Majewski: CLO AAA tranches require 70% corporate defaults to impair
Tom Majewski · Thomas Majewski – Empty Rooms: Masterclass on CLOs at Eagle Point Credit Management (Capital Allocators, EP. 284) · Dec 1, 2022 · at 23:37
Tom Majewski explains the mathematical cushion and subordination protecting senior AAA-rated CLO tranches from credit losses.
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“They typically have 35% credit enhancement to the triple A level, and if you think about companies recovering 50 cents on the dollar, you'd need 70% of corporate America to default.”
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