November 16th, 2005, 3:23 pm
Quoted from Euromoney Nov 2005Delphi’s bankruptcy shows that many of the imbalances remain in global structured credit.In mid-October equity tranches in iTraxx and CDX rallied on the back of GMAC’s CDS tightening. The iTraxx five-year 0-3% tranche tightened slightly in October when it was announced that GMAC would get its own rating. But the general trend was for equity tranches to widen after Delphi, Northwest Airlines and Delta Air Lines filed for bankruptcy protection. “Equity tranches have moved the most, although the GM news in mid-October prompted a bit of a snap-back,” says Lehman Brothers structured credit strategist Arun Singhal. “Mezzanine is too tight, so that’s where we’ll see the next repricing.” Do we need to updated our models? Why was Mezz too tight? What are potential research topics around this issues? [
Last edited by
rogers on November 15th, 2005, 11:00 pm, edited 1 time in total.