TY  - JOUR
AU  - Benmelech,Efraim
AU  - Dlugosz,Jennifer
TI  - The Alchemy of CDO Credit Ratings
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14878
PY  - 2009
Y2  - April 2009
UR  - http://www.nber.org/papers/w14878
L1  - http://www.nber.org/papers/w14878.pdf
N1  - Author contact info:
Efraim Benmelech
Harvard University
Department of Economics
Littauer 233
Cambridge, MA 02138
Tel: 617/496-4787
Fax: 617/495-8570
E-Mail: effi_benmelech@harvard.edu

Jennifer L. Dlugosz
Federal Reserve Board
20th Street and Constitution Ave. NW
Washington, DC 20551
E-Mail: jennifer.l.dlugosz@frb.gov
AB  - Collateralized Loan Obligations (CLOs) were one of the largest and fastest growing segments of the structured finance market, fueling the 2003-2007 boom in syndicated loans and leveraged buyouts. The credit crisis brought CLO issuance to a halt, and as a result the leveraged loan market dried up. Similar to other structured finance products, investors in CLOs rely heavily on credit rating provided by the rating agencies, yet little is known about CLO rating practices. This paper attempts to fill that gap. Using novel hand-collected data on 3,912 tranches of Collateralized Loan Obligations (CLO) we document the rating practices of CLOs and analyze their existing structures.
ER  -