RT Journal Article SR Electronic T1 How Much Do Issuers “Overlap” in CLOs of Recent
Vintages? JF The Journal of Structured Finance FD Institutional Investor Journals SP 62 OP 66 DO 10.3905/jsf.2013.19.3.062 VO 19 IS 3 A1 David Yan YR 2013 UL https://pm-research.com/content/19/3/62.abstract AB The issue of too much overlapping of issuers/borrowers among collateralized loan obligation (CLO) pools has always been a concern for CLO investors. We explore three ways to measure the overlap of issuers among CLOs of recent vintages: 1) counting the number of CLOs sharing identical issuers of loans in their portfolios, 2) seeing which CLOs are more exposed to the most popular issuers, and 3) comparing each pair of CLOs on a one-by-one basis to see how much of their collateral is from the same issuers. Our results show that on a one-to-one basis, the overlap seems to fall within a range of 20% to 55%. For CLOs of the same manager, however, the overlap can go a lot higher. We believe these results should be very important for CLO investors when trying to improve the diversification of their CLO portfolios.TOPICS: CLOs, CDOs, and other structured credit, performance measurement