The distressed opportunity in mezzanine CSOs is believed to be worth several hundred billion dollars, but picking the winners from the losers is challenging. Sourcing the right asset remains key in tranche valuations.
The first step involved in valuing distressed mezzanine CSOs is to clarify what is meant by 'distressed', according to Loic Fery, managing partner of Chenavari Credit Partners (which has returned a 30% annualised performance on its AUM since last September).
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