Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants
研究发现信用评级是决定项目融资担保债务凭证发行利差的最重要变量，同时市场流动性和加权平均期限等公司债定价因素也起作用，且基础资产的市场风险和在建项目比例越高，利差越大。
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.