Project Finance Collateralized Debt Obligations: An Empirical Analysis on Spread Determinants
35 Pages Posted: 15 Apr 2010
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: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
By Hayne E. Leland and Jure Skarabot
-
Infrastructure Project Finance and Capital Flows: A New Perspective
By Mansoor Dailami and Danny Leipziger
-
Why Study Large Projects? An Introduction to Research on Project Finance
-
The Term Structure of Credit Spreads in Project Finance
By Blaise Gadanecz and Marco Sorge
-
Government Support to Private Infrastructure Projects in Emerging Markets
By Mansoor Dailami and Michael U. Klein
-
Project Finance as a Risk-Management Tool in International Syndicated Lending
By Christa Hainz and Stefanie Kleimeier
-
Measuring Value-at-Risk in Project Finance Transactions
By Stefano Gatti, Alvaro Rigamonti, ...
-
Risk, Taxpayers, and the Role of Government in Project Finance
-
The Emerging Project Bond Market: Covenant Provisions and Credit Spreads