我国短期融资券信用利差研究

发布时间：2018-04-09 07:29

本文选题：短期融资券　切入点：基准利率　出处：《西南财经大学》2012年硕士论文

【摘要】：短期融资券(Commercial Paper, CP)早在1988年就出现在中国的金融市场,到1997年因为种种原因淡出视线。2005年5月23日,中国人民银行颁布《短期融资券管理办法》,标志着中国短期融资券市场再次兴起。2008年4月9日,人民银行又颁布了《银行间债券市场非金融企业债务融资工具管理办法》,短期融资券作为非金融企业债务融资工具中的一种,发行制度变更为更市场化、更有效率的注册制,由银行间市场交易商协会进行自律管理,并进一步降低了发行门槛。2010年12月,交易商协会又推出了期限不超过270天的超短期融资券,由信用资质为超AAA级’的企业发行,进一步丰富了短期融资券市场的期限结构。经过6年多时间的迅猛发展,短期融资券已成为众多信用债中的第一大产品。短期融资券在短时间内取得了如此迅速的发展,说明其推出非常符合当下中国企业、金融市场乃至宏观经济的发展需求,填补了我国在短期融资券产品领域的空白,所以一经推出就获得了各市场主体的广泛认可。近年来,随着国内债券市场发行规模的不断扩大,尤其是伴随着大型国有控股企业发行的债券存量纷纷接近或达到《证券法》所规定的公司净资产40%的上限后,债券发行企业的信用等级开始出现逐渐下降的趋势,债券市场的信用违约风险开始形成和积聚。既2006年“福禧债”2事件后,2012年初,联合资信评估有限公司将“11海龙CP01”信用等级由B下调至C,沦为所谓的“垃圾债”,再次引发市场关注。该债券将于2012年4月到期,如果不能按期偿本付息、,将会成为债券市场上首例违约债券,同期限高低评级信用债的利差将会增大,以真实反映其信用风险水平。另一方面,虽然我国近几年引入了做市商制度和货币经纪公司,各债券品种在二级市场的成交较之前更加活跃。但是,由于债券市场的投资者同向性现象较为明显,且投资者大都以配置型为主,市场缺乏投资者的参与,所以流动性问题依然是我国债券市场特别是信用债市场一个不得不考虑的问题。以往对短期融资券的信用利差研究往往侧重于信用风险溢价方面,本文以为,二级市场的成交情况会对债券一级市场的定价造成影响,因此,为了保证短期融资券发行定价的信用利差研究的准确性与严密性,本文还引入了流动性风险,并从债券本身特性、二级市场活跃度及货币市场资金面这几个角度来衡量流动性,检验流动性风险对短期融资券信用利差的影响程度。本文将短期融资券的发行价格分解为三个部分,提出短期融资券的发行利率=基准利率+信用风险溢价+流动性风险溢价。本文的写作目的就在于通过对短期融资券发行信用利差的研究,使市场参与者能够更好的理解短期融资券信用利差的影响因素,更好地度量其信用利差,从而为相应的信用利差进行准确的定价,为投资者选择投资品种提供决策依据。为了更好地表现短期融资券的风险溢价,本文首先尝试性地对目前国内外学者在短期融资券定价研究中选择的几种较为普遍的基准利率—SHIBOR、国债收益率和央行票据收益率作为短期融资券定价基准利率进行了比较分析,并通过理论分析和简单的相关性分析证实了在这几组基准利率中,SHIBOR作为短期融资券基准利率的回归效果的确最佳。因此,在后面的利差分析中,本文选取了SHIBOR作为基准利率,剥离出短期融资券发行的信用利差,并对影响短期融资券信用利差的因素进行了深入的研究。由于中国短期融资券市场实质上存在着商业银行隐性担保的现象,所以发展到现在还没有出现过真正意义上的违约事件,因此,本文在对信用利差进行研究时,借鉴了传统信用利差度量模型——Z模型的思想,同时选取了现代信用利差度量模型的影响因素及公司财务等指标,收集了大量一二级市场的原始数据,选取了1017只样本短期融资券进行量化分析,并以此建立了短期融资券发行定价的信用利差模型。通过实证分析,本文认为宏观经济变量GDP和CPI、发行主体评级、所有权属性、区域属性及经营活动产生的现金流量净额/总负债、资产负债率、产权比率、流动比率、净资产收益率等主体财务指标,以及银行间质押式7天回购利率和二级市场换手率对短期融资券的信用利差有显著影响。具体来说,短期融资券的信用风险受发行主体信用级别的影响最大,这也说明了信用评级机构在短期融资券信用利差定价中扮演者非常重要的角色,同时,高等级发行主体之间信用利差比高评级和中低评级发行主体之间的信用利差要小；其次是代表发行主体偿债能力的财务指标,说明投资者对企业对所发债券的偿付能力是很看重的；影响信用风险的还有GDP、CPI等宏观经济变量,但相对而言,影响程度比较小。同时,还应该看到,大型国有企业较低的运营能力和盈利能力使得其信用利差的符号与净资产收益率、流动比率这些指标相违背,这是由我国国有企业的经营特性及市场对大型国企的青睐所造成,这一点也从发行主体所有权属性这一指标得到了应证,最后,本文还认为短期融资券的发行主体是否上市、发行主体所属行业对信用利差几乎没有影响。