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

Pinto, João; Marques, Manuel O.; Megginson, William L.

Publication

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

2014Conference object

dc.contributor.author	Pinto, João
dc.contributor.author	Marques, Manuel O.
dc.contributor.author	Megginson, William L.
dc.date.accessioned	2016-12-21T14:47:13Z
dc.date.available	2016-12-21T14:47:13Z
dc.date.issued	2014
dc.description.abstract	Structured finance (SF) – project finance (PF) loans and asset securitization (AS) bonds – and 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.	pt_PT
dc.description.version	info:eu-repo/semantics/publishedVersion	pt_PT
dc.identifier.citation	PINTO, João; MARQUES, Manuel O.; MEGGINSON, William L. - A comparative analysis of ex ante credit spreads: structured finance versus straight debt finance – In 8th Portuguese Finance Network Conference, Vilamoura, Portugal, 18 Junho, 2014. – In COELHO, Luís Miguel Serra; PEIXINHO, Rúben Miguel Torcato Peixinho (org) - Portuguese Finance Network Conference. Algarve: School of Economics - University of the Algarve, 2014. ISBN 978-989-20-4584. p. 71-123	pt_PT
dc.identifier.uri	http://hdl.handle.net/10400.14/21126
dc.language.iso	eng	pt_PT
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/	pt_PT
dc.subject	loan and bond pricing	pt_PT
dc.subject	Structured finance	pt_PT
dc.subject	Straight debt finance	pt_PT
dc.subject	Project finance	pt_PT
dc.subject	Asset securitization	pt_PT
dc.subject	Corporate bonds	pt_PT
dc.subject	Financial crisis	pt_PT
dc.subject	Term structure of credit spreads.	pt_PT
dc.title	A comparative analysis of ex ante credit spreads: structured finance versus straight debt finance	pt_PT
dc.type	conference object
dspace.entity.type	Publication
rcaap.rights	openAccess	pt_PT
rcaap.type	conferenceObject	pt_PT