Scenario analysis

Category: CLOs ABS

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Elena Rinaldi, portfolio assistant at TwentyFour Asset Management, examines how robust CLOs are through a recession

ABS is an asset class that lends itself well to detailed underwriting, from onsite due diligence through to cashflow and risk modelling. Specifically within the CLO sector, once TwentyFour Asset Management has reviewed the manager and the collateral, we focus on stress testing and sensitivity analysis. The hypothetical question "what if?" plays a fundamental role in assessing the resilience of the bonds we invest in to severe macro-economic shocks and general business cycles.

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