BIS发布《应急可转债发行和银行脆弱性报告》  

BIS Issued "CoCo Issuance and Bank Fragility"

作　　者：孙毅[1] 郭栋 于明星[1] 斯特凡.阿韦德杰夫 比利亚纳.博格达诺娃 帕特里克.博尔顿 魏江 安娜塔西亚.卡特谢娃 Sun Yi;Guo Dong;Yu Mingxing

机构地区：[1]中国人民银行济南分行 [2]中国人民银行潍坊市中心支行 [3]BIS货币经济工作组

出　　处：《金融发展研究》2018年第6期54-57,共4页Journal Of Financial Development Research

摘　　要：近期,国际清算银行(BIS)发布《应急可转债发行和银行脆弱性报告》,介绍了应急可转债的主要特征和发行情况,分析了应急可转债发行的决定因素、发行应急可转债对发行者CDS利差及股票价格的影响,主要结论如下:一是资本规模越大、资本状况越好的银行,越倾向发行应急可转债;二是应急可转债发行会显著降低发行者CDS利差,银行发行应急可转债能够减少风险并降低债务成本;三是触发条件水平较高的本金减记类应急可转债对股票价格有正面影响,其他类型应急可转债对股票价格没有显著影响。November 2017,BIS Monetary and Economic Department issued working paper ＂CoCo issuance and bank fragility＂,introduced the main characteristics of Co Cos and their issuance,analyzed the determinants of CoCo issues,and the effect of issuing CoCos on the issuer＇s CDS spreads and the stock prices. The main conclusions are as follows：First,the propensity to issue a CoCo is higher for larger and better-capitalized banks;Second,CoCo issues can make statistically significant declines in issuers＇ CDS spreads, risk and costs of debt.Third, principal write-down CoCos with a high trigger level have positive effect on issuers＇ stock prices, and the other types of CoCos have no statistically significant impact on issuers＇ stock prices.

关 键 词：应急可转债 信用违约互换 银行脆弱性 

分 类 号：F830[经济管理—金融学]