Studies On Secondary Market Pricing Of Commercial Paper

Since the launch of the commercial papers in2005, the commercial papers on behalf of the inter-bank credit bond market is the rapid development of short-term financing bonds were issued as of August2012,2806, issued a total4.266827trillion yuan. Commercial papers to promote the balanced development of the financial markets, improve corporate financing structure, rich investors in the inter-bank investment products have made a large contribution.With commercial papers are increasingly important role in the national economy, more and more scholars in-depth study of the terms of their position in the market, the significance of development, the issue of pricing, but of commercial papers in the secondary market pricing also very rare. With the participation of the various types of banks, securities companies, funds, insurance and other investment institutions, secondary market trading of commercial papers are becoming increasingly active, trading volume from20052,523.45billion in2011to51,238.67billion yuan, become important investment of all kinds of institutions varieties, it appears more urgent commercial papers secondary market pricing.In this paper, an overview of the commercial papers, research and development of the background and significance of development to clarify the context and the development status of the development of commercial papers through the introduction of the primary market and the secondary market, the pricing of commercial papers lay the foundation erected a theoretical framework for the pricing of commercial papers; credit bond pricing theory analysis. On the basis of the theoretical framework for the combination of commercial papers market overview and pricing, the pricing of commercial papers split, analysis of the pricing of short-term financing bonds, respectively, from the two aspects of the benchmark interest rates and credit spreads.Choice of the benchmark interest rate by doing more recognized benchmark interest rate in the bond market to compare to the market situation, select a policy financial bonds and interest rate as its benchmark interest rate; analysis of credit spreads, this paper July2010to July2012, the interest rate of commercial papers secondary market transactions in the two-year period, the credit rating, the main issue of the nature of quantitative analysis to come to a decision model of secondary market interest rates for commercial papers. Can be seen in the model, without the risk of interest rates and short-term financing bonds interest rate was positively correlated, and a strong correlation, while the issue of the main credit rating, corporate properties, the average issue size coefficient copy, indicating a higher credit rating Qualification larger enterprises secondary market for commercial papers require a lower risk premium. Quantitative model based on commercial papers listed on August1,2012to August17test, the test showed that the predicted secondary market pricing and actual valuation there is no significant difference. This indicates that the model in practice to provide investors with a more credible pricing reference.