Citi Touts CDX Index Tranche Short

There has been flattening in the curve for 7- and 10-year CDX.IG9 mezzanine tranches compared to the corresponding iTraxx9 tranches, due to the relative outperformance of the 10Y. The 10Y CDX.IG9 7-10% tranche is recommended as a short because it has tightened the most and is now trading close to al...

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Bibliographic Details
Published in:Derivatives Week 2012-09
Main Author: Zhang, Ella
Format: Article
Language:English
Subjects:
Central banks
Online Access:Get full text
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Summary:There has been flattening in the curve for 7- and 10-year CDX.IG9 mezzanine tranches compared to the corresponding iTraxx9 tranches, due to the relative outperformance of the 10Y. The 10Y CDX.IG9 7-10% tranche is recommended as a short because it has tightened the most and is now trading close to all time lows with a spread at 454 basis points compared to 414bps. In a risk-off scenario, the spread could widen 100bps or an equivalent of 5% in price, [Anindya Basu] estimated.
ISSN:1075-2412