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

Buscaino, Valerio; Caselli, Stefano; Corielli, Francesco; Gatti, Stefano

doi:10.1111/j.1468-036x.2010.00560.x

Cited by 31 publications

(29 citation statements)

References 23 publications

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“…and Buscaino et al (2012). Empirical studies on the pricing of PF loans include Megginson (2000, 2003), Kleimeier and Megginson (2000), Esty (2004), Harjoto et al (2006), Blanc-Brude and Strande (2007), Gatti et al (2007), Sorge and Gadanecz (2008), and Corielli et al (2010).…”

Section: The Determinants Of Credit Spreads For Sf and Sdf Transactionsmentioning

confidence: 99%

A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance

Marques

Pinto

2020

Journal of Corporate Finance

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Structured finance (SF)project finance (PF) loans and asset securitization (AS) bondsand straight debt finance (SDF)corporate bonds (CB)transactions are priced in segmented capital markets. Credit spreads are higher for PF loans than they are for AS and CB issues. SF and SDF credit spreads are directly related to default and currency risks, while the slope of the yield curve impacts negatively the credit spreads. The loan to value ratio proves positively related to PF loans and negatively related to AS bonds, while the number of banks has a negative impact on the credit spread for AS and CB issues. PF loan credit spreads and fees are shown to be complements rather than supplements. Borrowers from the U.K. raise funds in PF and CB markets at a higher credit spread and the impact of country risk on the credit spread is positive for PF and CB issues. The 2007/2008 financial crisis have imposed a significant impact on credit spreads. The average credit spread has increased 329.1 bps for PF loans, 206.5 bps for AS bonds, and 220.3 bps for CB issues during the crisis period. Finally, a robust hump-shaped relationship between credit spread and maturity is found for PF loans while a linear positive relationship remains strongly significant for CB.

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Section: The Determinants Of Credit Spreads For Sf and Sdf Transactionsmentioning

confidence: 99%

A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance

Marques

Pinto

2020

Journal of Corporate Finance

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“…Bridge loans were not considered part of the loan duration in our analysis. Buscaino et al [10] find that the loan duration does not play a significant role in determining a project's debt ratio for advanced economies. Unlike in corporate finance, where risky firms seem to borrow in the middle of the maturity range [30], project finance allows longer debt durations with risks shared among sponsors and various types of investors [1,26,50].…”

Section: Model and Data Descriptionmentioning

confidence: 99%

“…In addition to financial and military risk, the index takes into account the probability of a force majeure event and the risk of government restriction on capital transfer or foreign exchange. 10 This yearly classification ranges from 0 to 7, with 0 the lowest risk and 7 the highest. The GCC countries are classified as relatively stable economies if their ratings vary between 3 and 6 for the duration of the sample.…”

Section: Model and Data Descriptionmentioning

confidence: 99%

Energy project financing in the GCC region: an empirical investigation

Atalla

D’Errico

2019

Energy Transit

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This paper analyzes the capital structure of energy infrastructure projects in the Gulf Cooperation Council region, where energy projects form the bulk of the deal-making backload. The econometric estimation of 108 energy project finance for the period 2005-2014 valued at 258 bn USD sheds the light on the success factors for such projects in the region, confirming the relevant relationships among project size, owner concentration and debt duration. The analysis illustrates the roles that debt, equity, interest rate, and the economic crisis play in the financial structuring of infrastructure projects in rapidly growing emerging markets. First, it confirms that longer debt duration is correlated with higher debt ratio. Second, it shows that larger project size is correlated with lower debt ownership concentration. Third, the financial crisis had a different effect on debt ratio and debt duration. Fourth, project size and interest rate are negatively correlated, although regional specific patterns would emerge when comparing the effects of the 2008 financial crisis on interest rates. These findings have several multilevel implications for regulators, debt issuers and investors. For regulators, findings amplify the way in which to improve debt issuance in GCC countries. For issuers, findings suggest that they should be more concerned about the bonds' security and seniority as the firm-specific characteristics, such as size and debt and equity concentration of finance project, affect the capital structure. For investors, the study offers an analytical framework to investigate bonds' structure before investing.

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“…The resurgence of the originate-to-distribute model has raised the interest for the securitisation model by institutional investors. The advantage of this model is that these kind of loans structured as bonds can be tailored to the specific needs of institutional investors given the flexibility in creating portfolios originated in different sectors and countries (Buscaino et al 2012). As an example of this technique, in 2012 Natixis has structured a mechanism that enables institutional investors to invest in infrastructure loans via a securitisation vehicle.…”

Section: Recent Initiatives In the Debt Market For Infrastructurementioning

confidence: 99%

Financing infrastructure – International trends

Croce¹,

Gatti²

2014

OECD Journal: Financial Market Trends

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The infrastructure financing market has gone through a process of radical transformation starting from the mid-2000s. Different reasons-including a changed macroeconomic environment, more stringent regulations on financial intermediaries, and a modified appetite for long-term asset investments-have led to a reallocation of flows from the banking sector to the institutional investors sector. This article provides an overview of international trends in infrastructure finance. It proposes a map of the different investment channels that private investors can use to access the infrastructure investment on the equity and debt side, highlighting the historical evolution of these segments in the past few years. Recently designed financial structures, such as different forms of partnership between banks and institutional investors, securitisation models and debt/credit fund vehicles, are also taken into consideration.

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

Cited by 31 publications

References 23 publications

A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance

A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance

Energy project financing in the GCC region: an empirical investigation

Financing infrastructure – International trends

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