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Abstract(s)
Na presente dissertação analisa-se empiricamente (i) os fatores que explicam o spread dos empréstimos em operações de LBOs; (ii) se os spreads nestas operações variam significativamente entre operações desenvolvidas em países com sistema financeiro baseado na banca e aqueles com um sistema financeiro baseado em mercados de capitais; (iii) se a estrutura temporal dos spreads em operações de LBOs é semelhante à verificada em empréstimos a operações de project finance; e (iv) o impacto da crise financeira internacional de 2007/2008 e a subsequente crise de dívida soberana sobre o pricing destes empréstimos.
Com base numa amostra de 9.201 tranches de empréstimos sindicados concedidos a operações de LBOs, no período de 2000 a 2013, e com recurso ao método dos Mínimos Quadrados Ordinários, verificou-se que o spread tem uma relação significativa e positiva com a maturidade do empréstimo, o rating, o tipo de sistema financeiro e a crise financeira. Contrariamente, esta relação é significativa e negativa para a dimensão da tranche, o loan-to-value, o número de tranches, o risco cambial, o número de bancos envolvidos, o tipo de taxa de juro, a taxa de juro sem risco e a inclinação da curva da taxa de juro.
Encontrou-se ainda evidência empírica de que o spread cobrado em operações de LBOs varia em função do tipo do sistema financeiro do país onde a operação é desenvolvida (sendo maior em operações desenvolvidas em países com sistema financeiro baseado em mercados de capitais) e que a crise financeira afetou não só o spread dos empréstimos, mas também os fatores que o determinam. Finalmente, encontrou-se evidência empírica de uma estrutura temporal dos spreads do tipo convexa para as operações de LBOs.
In this dissertation we analyze (i) the factors that explain credit spreads in LBO transactions; (ii) if credit spreads in LBO transactions changes significantly between transactions carried out in bank versus market based countries; (iii) if the term structure of spreads in LBO transactions are similar to those in project finance transactions; and (iv) the impact of the 2007/2008 financial crisis and the subsequent sovereign debt crisis in the pricing of these loans. Based on a sample of 9.201 tranches of syndicated loans to LBO transactions, closed during the 2000-2013 period, it was found that the maturity, rating, the type of financial system and crisis have a positive and significant impact on credit spread. Contrary, the relationship between the credit spread and the tranche size, the loan-to-value, the number of tranches, the currency risk, the number of banks in the syndicate, the type of interest rate, the risk-free interest rate and the slope of interest rate curve is significant and negative. It was also found that the credit spread is significantly affected by the type of country´s financial system where the operation is developed (being higher in transactions carried out in market based countries) as well as by the financial crisis. Finally, it was found a convex term structure of spreads for LBO transactions.
In this dissertation we analyze (i) the factors that explain credit spreads in LBO transactions; (ii) if credit spreads in LBO transactions changes significantly between transactions carried out in bank versus market based countries; (iii) if the term structure of spreads in LBO transactions are similar to those in project finance transactions; and (iv) the impact of the 2007/2008 financial crisis and the subsequent sovereign debt crisis in the pricing of these loans. Based on a sample of 9.201 tranches of syndicated loans to LBO transactions, closed during the 2000-2013 period, it was found that the maturity, rating, the type of financial system and crisis have a positive and significant impact on credit spread. Contrary, the relationship between the credit spread and the tranche size, the loan-to-value, the number of tranches, the currency risk, the number of banks in the syndicate, the type of interest rate, the risk-free interest rate and the slope of interest rate curve is significant and negative. It was also found that the credit spread is significantly affected by the type of country´s financial system where the operation is developed (being higher in transactions carried out in market based countries) as well as by the financial crisis. Finally, it was found a convex term structure of spreads for LBO transactions.
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Keywords
Determinantes do spread Empréstimos sindicados LBO Spread determinants Syndicated loans