Fire-sale risk in the leveraged loan market

被引：2

作者：

Elkamhi, Redouane ^{[1
]}

Nozawa, Yoshio ^{[1
]}

机构：

[1] Univ Toronto, 105 St George St, Toronto, ON M5S 3E6, Canada

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2022年 / 146卷 / 03期

关键词：

Collateralized loan obligation; Fire sales; Leveraged loan; Shadow banking; Stress test; Systemic risk; DEBT; PERFORMANCE;

D O I：

10.1016/j.jfineco.2022.05.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 idiosyn-cratic shocks to large borrowers to the overall leveraged loan market.(c) 2022 Elsevier B.V. All rights reserved.

引用

页码：1120 / 1147

页数：28

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