubled bank in time. The Monte Carlo simulation is employed to analyze DEWDCC. The results indicate that the effects of two triggers on debt-to-equity and write-down are complex, and can even offset each other. Besides, inappropriate CoCos may lead to instability of the financial market. In addition, the property of debt-to-equity can provide the bank with an opportunity to increase countercyclical buffer capitals, while the write-down property can effectively maintain the subsisting of the troubled bank. In a word, the conversion option makes DEWDCC more attractive than normal CoCos.

Key words: contingent convertible bonds, countercyclical capital buffer, equity dilution effect, wealth-transfer effect