Big Bang tranche delay sparks buy-side fury

By Dan Alderson

Tuesday, April 07, 2009

A dealer decision to postpone rolling into new tranche conventions has drawn complaints from buyside correlation traders

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Comment by: Daniel Schiemert. Posted 15 years ago [2009-04-08 07:44:23]

There are some inconsistencies and pitfalls with the conversion method for CDS related to the "Big Bang" changes. Fitch brought out a report on it, which can be found on www.defaultrisk.com They suggest some changes to the conversion method in order to guarantee that it works. - Daniel

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