Are CLO Collateral and Tranche Ratings Disconnected?
研究发现2020年3-8月标普和穆迪对CLO抵押品降级约25%，但分层评级仅降2%，不对称降级源于管理人调整抵押品组合和评级机构定性调整，对政策和市场有重要启示。
Abstract Between March and August 2020, S&P and Moody’s downgraded approximately 25$\%$ of collateral feeding into CLOs and only 2$\%$ of tranche values, with rating actions concentrating in junior tranches. Both S&P and Moody’s modeling indicate that the impacts should have been considerably larger, especially for higher-rated tranches. Neither changes in correlation nor the accumulation of pre-COVID-19 protective cushions can explain the downgrade asymmetry on upper tranches. Instead, CLO managers repositioned their collateral pools to dampen the negative credit shock and rating agencies incorporated qualitative adjustments in their CLO ratings. Important potential policy and market implications from these findings are discussed. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.