中小企业集合票据发行定价合理性研究

中小企业集合票据作为为了解决中小企业融资难而进行的金融创新，从首批成功发行至今经历了迅速发展的四年。本文对中小企业集合票据的评级、期限、发行规模、风险分散情况以及市场环境等可能影响发行定价的因素进行了分析，结果表明担保人评级、期限以及环境因素对中小企业集合票据的利差形成具有较大的影响，能够解释接近80％的发行利差变化；而融资规模、信用主体评级以及风险分散程度与发行定价在统计上不具有显著的相关性。分析结果说明了集合票据目前存在“重担保而轻信用主体”、风险分散特征不突出以及受政府影响过大等问题，在下一步发展中应该在结构上进一步完善产品设计并且加强产品市场化。

Determinants of Issuance Pricing for SME Collective Notes

As an innovation to facilitate financing for small and medium-sized companies, the SME collective note market has witnessed rapid growth since its launch in 2009, We present the first ever empirical study of SME collective note issuance pricing by analyzing the initial offering yield spread over treasuries as a function of a varieties of factors, including borrower and guarantor ratings, tenor, issue size, risk diversification and a series of environmental variables Our statistical analysis shows that guarantor rating, tenor and environmental variables have material influence on the issuance pricing of SME collective notes, explaining nearly 80 % of the variance in offering yield spread, while borrower rating, issue size and the level of risk diversification are not statistically significant factors, This suggests that the market for SME collective note focuses on guarantees rather than the borrower pool, As a result, the limited supply of guarantees has become a bottle-neck that constrains the growth of the SME collective note market, Inadequate diversification and over-reliance on governments are also areas that call for improvement.