قیمت گذاری اوراق قرضه شرکتی در برزیل: 2000 تا 2004

This paper analyzes the factors that influence the issuing price of debentures in Brazil in the period from year 2000 to 2004, applying a factor model, in which exogenous variables explain return and price behavior. The variables in this study include: rating, choice of index, maturity, country risk, basic interest rate, long-term and short-term rate spread, the stock market index, and the foreign exchange rate. Results indicate that the index variable, probability of default and bond's maturity influence pricing and points out associations of long-term bonds with better rating issues.

In Brazil, Debentures are equivalent to Bonds and are the most important credit instrument for corporations' capitalization in the local market. Nevertheless, its total outstanding is minor when comparing to the volume of governmental bonds due to the crowding out phenomenon: as of December 2005, Brazilian treasuries totalizes U$ 410 billions for a U$ 36 billions outstanding of debentures (BCB, 2005). Less offering of treasuries will increase demand on corporate bonds and broadening the understanding of the price behavior is then fundamental. This paper develops an exploratory analysis of factors that influence the pricing of debentures' first issuing in Brazil: the relative importance of factors in spread pricing, the existence of choice by indexes and the clustering of issues regarding maturity and rating. Important in this work is the discussion on the relation between credit quality and maturity, relevant to the capitalization of companies that access local capital markets. The securities under analysis are Brazilian corporate Bonds with local market issuing, with a rating, and where the calculation of the money value of principal and coupon payments includes an index variation. These indexes are the CDI, a one day inter-bank market rate, and the IGPM, a Brazilian inflation index, and they represent the majority of primary market. Rating, indexing, maturity, country risk, basic interest rate, long-term and short-term rates premium, stock index, and foreign exchange rate are the variables in the analysis. The period under consideration is between years 2000 and 2004. The text has five sections, including this introduction: a background with prior studies and relevant literature, the methodological procedures showing the discussion of sample formation and variables, the data analysis and empirical results of multivariate techniques, and the conclusions.

The regression model (Table 1) shows a prevalence of the variable of the indexing group in the composition of the spread, along with the variables default probability and maturity. The importance of the default probability is a consequence of higher risks, when investors demand for higher rates. Despite the potential existence of arbitrage between the indexing groups, the model reveals a preference for the IGPM index, due to the fact that the index variable has positive correlation with the spread variable, showing that IGPM bonds tend to present higher spreads. The standardized coefficients reveal a predominance of variable “d_index”, followed by “probdef” and “matur”.