Contingent Capital with a Dual Price Trigger
Contingent Capital with a Dual Price Trigger
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DOI：
10.2139/ssrn.1553430
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发表时间：
2010-02
期刊：
影响因子：
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通讯作者：
R. McDonald
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文献类型：
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作者：
R. McDonald
本文评估了一种形式的或有资本的金融机构，从债务转换为股权，如果满足两个条件：该公司的股票价格是或低于触发值和金融机构指数的值也是或低于触发值。这种结构可能在危机期间保护所有表现不佳的金融公司，但在正常时期允许表现不佳的银行破产。本文讨论了与或有资本债权设计相关的一些问题，包括对操纵的敏感性，转换应该是固定的股票金额还是固定的股票数量;当或有资本未偿还时股票价格的唯一性;不同或有资本方案对不同类型错误的敏感性（资本不足及资本过多）;以及在实施或有资本规定后，股东可能招致的亏损。我还提出了一个说明性的定价例子。
This paper evaluates a form of contingent capital for financial institutions that converts from debt to equity if two conditions are met: the firm's stock price is at or below a trigger value and the value of a financial institutions index is also at or below a trigger value. This structure potentially protects financial firms during a crisis, when all are performing badly, but during normal times permits a bank performing badly to go bankrupt. I discuss a number of issues associated with the design of a contingent capital claim, including susceptibility to manipulation, whether conversion should be for a fixed dollar amount of shares or a fixed number of shares; uniqueness of the share price when contingent capital is outstanding; the susceptibility of different contingent capital schemes to different kinds of errors (under and over-capitalization); and the losses likely to be incurred by shareholders upon the imposition of a requirement for contingent capital. I also present an illustrative pricing example.