It's been a tough year in the structured credit market. In May, the downgrade of General Motors and Ford to junk status by rating agency Standard & Poor's led to a sharp drop in the 0–3% tranche correlation in the iTraxx and CDX indexes, and a rally in mezzanine tranches. This dealt a huge blow to hedge funds with long equity and short mezzanine positions, one of the most popular strategies.
In addition, concerns have arisen in the UK about mis-selling of collateralised debt obligations (CDOs
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