Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/202867 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Danmarks Nationalbank Working Papers No. 127
Verlag: 
Danmarks Nationalbank, Copenhagen
Zusammenfassung: 
The collateralized loan obligation, CLO, market withstood the recent financial crisis with minimal losses compared to other structured asset-backed securities. Furthermore, the issuance of new CLOs is now above pre-crisis levels, prompting an understanding of what drives CLO performance. A central difference between CLOs and other structured asset-backed securities is that the CLO manager actively rebalances the collateral pool, by selling and purchasing loans, to enhance the CLO performance. We analyze such trades executed by CLO managers and document the importance of "active loan trades" - trades executed at a manager's discretion. We find that active loan sales are conducted at better prices than non-active sales and before rating downgrades. More active CLOs trade at better prices than less active CLOs, selling leveraged loans earlier and before they get downgraded. Finally, we observe that more active trading increases the returns to equity investors and lowers collateral portfolio default rates.
Schlagwörter: 
Financial markets
Instruments
JEL: 
G11
G12
G23
G24
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.1 MB





Publikationen in EconStor sind urheberrechtlich geschützt.