Analysis On The Issue Pricing Of Chinese High-yield Bond

Developing direct financing channel becomes the most effective way to save middle and small enterprises since financing difficulty is becoming fatal to them in the slowdown background of Chinese economy. Most bonds issued by this kind of enterprises are high-yield bond due to their small scale and low credit rating. The Chinese High-yield Bond discussed in this article mainly means the bond with corporate credit rating being not higher than AA- and facility rating not higher than AA+ both in light of “Which is higher” principle, and the non-subordinated bond with the period being no more than ten years and no less than one year, and with the coupon rate being over 500 bp higher than that of yield curve figure of the national debt on the issuing day.The analysis on the issue pricing of high-yield bond according to the basic situation of bond market with Chinese characteristics is based on non-arbitrage pricing principle,benchmark interest rate spread and anchoring interest rate spread. It’s concluded in the article that factors influencing the issue pricing of high-yield bond still include bond corporate credit rating, bond facility rating, fund price in the issuing market, CPI,PMI, M1 and Small-Middle Board Index, besides market interest rate volatility, bond period and bond liquidity.Benchmark interest rate(anchoring interest rate), liquidity premium compensation,CPI, PMI, M1 and Small-Middle Board Index are not used in the multiple regression analysis, since the correlation between which and other factors influencing issue pricing of high-yield bond is comparatively high. In accordance with benchmark interest rate spread, multiple regression analysis on other factors illustrates that issue pricing of high-yield bond is significantly correlated to bond facility rating and market fund price on the issuing date on the level of 5% and to corporate credit rating close to the level of 5%. According to anchoring interest rate spread, issue pricing of high-yield bond is significantly correlated to bond corporate credit rating and the market fund price of the issuer on the level of 1%.