贷款抵押债务剖析:契约的起源与契约设计

Shohini Kundu
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引用次数: 3

摘要

本文对贷款抵押债券(CLO)市场进行了剖析,并考察了契约在促进信贷提供方面的意义。自2008年金融危机以来,杠杆贷款市场出现了前所未有的增长。clo在向企业提供信贷方面发挥着越来越重要的作用,据2019年的报告,clo占所有新增机构杠杆贷款的75%。杠杆贷款和CLO市场的兴起引起了各国央行的注意,它们一直关注市场的增长以及中介机构、杠杆借款人和投资者之间相互联系的不透明性质。尽管它们越来越重要,但人们对CLO中介机构知之甚少。在本文中,我描述了CLO市场中固有的代理摩擦,并讨论了如何从减少这种摩擦的契约中衍生出最优合约。此外,我还描述了促进CLO市场快速增长的宏观经济环境,以及最近发生的变化。了解位于投资者和贷款辛迪加之间的clo中介机构的结构方面和动态,对于分析市场内部、契约的作用以及深入了解影子银行部门和其他证券化至关重要。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Anatomy of Collateralized Loan Obligations: On the Origins of Covenants and Contract Design
This paper provides a dissection of the Collateralized Loan Obligation (CLO) market and examines the significance of covenants in facilitating the provision of credit. Since the Great Financial Crisis of 2008, the leveraged loan market has witnessed unprecedented growth. CLOs play an increasingly central role in the provision of credit to corporations, holding as much as 75% of all new institutional leveraged loans, as reported in 2019. The rise of the leveraged loan and CLO markets have attracted the attention of central banks which have been concerned with both the growth of the market and the opaque nature of interconnections between intermediaries, leveraged borrowers, and investors. Despite their increasing importance, little is understood about CLO intermediaries. In this paper, I describe the agency frictions inherent in the CLO market, and discuss how optimal contracts are derived with covenants that curtail such frictions. In addition, I describe the general macroeconomic milieu that has facilitated the rapid growth of the CLO market as well as recent changes that have developed. Understanding the structural aspects and dynamics of CLOs intermediaries, situated between investors and loan syndicates, is paramount for analysis of the innards of the market, the role of covenants, and developing insights into the shadow banking sector as well as other securitizations.
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