Project Finance Collateralized Debt Obligations: An Empirical Analysis on Spread Determinants

35 Pages Posted: 15 Apr 2010

See all articles by Stefano Caselli

Stefano Caselli

Bocconi University - Department of Finance

Valerio Buscaino

affiliation not provided to SSRN

Francesco Corielli

Bocconi University - Department of Finance

Stefano Gatti

Bocconi University - Department of Finance

Date Written: January 8, 2010

Abstract

We find that credit rating is the most important variable in determining tranche spread at issue on Collateralized 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 on 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 securitized portfolio is larger.

Keywords: Collateralized Debt Obligations, Project Finance

JEL Classification: G12, G15

Suggested Citation

Caselli, Stefano and Buscaino, Valerio and Corielli, Francesco and Gatti, Stefano, Project Finance Collateralized Debt Obligations: An Empirical Analysis on Spread Determinants (January 8, 2010). Available at SSRN: https://ssrn.com/abstract=1590335 or http://dx.doi.org/10.2139/ssrn.1590335

Stefano Caselli

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

Valerio Buscaino

affiliation not provided to SSRN ( email )

Francesco Corielli

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

Stefano Gatti (Contact Author)

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

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