欧美CLOs的重合率在快速提高，这意味着投资者越来越难以分散垃圾债和杠杆贷款的风险。经常看我圈子的朋友知道，这是我最近一直在研究和跟踪的内容。我反复在思考，公司债务危机爆发的可能途径是什么？是什么让我在第一时间会知道是债务危机爆发？然后迅速判断他的传染途径，以及，最重要的，到时我会怎样下注？虽然我现在已经持有了CLOs的相关资产，但是仓位还远远不够。

CLOs Are Starting to Look More Alike, Stirring Uneasy Memories

Chance of CLOs holding the same underlying debt is increasing

In Europe, average overlap has jumped to 47%: Morgan Stanley

By?Tracy Alloway

(Bloomberg) –?

Add this to the frenzied debate around the risks in?collateralized loan obligations: it’s getting harder for investors to diversify.

While managers are bundling more varied loans into each security, diversification across CLOs in aggregate is deteriorating, analysis by Morgan Stanley shows. In other words, the chance of two CLOs holding the same underlying debt is increasing, meaning that a single soured loan could wind up hitting investors multiple times.

“Collateral overlap between portfolios has increased significantly, especially among portfolios managed by the same collateral managers,” analysts led by?James Egan?wrote in the research published May 31.

CLOs have been thrust under the spotlight as investors debate whether credit-market froth may eventually lead to losses on the products, which bundle together loans made to relatively risky companies. Bank of America Corp.’s Brian Moynihan warned last week of?mounting risks?in the leveraged loan market, while UBS said?defaults?could hit 13.8% in the next economic downturn.

More than a third of managers hold the average leveraged loan in a U.S. CLO deal, and more than half of them own the most popular 20 percent, according to Morgan Stanley. Managers decide what loans to put into a CLO deal. The fortunes of CLOs are also highly dependent on large borrowers, with the top 10% of issuers providing 40% of collateral, the dat