Credit intensive and complex sectors sold off harder than higher quality credit in Q1, and have taken longer to recover. But in the past few weeks they have performed very strongly.

CLOs are structured credit securities which give investors different levels of risk exposure to the bank loan market. This paper looks at the degree of sensitivity of “mezzanine” tranches of CLOs (i.e. those tranches rated BB and below) to the underlying bank loan market. The paper also looks at the current attractive levels of spreads in the CLO market.
 

The global securitisation market is very large and diverse and appears to offer attractive levels of yields and risk characteristics. JANA has recently reviewed the global securitisation space, including a number of active strategies offered to investors.  

The article addresses some of the growing risks of investment grade credit markets that have recently been highlighted by the financial press. We seek to provide a summary of these issues along with some balanced arguments and analysis that will help investors evaluate these markets.