CLO Spotlight: Breaking the Debt

In a previous article in the September edition of PDI, we commented that European structured credit was an attractive way for institutional investors to generate yield. Here, we analyse the robustness of mezzanine CLO securities to very high and sustained default rates, and show that mezzanine securities in CLO 2.0 can experience losses over four times the historical experience and still return principal and interest to the investor. By Stuart Chapman

Published

3 December 2014