This master dissertation analyses the covenants renegotiation issue in the Italian Mini-bond market, focusing on data available to subscribers during the contract drawing up. The final aim is to provide empirical evidence on aspects influencing this phenomenon. Information examined are about past issues of Mini-bonds, focusing on already happened renegotiation. Initially, needs that spurred the Italian Government to create the Mini-bond instrument and different covenants typologies are assessed. A complete analysis on the Mini-bond market is provided, to clarify the context of this work. The theoretical impact of aspects influencing covenants renegotiation is evaluated considering different perspectives. After that, a quantitative analysis is conducted: data gathered are assessed using non-parametric tests and a correlation matrix to select proper independent variables. A logit methodology is used to evaluate whether some identified variables affect the renegotiation issue, modelled as the dependent variable. Results obtained show the relevance of issuing an investment grade bond on the renegotiation likelihood, in order to avoid possible future rating downgrades. Moreover, securities with a high coupon increase the probability of facing future hurdles. Conversely, positive Italian GDP growth and companies experience (measured with their age) act as mitigating factors for future covenants renegotiation.
Questa tesi analizza la rinegoziazione dei covenant nel mercato italiano dei Mini-bond, concentrandosi sulle informazioni disponibili agli investitori durante la stesura del contratto. L'obiettivo finale è fornire prove empiriche riguardo aspetti significativi che influenzano il fenomeno. Le informazioni utilizzate si riferiscono a passate emissioni di Mini-bond con uno specifico focus sulle rinegoziazioni dei contratti. Inizialmente, i bisogni che hanno portato alla nascita del mercato dei Mini-bond in Italia e le varie tipologie di covenant esistenti sono state analizzate. Un’analisi del mercato di tali obbligazioni è proposta evidenziando i fattori che hanno influenzato la valutazione empirica successivamente condotta. Dopo aver mostrato l'impatto teorico delle variabili identificate da diverse prospettive, un’analisi quantitativa è proposta. I dati raccolti sono stati valutati utilizzando test non parametrici e una matrice di correlazione, per selezionare le variabili indipendenti rilevanti. Infine, una regressione logistica è stata utilizzata per definire empiricamente l’influenza delle variabili identificate sulle rinegoziazioni di contratti di Mini-bond. E’ dimostrato che avere una valutazione Investment Grade aumenta la probabilità di future ridiscussioni, per proteggere l’emittente da eventuali abbassamenti di rating. Avere un elevato coupon è un ulteriore fattore accrescitivo di potenziali future modifiche di contratto. Al contrario, la crescita del PIL nazionale e l’esperienza maturata dall’emittente mitigano future rinegoziazioni di covenant.
Covenants renegotiation in the mini-bond market : empirical evidence
GRISONI, ANDREA
2017/2018
Abstract
This master dissertation analyses the covenants renegotiation issue in the Italian Mini-bond market, focusing on data available to subscribers during the contract drawing up. The final aim is to provide empirical evidence on aspects influencing this phenomenon. Information examined are about past issues of Mini-bonds, focusing on already happened renegotiation. Initially, needs that spurred the Italian Government to create the Mini-bond instrument and different covenants typologies are assessed. A complete analysis on the Mini-bond market is provided, to clarify the context of this work. The theoretical impact of aspects influencing covenants renegotiation is evaluated considering different perspectives. After that, a quantitative analysis is conducted: data gathered are assessed using non-parametric tests and a correlation matrix to select proper independent variables. A logit methodology is used to evaluate whether some identified variables affect the renegotiation issue, modelled as the dependent variable. Results obtained show the relevance of issuing an investment grade bond on the renegotiation likelihood, in order to avoid possible future rating downgrades. Moreover, securities with a high coupon increase the probability of facing future hurdles. Conversely, positive Italian GDP growth and companies experience (measured with their age) act as mitigating factors for future covenants renegotiation.File | Dimensione | Formato | |
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https://hdl.handle.net/10589/141346