An Empirical Study On The Factors Affecting The Credit Spreads Of Super&Short-term Commercial Paper In China

Since China's first Super & Short-term Commercial Paper(referred to as "SCP",hereinafter referred to as the same)"10 PetroChina SCP001" was successfully listed on the inter-bank market on December 28,2010,SCP has been favored by issuers and recognized by investors due to its outstanding advantages,including simple information disclosure,high registration efficiency,convenient issuance ways,flexible funds utilization and so on.Thanks to the vigorous promotion of the regulatory authorities and the joint efforts of the market participants,the development of the SCP market has made great achievements with the issuance scale and the transaction volume growing rapidly.SO far,SCP has occupied an important position in China's direct debt financing market,and has been an important part of China's capital market system and an important platform for social capital allocation.However,with the rapid development of the SCP market,there are inevitably some problems in this market.One outstanding performance is that in the economic downturn period with increased default risk,China's SCP credit spreads(referred to as "credit spread",hereinafter the same)show a narrow tendency,which obviously runs counter to the fact that credit spreads in the mature capital–market-pricing system are negatively related to the economic cycle.In addition,in the absence of a large macro negative impact,the actual annualized interest rate of the SCP issued by the AAA,AA + companies,or AA companies in different months of 2019 showed significant fluctuations overall.In addition,the deleveraging of the domestic economy and the prolonged trade friction between China and the United States have led to more severe operating environments and financing constraints for enterprises.The fundamentals of some issuers have gradually deteriorated,and they have been unable to pay their debts.The frequent occurrence of default events exposed the liquidity crisis hidden behind the issuers,which caused a great impact on the normal and effective operation of the SCP market.Finally,from the perspective of 2019,the coupon rates issued by different companies with the same subject rating for the same period of SCP are also very different.Based on the above market conditions,this article considers that researching credit spreads at the time of issuance of SCP has great theoretical and practical significance.After combing the research results related to bond credit spreads in academia at home and abroad,the author combined with the development history and the market status of China's SCP,carried out theoretical analysis from the macro level,micro level and debt level to construct a model of factors affecting the credit spreads.And then,the author selected SCP that were publicly issued in China's interbank market from January 1,2014 to December 31,2019 for empirical testing.The research results show that,at a significance level of 1%,the macrolevel factors that have a positive effect on the SCP credit spread are mainly the R007,the local government debt rate of the provincial region where the issuer is located,and the scale of social financing for the month.The factors negatively related to credit spreads are the consumer price index and the macroeconomic prosperity index.From the perspective of micro factors,the assetliability ratio,return on net assets,and total assets of the issuing entity in the most recent financial reporting period have significant impacts on credit spreads,and the impact directions are positive,negative,and negative,respectively.At the debt level,the issue period of ultra-short financing and the current issue size have positive and negative effects on credit spreads respectively.The market position of rating agencies and lead underwriters commissioned by issuers has a negative correlation with credit spreads.The results of the group test show that: in terms of different property rights attributes,the explanation strength of the above explanatory variables on the credit spreads is increasing in the three groups of non-state-owned enterprises,local state-owned enterprises and central state-owned enterprises.Central SOEs have a more significant effect in reducing credit spreads than local SOEs.Judging from the regression results of different rating entities,the abovementioned influencing factors have a better fit for the SCP issued by the highrated entities;the higher the entity's rating,the more significant the effect of reducing the credit spreads.Based on the research results,this article proposes the following policy recommendations:(1)maintaining a moderate easing of funding;(2)improving the company's operating management capabilities;(3)strengthening the management of rating agencies;(4)strengthening its obligations to underwriters;(5)Breaking the rigid-payment mechanism of the bond market;(6)Eliminating the ownership discrimination in the bond market.