关键词: 或有可转债, 财务纾困, 收益共享, 路径分解, 条款设计

Abstract: In order to encourage creditors to actively participate in the process of financial distress relief of the company, based on the loss absorption mechanism of CoCos, creditors can share the upward potential of the bond issuing company by incorporating a revenue-sharing mechanism. When the issuing company reaches a certain level of financial soundness, creditors can get more returns through the revenue sharing mechanism. Therefore, this paper designed a double-faced contingent convertible bond (DCCs), constructed a pricing model of contingent convertible bond based on the revenue sharing mechanism, and obtained its analytic solution by utilizing the path decomposition pricing method. In addition, by decomposing the possible path of the underlying stock price in the bond duration, it analyzes the impact of different clauses on DCCs. The numerical results show that the DCCs are released at a discount. Both the value of revenue sharing clause and the value of loss absorption trigger clause decrease with time. The value of DCCs decreases with the increase of annual stock price volatility and increases with the increase of conversion threshold of loss absorption clause and income sharing clause respectively.

Key words: contingent convertible debt, financial bail-out, revenue sharing, path decomposition, the terms of the design