| Commercial paper (CP) is one kind of securities which is issued by non-financial enterprises with a legal personality, taking the registration system and agreeing to repay the capital with interest within a certain period of time. The issuing place is in the inter-bank bond market and the maximum period is not exceeding than one year.The development history of CP can be traced back to the nineties of last century, which is terminated due to the confusion of issue environment and the lack of inadequate supervision. The CP market is not restarted until2005. The CP has a good momentum of development after its restarting. Especially in the latest two years, under the pressure of inflationary, the central bank continues to taking tightening policies to curb liquidity, making firms prefer financing through bond issues. The CP already has a rapid expansion not only in the total issuing amount but also in the issuing number. It has become the fourth largest bond market in the last year, second only to financial bonds, treasury bonds and central bank bills.In this paper, the writer is trying to determine the factors affecting the CP’s issuing interest rate by quantitative analysis and establish a mathematical model. In the article, I will try to take the shibor interest rates, the central counting rate, bank repo rate and treasuries interest rate as the benchmark interest rate of CP, using the data in the year from2007to2011. By qualitative analysis and quantitative tests, the pricing model of interest rate can be established. In the model, the interest rate spread between CP and shibor is determined by credit premium, liquidity premium, term premium and is also affected by firm’s size, ownership form, industry nature and credit line. At last, I will test a sample data with143CPs issued in the first quarter of2012using the pricing model, and then compare the analog result with the actual result. It’s proved that the model has a good guiding role in CP’s issuing pricing. |
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