An Empirical Analysis On The Factors Affecting The Issuing Pricing Of NCD

Interbank negotiable certificate of deposit(NCD)is issued by deposit financial institutions in the national interbank market.It is standardized financing and investment money market instruments.The interest of NCD is determined by the market.The People's Bank of China(PBOC)started NCD issuance in 2013,which promoted the development of interest rate marketization and liberalization in China.In recent years,NCD has achieved the vigorous development with the issuing scale expanding,the participating institutions increasing.NCD gets the recognition in the market.It takes an increasing ratio in the commercial bank debt gradually.Therefore,it is meaningful to analyze the factors which influent the pricing of NCD.The study is helpful to improve the pricing and managing ability of the commercial banks.It is also beneficial to the rational choice of the investors.NCD is a kind of standardized financing instruments with the general characteristics of bonds.It is also similar with interbank borrowing as well as interbank deposit in trading and product characteristics.Historical research shows that macroeconomic variables have different effects on NCD pricing.However,it is still lack of the research on how individual issuing banks' characteristics and their credit risk can influence NCD pricing.Then the historical research doesn't reflect the influencing factors comprehensively.In this paper,23,373 NCDs issued by 516 institutions in 2014-2016 are used as samples.Through descriptive statistical analysis,it is found that the main issuing banks are the joint-stock commercial banks,the municipal commercial banks and the rural commercial banks.Most of NCD are zero coupon issued with fixed interest rate.NCD Issuing interest rate fluctuates around Shibor.Through the construction of multiple linear regression model,we find that NCD pricing is mainly affected by interbank market capital situation,and credit spread has a complementary impact on its pricing.Interbank repo rate,nonperforming loan ratio and the assets size of the issuing bank have a significant influence on NCD pricing.