Market graphic - Index volatility

Chart of the month

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Since its inception in March, the Series 4 Dow Jones investment-grade CDX index and tranches have been through a period of great volatility, driven as much by technical factors as by traditional credit fundamentals. The chart, provided by Ashish Shah, co-head of credit strategy at Lehman Brothers in New York, shows how expected losses measured by spreads, have been redistributed within the capital structure of the tranched index since launch, when investment-grade credit spreads were very cl

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