短期融资券的流动性风险主要受货币市场流动性和短期融资券二级市场的流动性影响,且债券本身的交易活跃程度比市场资金面更能影响短期融资券的信用利差,但影响程度有限。虽然发行规模这一指标最终被剔除了模型,但是本文仍然认为该指标的确是影响流动性风险的重要因素,只是这一指标与发行人主体评级存在太大的相关性而没有出现在我们的模型中。总的来说,虽然影响短期融资券信用利差的因素很多,但是本文认为投资者最关心的还是微观层面的因素,包括债券本身的资质和发行主体的资质,而其他因素只能在一定程度上对其信用利差构成影响,并非决定性因素。本文的创新之处主要体现在： 1.本文对已有的信用利差度量模型和影响因素进行了较为全面和清晰的梳理,同时搜集了大量有关短期融资券市场的原始数据,对其市场发展状况的总结相较现有研究有所推进。 2.从以往学者的研究来看,短期融资券信用利差研究的比较基准一般都选取1年期央行票据收益率,本文尝试性地对几种比较具有代表性的利率——SHIBOR利率、国债收益率和央行票据收益率作为短期融资券的基准利率进行了比较分析,并通过实证回归分析,选择出最贴合短期融资券发行定价研究的基准利率,从而更加真实地剥离出短期融资券的信用利差。 3.不同于以往大多数学者,本文在对短期融资券的信用利差进行分析时,考虑了短期融资券的流动性风险,并从短期融资券本身特性、二级市场活跃度及货币市场资金面出发,选取了债券发行规模、二级市场换手率和银行质押式7天回购利率这三个指标来衡量。这一做法考虑了我国当前的市场环境,更加贴近市场实际情况。实证结果也证明,流动性的确对短期融资券信用利差有显著影响。本文的不足之处主要体现在： 1.由于我国短期融资券发展时间较短,且违约机制缺失,所以至今尚无实际意义上的违约事件发生,数据的缺乏限制了笔者使用相对复杂的现代信用利差度量模型来对信用利差进行深入研究。 2.由于短期融资券发行后的交易数据频率不高,本文虽然选取了一些影响二级市场流动性的指标,但依然过于依赖单个时点(发行时点)横截面的研究,而缺乏对于不同时点信用利差的影响因素变化的动态比较研究。 3.鉴于自身的理论水平有限,在笔者挑选变量时存在考虑不周或者遗失重要变量的可能性,且作出的短期融资券信用利差模型也相对简单,影响了模型的有效性和准确性,同时,在对影响信用利差的因素进行分类时也过于粗糙。
[Abstract]:Short term financing bonds (Commercial Paper, CP) first appeared in 1988 in Chinese financial markets by 1997 because of various reasons out of sight.2005 in May 23rd, the people's Bank of Chinese issued "short-term financing bills management approach", marking the market short-term financing bonds China again rise.2008 in April 9th, the people's bank issued the "bank the market of the bond between the non-financial corporate debt financing instruments management measures", short-term financing bonds as a non-financial corporate debt financing instruments in the distribution system, change to a more market-oriented, more efficient registration system, self-regulation by the inter-bank market dealers association, and further reduce the threshold issue of.2010 in December, dealers association has launched a period of not more than 270 days of ultra short term financing bonds issued by credit qualification for super AAA 'business, to further enrich the term structure of short-term financing bonds market After the rapid development of more than 6 years, short-term financing bonds have become the first product of many credit debt.
