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Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants

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  • Valerio Buscaino
  • Stefano Caselli
  • Francesco Corielli
  • Stefano Gatti

Abstract

Credit rating is the most important variable in determining tranche spread at issue on collateralised debt obligations (CDOs) issues backed by project finance (PF) loans. Factors that are important for pricing in the case of corporate bonds, such as market liquidity and weighted average maturity, are also relevant for determining spreads for these securities. Furthermore, the nature of the underlying assets has a substantial impact on CDO pricing: Primary market spread is significantly higher when the underlying PF loans bear a higher level of market risk and when the proportion of projects still under construction in the securitised portfolio is larger.

Suggested Citation

  • Valerio Buscaino & Stefano Caselli & Francesco Corielli & Stefano Gatti, 2012. "Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants," European Financial Management, European Financial Management Association, vol. 18(5), pages 950-969, November.
  • Handle: RePEc:bla:eufman:v:18:y:2012:i:5:p:950-969
    DOI: 10.1111/j.1468-036X.2010.00560.x
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    File URL: https://doi.org/10.1111/j.1468-036X.2010.00560.x
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    Cited by:

    1. Marques, Manuel O. & Pinto, João M., 2020. "A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance," Journal of Corporate Finance, Elsevier, vol. 62(C).
    2. Eduardo Fernandes Cazassa & Richard Saito, 2016. "Rating para CRIs: vale a pena?," LARES lares-16-cazassa_ratings_, Latin American Real Estate Society (LARES).
    3. Cruz, Carlos Oliveira & Sarmento, Joaquim Miranda, 2018. "The price of project finance loans for highways," Research in Transportation Economics, Elsevier, vol. 70(C), pages 161-172.
    4. João M. Pinto & Mafalda C. Correia, 2017. "Are Covered Bonds Different from Asset Securitization Bonds?," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
    5. Ana Litocenco, 2017. "Innovations In Financing Infrastructure Investments," Fostering Knowledge Triange in Moldova: 2017 Conference Proceedings,, Academy of Economic Studies of Moldova, Centre for Studies in European Integration.
    6. João Pinto, 2014. "What is Project Finance?," Working Papers de Economia (Economics Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
    7. Zapata Quimbayo, Carlos Andrés, 2020. "Probabilidad de incumplimiento en inversiones de infraestructura: análisis a partir de modelos estructurales de riesgo de crédito || Probability of default in infrastructure projects: analysis from st," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 30(1), pages 327-345, December.

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