Contingent Capital: The Case of COERCs
介绍并分析了一种新型应急可转换债券COERC，它在银行资本市值触及触发点时转换为大量新股，稀释现有股东但允许股东以面值购买，从而降低风险、减少政府救助并避免市场价值触发问题。
Abstract This paper introduces and analyzes a new form of contingent convertible: a call option enhanced reverse convertible (COERC). If an issuing bank’s market value of capital breaches a trigger, COERCs convert to many new equity shares that would heavily dilute existing shareholders, except that shareholders have the option to purchase these shares at the bond’s par value. COERCs have low risk: They are almost always fully repaid in cash. Yet, they reduce government bailouts by replenishing a bank’s capital. COERCs’ design also avoids problems with market-value triggers, such as manipulation or panic, while reducing moral hazard and debt overhang.