Summary
LONDON (IFR) - Recently employed hedging strategies by some market participants for the Triple B notes of UK RMBS Granite, the most liquid U.K. name, have exacerbated price movements, sources say. They also suggest this activity has undermined an already shaky secondary market as the relevance of collateral performance and prepayment speeds appears to be dwindling.
Granite junior bonds have lost about 20 price points since May, moving in sympathy with other credit indices - notably the iTraxx Crossover - and the decline has also hurt investors using Granite Triple Bs as a proxy to mark the less liquid mezzanine U.K. RMBS.See the full content of this document
Extract
Itraxx Hedges Bring Volatility to Abs
"The market in Granite Triple Bs has been extremely technical, despite the bonds being cheap from a fundamental standpoint. Dealers and fast money contributed significantly to at least the last 10 point moves on the way up and more importantly on the way down," said ...
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