Super-senior sales

Super-senior sales

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Implied correlation offers entry point for broader range of investors

Implied correlation finally began to decrease last week. The move appears to be providing a wider range of investors with an entry point to the super-senior part of the capital structure – long recognised as offering value, but previously deemed inaccessible by many.

Clients have started to bet on a decrease in correlation, without a real trigger other than they are less comfortable with equity risk, confirms SG's head of quantitative strategy Julien Turc.

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