评级、担保与债券发行成本——基于中国非公开发行债券经验的理论分析

Credit Rating,Guarantee and Bond Issuance Cost:Theory and Evidence from China's Private Bond Market

基于中国非公开发行债券数据,本文探究了信息非对称下评级和担保的组合选择及其对债券发行成本的影响。假设债券发行人、评级机构和担保机构对违约概率有完全信息,而投资人则只知道其概率分布。分析表明:第一,除非发债质量很高或者很低,评级可以借由信息揭示机制细分“有评级”和“无评级”违约概率的分布范围。第二,担保通过提供违约赔付降低发行成本,且高风险债券更有可能发生担保,但摩擦成本的存在使担保债券的发行成本具有异质性。第三,评级和担保并非简单的互补或替代关系,当揭示机制起作用时,“无评级”会促进担保发生,然而“有评级”的影响并不确定,因为评级降低了投资者预期的最高违约概率会促进担保,但降低平均违约概率却会替代担保。本文可以为理解取消强制评级的政策效应提供理论洞见和决策依据。

The bond market plays an important role in reducing financing costs and enriching financing instruments.However,asymmetric information about default risk is an important reason for financing difficulties.To address this issue,issuers typically rely on two external credit enhancement tools:credit ratings and debt guarantees.Since 2021,several government departments have successively canceled the mandatory credit rating requirement for public bonds,which means credit rating becomes an endogenous choice for issuers.An interesting question that arises is what combination of credit rating and guarantee will issuers actually choose?Moreover,are credit ratings and guarantees functionally substitutes or complements?We build a simple model to explore the mechanisms of credit ratings and guarantees under asymmetric information and the impact of their combination on issuance costs.Assume that all participants in the bond market are risk⁃neutral,the issuer,credit rating agency(CRA),and guarantor have full knowledge of the default probability,while investors only know the distribution function.The guarantor offers compensation in the case of default,which in turn reduces the investment risk and issuance cost of the bond.However,due to the existence of frictional costs,investors may not receive full compensation in the case of default,leading to heterogeneity in the issuance costs of guaranteed bonds.Considering that guarantees come with a cost,issuers tend to use them only when the reduction in issuance costs offsets the costs of guarantee.Meanwhile,guarantors are willing to provide guarantees only if the expected benefits exceed the expected losses.Given that the guarantee cost is negotiated between the issuer and the guarantor,which is not transparent to investors,we show that high⁃risk bonds are more likely to be guaranteed.Ratings can affect issuance costs through the unraveling mechanism unless the quality of the bond is extremely high or low.CRAs provide a reputational guarantee of bond quality,which means if a CRA issues a good rating but the bond later defaults,the CRA will suffer reputational damage that may affect its subsequent rating business,so the CRA is willing to issue a good rating only if the default probability is below a certain threshold.For investors,a good rating implies that the true default probability is lower than the threshold,and thus the average probability of default decreases,whereas no rating implies that the true default probability is higher than the threshold.Thus,rating implies a higher quality of bond.Rating and guarantee are not simple complements or substitutes.If the unraveling mechanism works,ratings lead to a guarantee for unrated bonds.However,the effect of rating on guarantee is uncertain for rated bonds.Ratings enhance guarantees by reducing investors'expectations for the highest default probability,but act as a substitute by reducing the average default probability.We also test the derived theoretical predictions based on private bond data from 2014 to 2021.The empirical results show that guaranteed bonds have higher issuance costs than unguaranteed ones when ratings are certain,while rated bonds have lower issuance costs than unrated ones when guarantees are certain.Furthermore,the empirical evidence also confirms the existence of frictional costs associated with guarantees,as well as the impact of rating fees and reputation costs on issuance costs.This paper has some implications for the reform of the rating industry and the development of the bond market.First,the removal of mandatory credit ratings can reduce unnecessary expenses for issuers.Issuers who need ratings would still disclose ratings under the unraveling mechanism even in the absence of mandatory rating requirements.For issuers that do not need ratings,a mandatory rating can only add the cost of issuance and all the unnecessary effort without providing incremental information for investors.Second,the CRAs can increase the number of rating categories to improve efficiency.A change in the concentration of ratings in the AA,AA+and AAA will provide more information to investors.Finally,guarantees play an important role in reducing issuance costs.However,issuance costs increase with frictional costs,so the government should improve the legal environment and strengthen the protection of investors'rights and interests to reduce frictional costs.