CSOs and index tranches reach sticking point as correlation gets rich

By Dan Alderson

Thursday, April 29, 2021

Credit correlation trading looks to have reached a point of inflexion, as the previous bull run at the lower end of index capital stacks has given way to caution over how much further spread compression can go. At the same time, bespoke tranche business is gaining interest but equity remains stickier to sell at the market's ultra-low spread and volatility levels

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TAGS: Europe Structured credit Zais Credit derivatives Pricing Xaia Performance North America Axiom

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