THE JAZZ III hybrid CDO, managed by Axa Investment Managers and lead arranged by Merrill Lynch in July 2006, was arguably the highlight public market structured credit trade of the past 12 months. Launched amid a bout of investor nerves over the potential for widening credit spreads and rising volatility, the deal enables the manager to go short up to 10% of the total value of $3 billion, and to invest across a range of bonds, loans, credit default swaps, asset swaps and total return swaps referencing 140-odd names.
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