CLO Performance

• 成果类型: Article; Early Access
• 署名作者: Cordell, Larry; Roberts, Michael R.; Schwert, Michael
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; National Bureau of Economic Research; University of Pennsylvania; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13224
• 发表日期: 2023
• 关键词: Securitization; debt; MODEL; cost; RISK

摘要

We study the performance of collateralized loan obligations (CLOs) to understand the market imperfections giving rise to these vehicles and their corresponding economic costs. CLO equity tranches earn positive abnormal returns from the risk-adjusted price differential between leveraged loans and CLO debt tranches. Debt tranches offer higher returns than similarly rated corporate bonds, making them attractive to banks and insurers that face risk-based capital requirements. Temporal variation in equity performance highlights the resilience of CLOs to market volatility due to their closed-end structure, long-term funding, and embedded options to reinvest principal proceeds.