兼具财务纾困和收益共享机制的公司或有可转债设计

为激励投资者积极参与公司财务困境纾解过程，在CoCos所具有的损失吸收机制的基础上，通过纳入收益共享机制，使投资者得以分享债券发行公司的上行潜力：当债券发行公司达到预定的较好财务水平时，投资者可以通过收益共享机制获得更多的回报。据此设计了具有双重特征的或有可转债(DCCs)，并通过路径分解构建了定价模型，得到其解析解。其中，通过对债券存续期内标的股票价格可能发生的路径进行分解，剖析了DCCs定价的影响条款。数值分析结果表明：DCCs表现为折价发行；收益共享条款价值和损失吸收触发条款价值均与时间呈现递减关系；DCCs的价值随着股票价格年波动率的增大而减小，且分别随着损失吸收条款转股阈值和收益共享条款转股阈值的增大而增大。

Design of Contingent Convertible Bonds of Companies with Both Financial Bailout and Revenue Sharing Mechanism

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.