Ever-decreasing tranches

The slicing up of existing tranches of the iTraxx and CDX indices into even smaller portions, known as tranchelets, will help investors correlate their positions more accurately

When JPMorgan issued its report on tranchelets in January, a web search for the latest phenomenon to hit the structured credit market produced no results. Since then market awareness has intensified, in part due to the media interest in the report as information-hungry journalists and some inquisitive clients have inundated structured credit analysts and correlation traders with calls, keen to find out what tranchelets are.

As the name suggests, tranchelets are simply thinner slices of the

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