The seven-year note, which is the first publicly offered product of its kind, aims to pay investors an internal rate of return of 9.25% by taking long positions in the 10-year mezzanine tranches of the CDX and iTraxx credit-default swap indices and short positions in the five-year indices.
Because the long positions are balanced against the short positions, investors aren't exposed to the risk of credit defaults û the notes are designed instead to play on the relative values of the two sets of credit indices, an approach that gives...
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