信用利差代表持有一信用风险工具所享有之溢酬在此我们以殖利率差.DOC

Loan Pricing Behavior of Financial Institutions--Empirical Study from SME Non-Securitized Transactions Steven Ching** Joint Credit Information Center Dora Hsu Joint Credit Information Center Abstract This study purports to examine the pricing behavior of financial institutions issuing unsecured loans to SME of varying types. Through data analysis, we hope to answer the following three questions: (1) Does the pricing behavior reflect the credit quality of these customers? (2) Do borrowers of low credit quality exhibit humped- shaped and downward sloping interest rate term structures? (3) For borrowers of the same ratings with or without accounting information provided, are the firms providing these information encouraged with preferential loan rates? To answer the first question, we include firms with different credit ratings, with loans backed by guarantees or not. As we include only the non-securitized transactions in our study, securitized transaction is not under the discussion of this study. The results indicated that the loan rates financial institutions issue to firms with different risk profiles, with varying credit ratings and loan maturities, are statistically different. The higher the credit rating of an obligor, the lower the loan rate that is given, and vice versa. The result with loans backed by guarantees seems controversial. No significant difference exhibited between loans backed by guarantees and those that are not. This may be due to the current prevailing practice that financial institutions accepted guarantees come generally from the important related parties of the borrowing firms (such as the chairman or the board of directors), the high risk association grant the accepted guarantees to be little worth in practice. The framework of traditional credit risk model seems to imply that low grade customers may exhibit higher asset growth opportunity when compared to high grade customers. On our second question, we fine that time-series wise