The Determinants Analysis Of MTN Issue Spreads Based On Rigid Payment

Medium-Term Notes(MTN) is one of important investments of China’s bond market.Our country’s company started to issue and circulate MTNs since the beginning of 2008.After nearly six years development, it provides an important contribution to China’s rapid economic development, and has become an important investment banking, insurance and other institutional investors. Since the annual total circulation was growing, China sold 997.82 billion yuan in 2014, up 40.38% from 2013,2014 and accounted for 18% of the total newly issued credit bonds. Before 2015, the bond market is currently in China rigid payment period, maybe some of the bond issuer will appear repayment difficulties, but through the coordination of the lead underwriter and the government will eventually pay, on March 29,2015 "STXiang’e bond"’s event of default, the first publicly issued bond defaults, declared bankruptcy of rigid payment.Since the beginning of 2008,several events of default like"Jiangtong Bond"and "11Chaori Bond" have growed. Although it has yet to appear in material breach of the bond, But the risk of bond market in the face of the revaluation. People are increasingly aware of the importance of credit risk in the ticket pricing and investment. Credit spread is an important indicator of the ticket revenue risk assessment and measurement,it refers to the difference in the ticket issue rate with the same period of the benchmark interest rate.By observing the changes of credit spreads for investors to judge the credit risk in the ticket.Many domestic and foreign scholars study on bond credit spreads,many factors affect the bond credit spreads, scholars no consistent conclusion,therefore, there is "the credit spread puzzle".Compared with foreign counterparts, domestic scholars for the ticket of credit spreads start late.The research for the ticket of credit spreads of domestic scholars mainly focus on the introduction of foreign bond model and to validate the use of domestic ticket data model of foreign.But the ticket market in China has its own characteristics, factors affecting ticket credit spread in our country and foreign is not the same.Therefore the conclusion which is being studied isn’t of strong instructive significance for MTNs in our country.This study based on the domestic and foreign scholars on the basis of the study of bond credit spreads,through researching the characteristics of the land ticket market,and borrowing abroad credit spread indices,we summary the impact of macro、micro liquidity indicators that affect credit spreads,we also analyzes ticket’s historical trend.In empirical analysis part,to compare with the overall sample,we has carried on the grouping to sample.By compared with the general, this paper comes to the following conclusions.Macroeconomic factors has a strong influence on the credit spreads of ticket,the macro factors should be to focus on during the pricing and investment process,Including the money supply, inflation rate and exchange rate.in the micro factors, shareholder background for credit spreads are more significant,issuance of the background of state-owned enterprises subject credit spread is smaller than the non-state enterprises, and the cost is low.Company credit rating for credit spreads have a negative impact,the higher the rating, the smaller the spread,the rating is still one of micro factors offering price and investors should be most in need of attention.In this paper, the research also found that assets and liabilities such as solvency ratio and quick ratio showed no significant effect on credit spreads.In the factor of liquidity, the lead underwriter underwriting capacity has significant influence for the ticket issue,in the medium-term notes issued process,it’s essential to choose a strong lead underwriters,because i can save the cost. Because of the relatively short history ticket markets,the linkage between primary market and secondary market is not strong. Secondary market’s turnover lack explanatory power for offering price.Empirical model in this paper can only explain up to 58% of credit spreads,might as Collin-Dufresne and Goldstein (2001) pointed out that the study can not be explained may be caused by supply and demand shocks of the notes.in this paper, for the explanatory power of the model is verified with the increase in credit spreads and declining ratings and increased duration.