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The Journal of Structured Finance

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How Much Do Issuers “Overlap” in CLOs of Recent
Vintages?

David Yan
The Journal of Structured Finance Fall 2013, 19 (3) 62-66; DOI: https://doi.org/10.3905/jsf.2013.19.3.062
David Yan
is global head of CLO/CDO research at Credit Suisse Securities (USA) LLC in New York, NY.
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  • For correspondence: david.yan@credit-suisse.com
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Abstract

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

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The Journal of Structured Finance: 19 (3)
The Journal of Structured Finance
Vol. 19, Issue 3
Fall 2013
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How Much Do Issuers “Overlap” in CLOs of Recent
Vintages?
David Yan
The Journal of Structured Finance Oct 2013, 19 (3) 62-66; DOI: 10.3905/jsf.2013.19.3.062

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How Much Do Issuers “Overlap” in CLOs of Recent
Vintages?
David Yan
The Journal of Structured Finance Oct 2013, 19 (3) 62-66; DOI: 10.3905/jsf.2013.19.3.062
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  • Article
    • Abstract
    • WHO ARE THE MOST “POPULAR” ISSUERS/BORROWERS?
    • WHICH CLOS ARE MORE EXPOSED TO THE MOST POPULAR ISSUERS?
    • HOW MUCH OVERLAP CAN TWO CLOS HAVE?
    • ENDNOTES
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