In this article, we empirically analyze European Collateralized Loan Obligations (CLOs) in the aftermath of the financial crisis. As Regulation introduced the so-called risk retention rule, originally designed to align interests between issuers and investors, we analyze the implications and effects of the risk retention rule on managed cash CLOs (arbitrage deals). Although the market suffered severely during the period after the rule was introduced, an alignment of interests between issuers and investors does not necessarily seem to have been attained. Here, we examine the implications of risk retention on asset pricing and find that CLO manager experience, credit rating and issuance amount are important factors that significantly influence pricing expectations of CLO investors. However, the form in which the CLO manager retains the risk does not seem to play a role.

在本文中，我们对金融危机后的欧洲抵押贷款义务 (CLO) 进行了实证分析。由于监管引入了所谓的风险保留规则，最初旨在协调发行人和投资者之间的利益，我们分析了风险保留规则对托管现金 CLO（套利交易）的影响和影响。尽管该规则出台后市场遭受重创，但发行人与投资者之间的利益似乎未必达成一致。在这里，我们研究了风险保留对资产定价的影响，发现 CLO 经理的经验、信用评级和发行数量是显着影响 CLO 投资者定价预期的重要因素。然而，