Adverse Selection Dynamics in Privately Produced Safe Debt Markets
研究了私人生产的安全债务（如CLO的AAA级债券）在宏观冲击（如疫情）下如何变得信息敏感，并分解了其买卖价差中的逆向选择成分，对理解债务市场流动性风险有参考价值。
Privately produced safe debt is designed so that there is no adverse selection in trade. But in some macro states—here, the onset of the pandemic—it becomes profitable for some agents to produce private information, and then agents face adverse selection when they trade the debt (i.e., it becomes information sensitive). We empirically study these adverse selection dynamics in a very important asset class, collateralized loan obligations (CLOs), which finance loans to below-investment-grade firms. We decompose the bid-ask spreads on the AAA bonds of CLOs into a component reflecting dealer bank balance sheet costs and the adverse selection component.