Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/545
Type: Trabalho de Conclusão de Curso
Title: Structured finance and securitization: a study of the Brazilian case
Authors: Sbrana Junior, Alberto Atilio
Advisor: Rocha, Ricardo Humberto
Publication Date: 2010
Keywords in original language : Securitization
Structured finance
FIDC
Capital markets
Abstract: The present work seeks to develop a deeper knowledge in a theme that is still developing itself in the Brazilian capital market, but is highly explored in the foreign markets. The available data on the topic is scarce and little transparent, which limits the empirical analysis. The content of this work offers a review on the relevant characteristics of the Structured Finance and on the Brazilian market for those instruments, as well as an empirical study of the relevant factors on the pricing of the quotas issued by FIDCs, the Brazilian special purpose vehicle for Securitization. A sample of 32 FIDC quotas offerings was used to build the regression of the pricing. Among the results attained, it was possible to conclude that the level of activity reflected on the Ibovespa index, the rating of the tranche of a FIDC quota, and the date of the issuance were factors that helped to explain the spread over the CDI promised by the quota. Other variables were proven irrelevant, such as the originator’s rating, showing that the fundamentals of the theory seem to be well reflected on the promised spread.
Language: Inglês
Copyright: Todos os documentos desta Coleção podem ser acessados, mantendo-se os direitos dos autores pela citação da origem.
Appears in Collections:Graduação em Economia

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