台灣公司債市場分券發行、交易價格合理性、以及信用曲線建立之研究

Abstract

早期台灣公司債分券問題嚴重，造成公司債價格代表性差，影響公司債市場發展，因此本文統計1991年至2009年公司債及金融債發行資料，發現2006年以後因證券商業同業公會公告自律規則，使得分券問題有效改善。此外，本文統計2006年至2009年間，公司債實際成交價格與由參考殖利率算出之報價間的差異，檢視台灣公司債市場交易價格合理性及券商提供的公司債參考利率準確性，結果顯示大部分交易日的實際交易價格均符合報價標準。最後，利用櫃檯買賣中心網站公布之公債零息殖利率曲線及公司債參考報價殖利率，推導出信用曲線，結果顯示由Cubic B-Spline模型求出的信用曲線，大多數均無法歸類為常見的四種圖形，而Svensson模型的信用曲線可歸類為U字型的比例較高，本文建立的模型能比較不同天期之信用曲線，並且可應用於評估個別債券之價值。

In early days, corporate bond tranche had been a serious problem in Taiwanese corporate bond markets because the transaction prices fail to reflect true values of the corporate bond. We analyzed the primary market of Taiwanese corporate bond from 1991 to 2009 and found that the tranche problem has been improved since the announcement of the bond tranches regulation in 2006. Furthermore, we calculated the differences between the quote prices and the transaction prices from 2006 to 2009 and studied the reasonableness of Taiwanese corporate bond prices. The results indicated that during most transaction days, the differences between the quote and transaction prices were insignificant. Finally, we constructed a model to establish credit curves using the Taiwanese treasury bond and corporate bond yield curves and compared the credit curves of multiple dates.