Exit Opps for Mezzanine Investing Straight Out of Undergrad?

I am going into mezz investing (think investment arm for insurance company) directly out of undergrad. To my understanding, the company does sub debt as well as equity co-invest. There is extensive modeling on the job to evaluate returns. I was wondering what would be my chances of getting into PE down the road and whether if I should recruit pre or post-MBA? What are other exit opps I can pursue with this background?