Correlation complication

cdo market

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When Standard & Poor’s downgraded Ford Motor Company and General Motors Corp. to non-investment grade on May 5, the impact of the cuts looked set to occupy credit market participants for some time to come, not least because more than $450 billion of Ford and GM debt would now relocate to investors’ high-yield portfolios.

While the downgrades of the two beleaguered auto giants were not unexpected, the timing caught some market players by surprise, resulting in turmoil in the credit derivatives ma

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