本文選題：短期融資券　切入點：基準利率　出處：《西南財經大學》2012年碩士論文

【摘要】：短期融資券(Commercial Paper, CP)早在1988年就出現(xiàn)在中國的金融市場,到1997年因為種種原因淡出視線。2005年5月23日,中國人民銀行頒布《短期融資券管理辦法》,標志著中國短期融資券市場再次興起。2008年4月9日,人民銀行又頒布了《銀行間債券市場非金融企業(yè)債務融資工具管理辦法》,短期融資券作為非金融企業(yè)債務融資工具中的一種,發(fā)行制度變更為更市場化、更有效率的注冊制,由銀行間市場交易商協(xié)會進行自律管理,并進一步降低了發(fā)行門檻。2010年12月,交易商協(xié)會又推出了期限不超過270天的超短期融資券,由信用資質為超AAA級’的企業(yè)發(fā)行,進一步豐富了短期融資券市場的期限結構。經過6年多時間的迅猛發(fā)展,短期融資券已成為眾多信用債中的第一大產品。 短期融資券在短時間內取得了如此迅速的發(fā)展,說明其推出非常符合當下中國企業(yè)、金融市場乃至宏觀經濟的發(fā)展需求,填補了我國在短期融資券產品領域的空白,所以一經推出就獲得了各市場主體的廣泛認可。近年來,隨著國內債券市場發(fā)行規(guī)模的不斷擴大,尤其是伴隨著大型國有控股企業(yè)發(fā)行的債券存量紛紛接近或達到《證券法》所規(guī)定的公司凈資產40%的上限后,債券發(fā)行企業(yè)的信用等級開始出現(xiàn)逐漸下降的趨勢,債券市場的信用違約風險開始形成和積聚。既2006年“福禧債”2事件后,2012年初,聯(lián)合資信評估有限公司將“11海龍CP01”信用等級由B下調至C,淪為所謂的“垃圾債”,再次引發(fā)市場關注。該債券將于2012年4月到期,如果不能按期償本付息、,將會成為債券市場上首例違約債券,同期限高低評級信用債的利差將會增大,以真實反映其信用風險水平。 另一方面,雖然我國近幾年引入了做市商制度和貨幣經紀公司,各債券品種在二級市場的成交較之前更加活躍。但是,由于債券市場的投資者同向性現(xiàn)象較為明顯,且投資者大都以配置型為主,市場缺乏投資者的參與,所以流動性問題依然是我國債券市場特別是信用債市場一個不得不考慮的問題。以往對短期融資券的信用利差研究往往側重于信用風險溢價方面,本文以為,二級市場的成交情況會對債券一級市場的定價造成影響,因此,為了保證短期融資券發(fā)行定價的信用利差研究的準確性與嚴密性,本文還引入了流動性風險,并從債券本身特性、二級市場活躍度及貨幣市場資金面這幾個角度來衡量流動性,檢驗流動性風險對短期融資券信用利差的影響程度。 本文將短期融資券的發(fā)行價格分解為三個部分,提出短期融資券的發(fā)行利率=基準利率+信用風險溢價+流動性風險溢價。本文的寫作目的就在于通過對短期融資券發(fā)行信用利差的研究,使市場參與者能夠更好的理解短期融資券信用利差的影響因素,更好地度量其信用利差,從而為相應的信用利差進行準確的定價,為投資者選擇投資品種提供決策依據(jù)。 為了更好地表現(xiàn)短期融資券的風險溢價,本文首先嘗試性地對目前國內外學者在短期融資券定價研究中選擇的幾種較為普遍的基準利率—SHIBOR、國債收益率和央行票據(jù)收益率作為短期融資券定價基準利率進行了比較分析,并通過理論分析和簡單的相關性分析證實了在這幾組基準利率中,SHIBOR作為短期融資券基準利率的回歸效果的確最佳。因此,在后面的利差分析中,本文選取了SHIBOR作為基準利率,剝離出短期融資券發(fā)行的信用利差,并對影響短期融資券信用利差的因素進行了深入的研究。 由于中國短期融資券市場實質上存在著商業(yè)銀行隱性擔保的現(xiàn)象,所以發(fā)展到現(xiàn)在還沒有出現(xiàn)過真正意義上的違約事件,因此,本文在對信用利差進行研究時,借鑒了傳統(tǒng)信用利差度量模型——Z模型的思想,同時選取了現(xiàn)代信用利差度量模型的影響因素及公司財務等指標,收集了大量一二級市場的原始數(shù)據(jù),選取了1017只樣本短期融資券進行量化分析,并以此建立了短期融資券發(fā)行定價的信用利差模型。 