By Carey Molter
Introduces, in short textual content and illustrations, using the letter mixture "ain" in such phrases as "train," "sprain," "chain," and "brain."
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Extra info for Ain As in Train (Word Families Set 8)
Trading Correlation Bespoke tranche market investors are mainly long-only “real money” accounts focused on yield enhancement. Standardized tranche market participants, however, are typically correlation traders who are relative value players looking to acquire cheap convexity, volatility or correlation. Such traders typically combine different tranches, CDS indices and single name default swaps to isolate these risks and tailor their payoffs accordingly. They are typically short-term participants and include hedge funds, principal finance groups and dealers.
Upfront traded tranches have a lower sensitivity to credit spread movement… Compared to tranches that trade on a running basis, upfront traded tranches are less sensitive to credit curve movements21. The upfront payment convention, however, is sensitive to changes in underlying interest rates. Therefore, upfront buyers/sellers are exposed to an additional risk of unexpected shocks in the interest rate curve used to discount the stream of protection payments. From a protection buyer’s point of view and unchanged credit curves for the index underlying CDS, a sudden widening of the interest rate curve will decrease the discounted value of the protection bought and imply a negative mark-to-market.
For example, a long position in the 15-25% tranche can be delta-hedged by buying protection on 3x the notional of the underlying CDX HY index. The tranche leverage that is normally quoted is derived within a base correlation framework. Limiting our analysis to the equity part of the capital structure, we note a lower leverage of the 0-10% CDX HY tranche compared to the equity 0-3% CDX IG counterparty. This is mainly due to the higher width of the HY tranche (10% vs. 3%) which reduces the tranche sensitivity with respect to (parallel) spread movements of the underlying reference entities.