Using detailed loan holding data of Collateralized Loan Obligations (CLOs), we document empirical evidence for the fire sale of leveraged loans due to leverage constraints on CLOs. Constrained CLOs are forced to sell loans downgraded to CCC or below, and thus loans widely held by constrained CLOs experience temporary price depreciation. This instability is exacerbated by diversification requirements. As the CLO market grows, each CLO’s effort to diversify its portfolio leads to similarity in loan holdings among CLOs, and thus their leverage constraints simultaneously bind. CLOs’ overlapping loan holdings spread idiosyncratic shocks to large borrowers to the overall leveraged loan market.

使用抵押贷款义务 (CLO) 的详细贷款持有数据，我们记录了由于 CLO 的杠杆限制而导致杠杆贷款抛售的经验证据。受限制的 CLO 被迫出售降级至 CCC 或以下的贷款，因此受限制的 CLO 广泛持有的贷款会出现暂时的价格贬值。多样化需求加剧了这种不稳定性。随着 CLO 市场的增长，每个 CLO 为其投资组合多样化所做的努力导致 CLO 之间的贷款持有量相似，因此它们的杠杆约束同时受到约束。CLO 的重叠贷款持有量将对大型借款人的特殊冲击扩散到整个杠杆贷款市场。