A sequential pricing framework for corporate securities: The case of rating-trigger step-up/-down bonds

We develop a sequential pricing framework in a continuous time cash flow model allowing for repeated valuation of different cash flow claims. One claim is valued until a prespecified boundary is hit, which is subsequently used as the new valuation starting point for the next claim. This highly flexible pricing framework is applied to the pricing of rating-trigger step-up/-down corporate bonds, the coupon payments of which depend on the issuing company’s credit rating. We present a simple closed-form pricing solution for this type of bonds including both a step-up and step-down threshold, as well as a lower default boundary.     

国开行新型含权债定价和投资简析

国开行近期发行的两只新型含投资人回售权的债券,受到市场热捧,不过其条款的复杂性也使市场对其定价出现了明显的分歧。该文从其条款入手,简单分析了这两期含权债的定价原理和思路,并结合目前债市的现状和趋势,对两只债券的投资策略和合理价值进行了探讨。     

运用市场机制扩大城市建设资金来源的几点思考

作者根据中国城科会和中国投资学会就城市建设的投融资体制改革和发行市政建设债券的讨论情况 ,阐述了我国城市投资需求继续快速增长的势头 ,筹集建设资金的根本出路以及如何深化改革 ,为按市场运作做准备等三个问题。     

略论人民银行在地方政府债券管理中的作用

本文从我国地方政府债券管理中存在的主要问题入手,认为人民银行参与地方政府债券管理的既必要,且可行,同时指出其具体管理举措,主要包括:参与制度建设、明确管理职责、提升管理水平。     

我国上市公司选择可转换债券的融资偏好研究

对2001—2004年相关上市公司的实证研究结果表明:公司规模、资产负债率、净资产收益率、流通股比重和每股净资产值五个变量,对公司是否选择可转换债券融资有显著性影响,其中净资产收益率和资产负债率的影响是负向的,其他三个变量的影响是正向的,这一结果表明我国上市公司对可转换债券的选择基本上是理性的。     

An agent-based model of corporate bond trading

We construct an heterogeneous agent-based model of the corporate bond market and calibrate it against US data. The model includes the interactions between a market maker, three types of fund, and cash investors. In general, the sensitivity of the market maker to demand and the degree to which momentum traders are active strongly influence the over- and under-shooting of yields in response to shocks, while investor behaviour plays a comparatively smaller role. Using the model, we simulate experiments of relevance to two topical issues in this market. Firstly, we show that measures to reduce the speed with which investors can redeem investments can reduce the extent of yield dislocation. Secondly, we find the unexpected result that a larger fraction of funds using passive investment strategies increases the tail risk of large yield dislocations after shocks.     

Chinese write-down bonds and bank capital structure

In this paper, we use a structural model to investigate a bank capital structure that contains deposits, straight bonds, Write-Down (WD) bonds and equity. We first explicitly give the default boundaries and the values of a deposit, straight bond, WD bond, equity and bank asset, and then use a numerical example to demonstrate the relations among leverage, deposits, WD bonds and bank value. Our results show that value-maximizing banks select the ratio of deposit, straight bond and WD debt so that endogenous default is consistent with exogenous bank closure. The bank increases its leverage by swapping both deposits and straight bonds for WD bonds. And the issuance of WD bonds not only reduces the expected bankruptcy loss and credit spread of straight bonds, but also improves the bank value. This indicates that WD bonds do help to stabilize banks. We also study the role of deposit insurance and the Chinese Financial Stability Bureau (FSB), and give a closed-form expression for the fair insurance premium. Lastly, to check the robustness of our results, we do the sensitivity analysis and investigate the effect of three sets of exogenous parameters on bank capital structure: WD parameters, bank business features, closure rules and insurance subsidy, and obtain some practically significant implications.     

公司债券市场流动性有效衡量及实证检验

摘要：公司债券的流动性问题越来越受到研究者的关注,而且随着理论研究扩展和实践的加深,流动性出现了很多不同的度量指标。本文在对公司债券市场流动性测量方法进行总结的基础上,实证检验了我国公司债券的流动性状况,分析了当前公司债券市场流动性存在的问题,并提出改革公司债券流动性的相关建议。     

Where Are They Now? An Analysis of the Life Cycle of Convertible Bonds

We study the determinants of the life convertible bonds' life span issued between 1980 and 1998. About 60% of the bonds survive either to a call or to their maturity. The issuers of the remaining bonds are delisted during the life of their bonds. Calls and delistings shorten the average life span of convertibles from the original 17 years to an effective life span of only seven years. Issuer's post‐issuance performance and investment behavior affect the effective life of convertibles. Our results support the sequential financing hypothesis, as bonds issued by firms with speedier investment schedules have shorter life spans.     

The association of departures from spending rate equilibrium to municipal borrowing cost

The U.S. municipal bond market has grown dramatically in recent decades. Debt financing has become a more important source of capital for municipalities, yet research into the association of fiscal management and borrowing cost has not been directly addressed since before GASB's formation in 1984. We attempt to fill this void and contribute to the dialog concerning municipal managerial competence and its association with borrowing cost by studying a sample of 3285 county general obligation bonds over a 13-year period. We resolve conflicting and counterintuitive results in prior work and demonstrate that the lowest borrowing cost is achieved where general fund revenues equal general fund expenditures (i.e., equilibrium spending rate). Further, we find that the association between spending rate and borrowing cost is nonmonotonic, nonlinear, and asymmetric. We demonstrate that maintenance of a spending rate equilibrium point may be a way of achieving minimum borrowing cost. In the context of fiscal constraints and the increased reliance on credit markets by municipalities, managing to the spending rate equilibrium may reduce the borrowing costs of providing municipal services.