IG tranches look 'boring' after distressed names ejected at roll
September’s index rolls brought tranche traders some of the starkest portfolio changes in recent years, with fallen angels and defaults shifting correlation dynamics. This creates relative value openings, but investors will take longer to move into new series as they require extra analysis, say dealers.

The tranche market shines, whatever your view on credit
Index tranche volumes have reached record levels this year and CSOs have withstood the covid crisis. Panellists at the Credit Dimensions webinar outlined a range of trades in a thriving market

Dealers power up as tranche trading hits new heights
A big year for index tranche trading has taken volume within grasping distance of full-year 2019, a post-financial crisis record, with a deepening pool of dealers adding support

Credit spreads wind back to February to bring shorts into focus
The credit rally since April has opened up an opportunity to go short credit, say fund managers, with spreads back to where they were in late February

Credit hedge funds (October 2020)
Monthly credit hedge fund tables

Ucits at a glance: Advent and Algebris edge towards double digit returns
Two managers stand out in the Ucits rankings as they close in on 10% YTD figures

Credit funds at a glance (October 2020)
A round-up of fundraising and people moves

Fund performance: A third of funds reach positive territory in 2020
August has been another successful month for the CLO category as seven of the top 10 funds invest primarily in CLOs

Former GoldenTree high-flyers launch structured credit firm in Los Angeles
A former GoldenTree senior portfolio manager and business development specialist have launched an asset manager that will invest across an array of structured credit, including CLOs, synthetics and private transactions

Credit fundraising: managers build homes for real estate credit funds
The “largest ever real estate credit fund” was one of the fundraising highlights last month as Blackstone’s Real Estate Debt Strategies IV fund reached $8 billion on its final close

Tranche market maker jumps to buy-side
BNP Paribas' New York based market maker for credt index tranches has left the bank after seven years 

Go long index mezz tranches to pick up spread: Citi
Citi research has outlined some of the opportunities that have arisen in the index tranche market as a result of elevated correlation

Fallen angels push off-the-run index 25bp wide of CDX IG
A  gap of over 25 basis points has formed between US investment grade CDX IG and its recently off-the-run predecessor series 34. At Credit Dimensions, Creditflux’s synthetic credit event, panellists highlighted a major shift in composition between index series that has opened up relative value plays between them

Europe/US high yield gap re-opens with roll, but raises fair value questions
The semi-annual roll of US high yield index CDX HY has once again put daylight between it and European counterpart iTraxx Europe. But the new series has come in tighter than some market participants had anticipated

European high yield converges on US as credit pushes wider
A worrisome week is ending with spreads pushing to new local wides and underperformance of European high yield versus US credit

Spreads gap wider as slowdown fears sink in
Concern over the gathering coronavirus second wave, economic slowdown and the need for further central bank interventions has pushed credit spreads sharply wider, with yesterday’s US late session downturn spilling over to Asia and Europe

Curves steepen as roll shifts risk from the front end
CDS index curves have steepened with the September roll, with the reformulation of iTraxx and European portfolios having a noticeable impact on the front end of the curve

Index roll brings sea change for US/Europe relative value
The roll of CDS indices to new series has shifted relative value measures between Europe and the US, with CDX indices trading in a tighter context to their new iTraxx counterparts

Fallen angels and financials feel heat as CDS indices roll
CDS indices are rolling into new contracts today, with outgoing series of iTraxx Europe and Crossover widening sharply from the market’s open on technical as well as fundamental factors

Brevan Howard raids ExodusPoint for credit derivative specialists
Brevan Howard has hired credit derivative specialists from ExodusPoint Capital Management with a view to expanding in credit options

Credit retreats from tights as central banks offer reality check
European credit is following Asia wider today, picking up from where the US left off yesterday as the Federal Reserve vowed to keep overnight rates near zero for the coming years

Crossover dips below 300bp as retailers leave the basket
The removal of defaulting constituents Hema  and Matalan from iTraxx Crossover has helped take the index to its tightest prints since the start of the coronavirus sell-off

Noble and Hema produce disparate pay outs for CDS
This week has brought the high and lows of CDS settlement, with Noble Corporation bestowing an ultra low high pay-out for protection buyers after Hema protection sellers suffered less of a hit than was modelled by assumed recoveries

Palm Lane launches credit relative value fund with $200 million after PM hires
Palm Lane Capital has raised about $200 million for a global credit relative value hedge fund, which went live on 1 September

Opportunities knock as Credit Dimensions returns in vibrant tranche market
Creditflux will showcase the cutting edge of CDS market developments next week as Credit Dimensions, our annual deep-dive into structured synthetic credit, returns in a virtual format