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.

中文翻译：

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CLO性能

我们研究抵押贷款义务 (CLO) 的表现，以了解导致这些工具产生的市场缺陷及其相应的经济成本。CLO 股权部分从杠杆贷款和 CLO 债务部分之间的风险调整后价格差异中获得正异常回报。与评级相似的公司债券相比，债务部分提供更高的回报，使其对面临基于风险的资本要求的银行和保险公司具有吸引力。股票表现的时间变化凸显了 CLO 对市场波动的弹性，这是由于其封闭式结构、长期融资和对本金收益再投资的嵌入式期权。