The new breed

Introduction

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One sticky problem not captured by the Merton models on which the strategy is based is the tendency of companies to change their capital structures to suit their strategic or tactical needs, rather than keeping them stable for the benefit of arbitrageurs. This twist is keeping arbitrageurs on their toes.

Middle-market loan securitisations have been a bright spot in the credit marketsthis year. These deals offer investors a degree of collateral diversificationthat’ s difficult to achieve other

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