Specific factors
In the previous section the factors most popular in earlier researches were described in order to build a regression model of corporate bonds' yield spreads at the moment of their placement. Each factor was offered an economic justification for its application, a subjective hypothesis was formulated, which will be tested in this issue, as well as an explanation of the inappropriateness of this or that factor for the Russian bond market. This section will attempt to identify the determinants that can also be used as exogenous variables to explain the yield spread of bank bonds, and that were not used in earlier works because they are specific to the Russian market.
Placement format.
The history of Russian corporate bond placements includes three placement methods:
- Dutch coupon auction;
- Dutch auction by price;
- Bookbuilding.
Up until 2009, the Dutch coupon auction was practically the only corporate bond placement format. Placement under such an arrangement assumes that bids submitted by future buyers of the bonds are satisfied "blindly": neither the issuer nor the underwriter could have any influence on the distribution of the bonds among the investors. February 2008 was marked by the fact that for the first time corporate bonds (TGK-10 worth Rb 5bn) were placed by bookbinding. By the end of 2008, the share of bonds placed in this way reached 13%. And so gradually, by 2013, the bookbinding format gradually replaced the coupon auction, reaching a share of 95%. Placement through bookbinding allows the issuer to influence the final allocation of securities, which can certainly have a positive impact on the liquidity of the secondary market. Of course, such an advantage will come at the expense of increasing the cost of the loan, as it may be necessary to satisfy applications with a higher coupon rate, bypassing applications with a lower cost, but less desirable counterpart. Thus, the placement price of the entire bond issue by bookbilding method will be slightly higher than in the case of using the Dutch coupon auction method.
Type of bond
Following the emergence of a new method of placement for the Russian corporate bond market, a new type of bond, called stock exchange bonds, appears. All bonds that are not exchange-traded can be all bonds can be exchanged - it is an "issue security that allows you to attract additional financial resources for any period on a simplified procedure of issue, designed for a wide range of investors" (website of the Moscow Exchange). Exchange-traded bonds have a number of advantages:
- Such bonds do not require state registration (usually the registration of issues is carried out directly by the stock exchange, which significantly reduces the period of preparation for their placement);
- The report on the results of the issue does not require state registration (according to the stock exchange legislation, the corresponding notification should be sent to the Federal Financial Markets Service);
- the issuer of exchange-traded bonds does not have to pay the state duty for the registration of the bond issue (this leads to a reduction in the cost of borrowing, as the amount of this duty is 0.2% of the nominal amount of issue, but not more than 200,000 rubles);
- the requirements to the issue documents of exchange-traded bonds (prospectus) are less stringent in comparison with the issue of classic bonds
Consumer price index.
The period under consideration is remarkable for the behavior of the consumer price index against the background of the key rate. In the second half of 2015, the CPI exceeded the key rate by 4%, while at the beginning of 2017 the key rate was already twice as high as inflation, with a difference of about 5%. Thus, there is a certain "disconnect" between the CPI and the Central Bank rate. In connection with such observations, in my opinion, there is a quite natural question - can the CPI explain part of the spread of corporate bonds' yields? The natural desire of any market participant is at least to preserve its capital so that it does not lose its purchasing power, not to mention its increase. Therefore, a simple hypothesis is put forward: the growth of the consumer price index in anticipation of placement prompts the investor to demand higher profitability. The model will include such a parameter as price increase to the corresponding month of the previous year at the time of bond issue.
The Fisher's full effect hypothesis suggests that the nominal interest rate is equal to the sum of the real interest rate and the expected inflation. In the time interval under consideration there is a site where this hypothesis is violated.