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

20 Pages Posted: 20 Oct 2012

See all articles by Valerio Buscaino

Valerio Buscaino

affiliation not provided to SSRN

Stefano Caselli

Bocconi University - Department of Finance

Francesco Corielli

Bocconi University - Department of Finance

Stefano Gatti

Bocconi University - Department of Finance

Date Written: November 2012

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.

Keywords: collateralised debt obligations, project finance

JEL Classification: G12, G15

Suggested Citation

Buscaino, Valerio and Caselli, Stefano and Corielli, Francesco and Gatti, Stefano, Project Finance Collateralised Debt Obligations: An Empirical Analysis of Spread Determinants (November 2012). European Financial Management, Vol. 18, Issue 5, pp. 950-969, 2012. Available at SSRN: https://ssrn.com/abstract=2164031 or http://dx.doi.org/10.1111/j.1468-036X.2010.00560.x

Valerio Buscaino (Contact Author)

affiliation not provided to SSRN ( email )

Stefano Caselli

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

Francesco Corielli

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

Stefano Gatti

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

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