可轉債資產交換及可轉債選擇權：交易構造及定價

CB Asset Swaps and CB Options Structure and Pricing

本文探討拆解可轉換公司債之交易結構：將可轉債拆解為信用及權益部分，及可轉債資產交換及可轉債選擇權，並對此二結構化產品提供評價方法。可轉債資產交換可以美式分期付款選擇權（American installment option）來訂資產交換之加減碼，較高的資產交換加碼，券商越易提早執行可轉債選擇權。可轉債選擇權是一美式選擇權，但其執行履約價為契約履約價與利率交換淨現值之和。模擬結果顯示可轉債選擇權的價值受（1）公司債發行者信用評等，（2）賣回價格，及（3）利率水準影響。

This paper investigates the deal structure of the stripping of convertible bonds into the credit component and equity component, i.e., the CB asset swap and CB option. We provide pricing models for both the credit component and option component for CB Stripping structured products. We show that the CB asset swap can be priced as American installment option. Our results indicate that a higher asset swap spread paid by the dealer could lead to early exercising of the CB option. The CB option is an American call option with time-varying strike price which is adjusted by the mark-to-market value of IRS. Our simulation concludes that the CB call option will be mostly affected by (1) issuer credit, (2) put price and (3) interest rate level.