default correlation

Statement 1: A common trade during 2004 and 2005 was to sell protection on the equity tranche and buy protection of the mezzanine tranche of the CDX.NA.IG index. Statement 2: The trade was long credit spread risk on the equity tranche and short credit spread risk on the mezzanine tranche. Hi...

Hi David, please help me in resolving the following confusion: When we find correlation in CDS, I understand following : high correlation makes senior tranches (i.e., high n to default for basket CDS) more expensive (all other things equal) and junior tranches (e.g., 1st to default) less...