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.
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