Empirical Study On Offerings Pricing Of Commercial Paper

Since the May 2005 Bank of China promulgated "The Measures for the Administration Commercial Paper," in just less than 5 years, the Commercial Paper in china had developed rapidly and the scale of Commercial Paper market has been expanding quickly, becoming the second-largest credit trading product in China. Purposes of this article is that all market participants have a better understanding and more accurate grasp of the risks inherent in Commercial Paper through the research of Offerings Pricing of Commercial Paper, while make a contribution in development of market-oriented interest rate issuance in China's bond market.Because that available as Commercial Paper shorter, domestic scholars are just beginning to make the study of empirical analysis of Commercial Paper Offerings pricing. Research methods and sample selection is not enough on a certain level, especially there is few articles about the selection of risk-free benchmark rate. Innovation of this paper is, first of all, break down the issue price of Commercial Paper, make the price of CP issued= benchmark interest rate (risk-free, the same period, and good liquidity)+ credit risk premium (including liquidity risk premium).And then, "shibor" is selected as benchmark interest rate and I analyze the applicability of it as the benchmark interest rate in price decision of CP. At last, using Z method- multiple regression models as research methods, choosing shibor, issue size, credit rating and so on those affect Commercial Paper pricing. Based on the data of CP all issued in the 2007-2009, I make quantitative analysis of the CP pricing issue and build a mathematical model.Through the final analysis, shibor, issue size, credit rating three factors on Commercial Paper issued interest rate decision have the significant effects, and thus established a pricing model. I used the pricing model to simulate tests with the first quarter of 2010 released 52 one-year's Commercial Paper, and used the simulation results compared with the actual pricing, the final results show that this model played a guiding role in Commercial Paper Offering pricing.