通過實證分析,本文認為宏觀經濟變量GDP和CPI、發(fā)行主體評級、所有權屬性、區(qū)域屬性及經營活動產生的現(xiàn)金流量凈額/總負債、資產負債率、產權比率、流動比率、凈資產收益率等主體財務指標,以及銀行間質押式7天回購利率和二級市場換手率對短期融資券的信用利差有顯著影響。具體來說,短期融資券的信用風險受發(fā)行主體信用級別的影響最大,這也說明了信用評級機構在短期融資券信用利差定價中扮演者非常重要的角色,同時,高等級發(fā)行主體之間信用利差比高評級和中低評級發(fā)行主體之間的信用利差要��；其次是代表發(fā)行主體償債能力的財務指標,說明投資者對企業(yè)對所發(fā)債券的償付能力是很看重的；影響信用風險的還有GDP、CPI等宏觀經濟變量,但相對而言,影響程度比較小。同時,還應該看到,大型國有企業(yè)較低的運營能力和盈利能力使得其信用利差的符號與凈資產收益率、流動比率這些指標相違背,這是由我國國有企業(yè)的經營特性及市場對大型國企的青睞所造成,這一點也從發(fā)行主體所有權屬性這一指標得到了應證,最后,本文還認為短期融資券的發(fā)行主體是否上市、發(fā)行主體所屬行業(yè)對信用利差幾乎沒有影響。 短期融資券的流動性風險主要受貨幣市場流動性和短期融資券二級市場的流動性影響,且債券本身的交易活躍程度比市場資金面更能影響短期融資券的信用利差,但影響程度有限。雖然發(fā)行規(guī)模這一指標最終被剔除了模型,但是本文仍然認為該指標的確是影響流動性風險的重要因素,只是這一指標與發(fā)行人主體評級存在太大的相關性而沒有出現(xiàn)在我們的模型中。 總的來說,雖然影響短期融資券信用利差的因素很多,但是本文認為投資者最關心的還是微觀層面的因素,包括債券本身的資質和發(fā)行主體的資質,而其他因素只能在一定程度上對其信用利差構成影響,并非決定性因素。 本文的創(chuàng)新之處主要體現(xiàn)在： 1.本文對已有的信用利差度量模型和影響因素進行了較為全面和清晰的梳理,同時搜集了大量有關短期融資券市場的原始數(shù)據(jù),對其市場發(fā)展狀況的總結相較現(xiàn)有研究有所推進。 2.從以往學者的研究來看,短期融資券信用利差研究的比較基準一般都選取1年期央行票據(jù)收益率,本文嘗試性地對幾種比較具有代表性的利率——SHIBOR利率、國債收益率和央行票據(jù)收益率作為短期融資券的基準利率進行了比較分析,并通過實證回歸分析,選擇出最貼合短期融資券發(fā)行定價研究的基準利率,從而更加真實地剝離出短期融資券的信用利差。 3.不同于以往大多數(shù)學者,本文在對短期融資券的信用利差進行分析時,考慮了短期融資券的流動性風險,并從短期融資券本身特性、二級市場活躍度及貨幣市場資金面出發(fā),選取了債券發(fā)行規(guī)模、二級市場換手率和銀行質押式7天回購利率這三個指標來衡量。這一做法考慮了我國當前的市場環(huán)境,更加貼近市場實際情況。實證結果也證明,流動性的確對短期融資券信用利差有顯著影響。 本文的不足之處主要體現(xiàn)在： 1.由于我國短期融資券發(fā)展時間較短,且違約機制缺失,所以至今尚無實際意義上的違約事件發(fā)生,數(shù)據(jù)的缺乏限制了筆者使用相對復雜的現(xiàn)代信用利差度量模型來對信用利差進行深入研究。 2.由于短期融資券發(fā)行后的交易數(shù)據(jù)頻率不高,本文雖然選取了一些影響二級市場流動性的指標,但依然過于依賴單個時點(發(fā)行時點)橫截面的研究,而缺乏對于不同時點信用利差的影響因素變化的動態(tài)比較研究。 3.鑒于自身的理論水平有限,在筆者挑選變量時存在考慮不周或者遺失重要變量的可能性,且作出的短期融資券信用利差模型也相對簡單,影響了模型的有效性和準確性,同時,在對影響信用利差的因素進行分類時也過于粗糙。
[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.

【學位授予單位】：西南財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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