The short-term financing bonds made such a rapid development in a short period of time, the launch is in line with the current Chinese enterprise development needs financial markets and macroeconomic, to fill the gaps in the short-term financing bills products field, so a launch was widely recognized by the market. In recent years, with the issue of the size of the domestic bond market continues to expand, especially with the bond of state-owned enterprise stock have approached or reached the "Securities Law > provisions of the net assets of the company 40% cap, bond issuance of corporate credit rating began to gradually decline, the bond market credit default risk to the formation and accumulation of both. 2006" fortune "debt after the 2 event, at the beginning of 2012, joint credit rating Co. Ltd. the 11 dragon CP01 credit rating from B down to C, become the so-called" junk bonds", Once again sparked concern. The bonds will expire on April 2012, if it fails to repay the interest on the bond market, will become the first case of defaulted bonds, the same period of the rating of the level of credit debt spreads will be increased to reflect the level of credit risk.
On the other hand, although our country has introduced the market maker system and money brokerage company in recent years, the bond market in two were more active than before. However, due to the bond market investors to the same phenomenon is more obvious, and most investors to configure the type, the lack of market investors, so the liquidity problem is China's bond market especially credit debt market is an issue to consider. The previous research on credit spreads of short-term financing bonds tends to focus on the credit risk premium, this dissertation thinks that the transaction market of the two will be on the primary bond market pricing impact, therefore, in order to ensure the accuracy of short-term credit spreads bond pricing and strictness, the article also introduces the liquidity risk, and from the bond itself characteristics, two levels of market activity and money market funds face this Some measure of liquidity, liquidity risk on the impact test of short-term financing bond credit spreads.
The decomposition of short-term financing bonds issuance price of three parts, put forward the liquidity risk premium rate = benchmark interest rate + credit risk premium + short-term financing bonds. The purpose of this paper is through the research on the issue of credit spreads on short-term financing bonds, the influence factors of market participants to better understand the short-term financing bonds credit spreads, a better measure of the credit spreads, accurate pricing to the corresponding credit spreads, to provide decision-making basis for the investors to choose investment products.
In order to better the performance of short-term financing bonds risk premium, this paper tries to several scholars at home and abroad in the research on the pricing of short-term financing bonds in common benchmark interest rate SHIBOR, bond yields and bank note yields as short-term financing bonds pricing benchmark interest rate are analyzed, and through theoretical analysis and simple correlation analysis confirmed that in this series of SHIBOR as the benchmark interest rate, the regression effect of short-term financing bonds benchmark interest rate does best. Therefore, in the analysis of the interest rate, this paper selects SHIBOR as the benchmark interest rate, stripping out the short-term financing bond credit spreads, and the influence factors of the short-term financing bonds credit spreads for an in-depth study.
Because of the market China short-term financing bonds actually exist commercial banks the implicit guarantee of the phenomenon, so until now there have been no real sense of the event of default, therefore, this paper researches on the credit spreads, credit spreads from the traditional measurement model -- Z model, and selected the modern credit spreads measure the model factors and company's financial indicators, collecting the original data of one or two markets, selected 1017 samples of short-term financing bonds by quantitative analysis, and establishes the model of credit spreads to issue short-term financing bonds pricing.
