Working Papers present research work by both Danmarks Nationalbank’s employees and our partners. Working Papers are primarily targeted at professionals and people with an interest in central banking research as well as economics and finance in a broader sense.

Financial sector

Working Paper: Active Loan Trading

The collateralized loan obligation, CLO, market withstood the recent financial crisis with minimal losses compared to other structured asset-backed securities. We investigate one unique aspect of CLOs – that the CLO manager actively maintains the collateral pool by selling and purchasing loans. We find that more active CLOs trade at better prices, provide higher returns to equity investors, and maintain lower collateral portfolio default rates than less active CLOs.