第三方担保对企业债收益率的影响研究

Empirical Study on the effect of the third party guarantee on the rate of return on corporate bonds

中央国债登记结算有限责任公司和中国外汇交易中心每日会发布各种信用等级和发行主体的收益率曲线,但曲线并未区分样本债是否存在担保,这是否意味着同样发行等级的担保债券和无担保债券具有相同的收益率特征。本文以企业债为例,使用NS模型多角度实证研究了第三方担保对企业债收益率曲线的影响。研究发现平均而言,高质量的担保确实能够降低债券的发行成本,但同发行等级的有担保债券收益率普遍高于无担保债券收益率,但有担保债券收益率普遍高于同信用等级的无担保债券收益率,说明担保不能完全消除投资者对发行者违约的担忧,二者不应该使用相同的利率曲线进行估值;另外值得注意的是同级别或者近似信用级别担保并不能达到明显的增信效果。

CSDC and CFETS publish yield curves of various credit levels on every day.However, there is no division between theses curves’ samples with or without third party guarantee, that’s to means the bonds without guarantee and the bonds with the third party guarantee have similar yield curve if the two classes of bonds have the same credit level. Is it true? Taking firm bonds as the examples, this paper uses Nelson-Siegel model to analyze the effects of third party surety on firm bonds’ yield curves. It shows that on average, High quality third party guarantee indeed reduce the cost of issuing bonds, but if the guarantee party has similar credit level with the bond issuer, he can’t give the bond credit protection in statistic. On the other hand, the yield curve of the bonds with the third party guarantee is usually higher than the yield curve of the unsecured bonds under the same credit level, which means the investors will ask a higher counterparty risk premium for the third party guarantee bonds. Therefore the bonds without guarantee and the bonds with the third party guarantee shouldn’t be priced with the same yield curve even they have the same credit level.