Through empirical analysis, this paper argues that the macro economic variables GDP and CPI, the main issue of rating, ownership of property, net cash flow / regional attribute and business activities of the total liabilities, asset liability ratio, equity ratio, current ratio, return on net assets, the main financial indicators, and the inter-bank collateral repo rate and 7 day two market turnover rate have a significant effect on the credit spreads. Specifically, short-term financing bonds credit risk affected by the issuer credit level, it also shows that the role of credit rating agencies is very important in the short-term financial capital plays in the pricing of credit spreads coupons at the same time, between the high grade issue the main credit spreads high ratings and low rated issuers of credit spreads are small; second is the main issue of financial indicators on behalf of solvency, indicating that investors in enterprises to issue bonds Solvency coupons are very important; the effect of credit risk as well as GDP, CPI and other macroeconomic variables, but relatively speaking, the degree of influence is relatively small. At the same time, it should also be noted that the large state-owned enterprises, lower operating capacity and profitability so that the credit spreads of symbol and the rate of return on net assets, contrary to current ratio these indicators, which is caused by the characteristics of the management and market of China's state-owned enterprises of large state-owned enterprises of all ages, this is from the index of the main issue has been the ownership of property should permit, finally, this paper also believes that the issuance of short-term financing bonds subject are listed, the main issue of industry has almost no effect on credit spreads.
The liquidity risk of short-term financing bonds mainly affected by liquidity of money market liquidity and short-term financing bills market of the two, and the bond itself active trading market funds face more than the degree of influence the credit spreads, but the impact is limited. Although this issue was eventually removed the scale index model, but this paper still thinks that the index is one of the important factors affecting liquidity risk, but this index and the issuer of the main rating between too much and did not appear in our model.
In general, although there are many factors that affect credit spreads, but the micro level factors or investors are most concerned about, including the bond itself and the main issue of the qualification qualification, while the other factors only to a certain extent, the credit spreads the effect, not the decisive factor.
The innovation of this paper is mainly reflected in the:
1. the credit spreads on existing measurement model and influential factors for a more comprehensive and clear, while collecting the original data on short-term financing bonds market, the developing status of the market compared to the existing research progress. Summary
From the 2. perspectives of the past research, the benchmark short-term financing bills of credit spreads are generally selected 1 year central bank bills yield, this paper tentatively on several typical interest rate SHIBOR interest rates, bond yields and central bank bills yield rate as the benchmark interest rate of short term financing bonds were analyzed then, through empirical regression analysis, choose the most fitting benchmark interest rate pricing of short-term financing bonds, thus more truly stripped out of the credit spreads.
3., unlike most previous scholars, this paper makes analysis on the credit spreads, the liquidity risk of short-term financing bonds, short-term financing bonds and from the character of two level active market and money market funds face of selected bond issuance scale of two, the market turnover rate and bank 7 days pledged repo rate of these three indicators. This approach considers China's current market environment, more close to the actual situation in the market. The empirical results also prove that the liquidity indeed has a significant impact on the short-term financing bond credit spreads.
The inadequacies of this article are mainly embodied in the:
The 1. time as a result of the development in China of short-term financing bonds is relatively short, and the default mechanism is missing, so there is no real sense of the event of default, the lack of data the author limits the use of relatively complex modern credit spreads measure model of credit spreads to in-depth study.
2. because the transaction data of short-term financing bonds issued after the frequency is not high, although this article chooses some liquidity market of the two indicators, but is still too dependent on a single point (the release point) of the cross section, and the lack of comparative study for the dynamic effects of credit spread factors change.
3. in view of their theoretical level is limited, in the selection of variables are inconsiderate or lose important variables the possibility of short-term financing bond credit spreads and make model is relatively simple, affect the effectiveness and accuracy of the model, at the same time, the classification on the factors affecting the credit spreads is too rough.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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