The alchemy of CDO credit ratings

Efraim Benmelech*, Jennifer Dlugosz

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

108 Scopus citations


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 the gap. Using novel hand-collected data on 3912 tranches of collateralized loan obligations we document the rating practices of CLOs and analyze their structures.

Original languageEnglish (US)
Pages (from-to)617-634
Number of pages18
JournalJournal of Monetary Economics
Issue number5
StatePublished - Jul 2009


  • Collateralized loan obligations
  • Credit rating
  • Leveraged buyouts securitization

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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