| According to"the approach of CP management"; CP is the securities that the enterprises issuance and trading in inter–bank market with prescribed condition and procedures and repay the capital and interest within a certain period. CP provides more financing channels for listed enterprises, so it gets great demand of market and strong momentum of rapid development. CP market has become the fourth large-scale market after the national debt market, central bank bills and financial bonds market. Under the pressure of inflation, China takes measures that improving the deposit reserve rate and interest rate which can restrain credit scale to resole the problem of liquidity surplus. In this case, the enterprise tends to choose issuing bonds at interbank market to finance. This phenomenon makes credit debt appear"blowout". Date shows that the amount of issue of CP reaches to 6,700 billion in 2010 and rises 46.8 percent more than the year of 2009.The capital market system of China always stay in the state of dysfunctional for long time. The listed company depends heavily on equity financing and bank loans to external finance, only a small bit of large state-owned companies can get debt financing from the capital market through the way of issuing bonds. Single financing methods limits the development of our company severely. The advent of CP is complied with the basic national conditions of our country. Not only widened the financing channels for company, the CP also enriched the chain of Chinese capital market. It alleviates the problem of"lame"of bond market and promotes the transformation of capital markets from indirect finance to direct finance. The issuance of CP can reduce financing costs greatly, especially for large company. The company also can adjust enterprise debt structure based on the need to form optimal asset liability ratio. On the December 21st, 2010, the super CP comes out formally. It perfected the term structure of CP and made the issuance more flexible; it also provided more choice for enterprise which matches the time limit of assets and liabilities through the adjustment of CP.Currently, the Chinese scholars stay the stage of theory research as the immature of CP market. However, the substantial problem is how to price, make pricing tend to rationalize need the support of mature market and mass data of circulation and default. Considering the situation of CP, the paper wills analysis the pricing problem from the perspective of spread and selects Shibor (Shanghai inter-bank offered rate) as the benchmark interest rate. Under the support of the people's bank of China, the influence of Shibor is expanding constantly and becoming the benchmark of Chinese monetary market (Yi gang, 2008). Therefore, Shibor is made as important reference index for CP pricing, which is in favor of quantitative credit risk premium and enhances the rationality of determine the CP interest. The core issue of paper is confirmed the influence factors of spread and the relationship between them. Through the theoretical and empirical analysis, CP's spread is made of credit spread and liquidity spread. As innovation products of credit, the development of CP represents the future trend of Chinese credit bond market more or less. From the original light to recognize by investors gradually and to the impact and digestion of"fuxi"event, the market formed a miniature and portraiture of the history of credit bond market. So, whether the development road can walk well and how far it can go, the credit environment construction is crucial and the pricing of credit risk is the core link. In addition, perfection of the market makes the liquidity risk issue surfaced. There is a problem of uncertainty of interest rate resulted by the sensitivity fluctuate between the liquidity premium and interest rates in Chinese CP market. Therefore, in addition to the credit spread, the liquidity premium spread is the important factor either in the analysis of spread factors.This paper analysis the influence factors to spread of CP from five parts. The first part states the background and significance of research and expounds the ideas and innovative points of the paper; the second part introduced detail the research results at home and abroad and summarized and reviewed related literatures; the third part elaborates the development status of CP market in recent years, it studies the impact situation on spread of benchmark interest rate, the credit risk spread and liquidity premium spread through quantitative analysis; the fourth part is composited by the fourth chapter and the fifth chapter, this section make empirical research to all the affected factors from the angle of the qualitative analysis; the fifth part makes brief summary to generalize and corresponding policy. |
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