Arbeitspapier

Active loan trading

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.

Sprache
Englisch

Erschienen in
Series: Danmarks Nationalbank Working Papers ; No. 127

Klassifikation
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Thema
Financial markets
Instruments

Ereignis
Geistige Schöpfung
(wer)
Fabozzi, Frank J.
Klingler, Sven
Mølgaard, Pia
Nielsen, Mads Stenbo
Ereignis
Veröffentlichung
(wer)
Danmarks Nationalbank
(wo)
Copenhagen
(wann)
2018

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Fabozzi, Frank J.
  • Klingler, Sven
  • Mølgaard, Pia
  • Nielsen, Mads Stenbo
  • Danmarks Nationalbank

Entstanden

  • 2018

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