A Benchmark for Collateralized Loan Obligations

• 成果类型: Article
• 署名作者: Elkamhi, Redouane; Li, Ruicong; Nozawa, Yoshio
• 署名单位: University of Toronto; Hong Kong University of Science & Technology; University of Toronto; University Toronto Scarborough
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.00097
• 发表日期: 2025
• 关键词: corporate credit spreads; structural credit risk models; the Merton model; fixed income asset pricing

摘要

We build a benchmark for AAA -rated tranches of collateralized loan obligations (CLOs) using business development companies (BDCs), which hold a diversified portfolio of loans as CLOs do. BDCs are publicly listed, and their share price, equity volatility, and borrowing cost can be easily obtained. Applying a structural model to BDCs, we extract market -implied correlation in their loan portfolio, compare spreads on CLO tranches and BDC-implied benchmark, and find that observed large credit spreads on CLO senior tranches after the financial crisis are a fair reflection of the systematic risk of correlated loan defaults.