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by Moorad Choudhry
The Credit Default Swap Basis
Cover Page
Title Page
Copyright
Dedication
Contents
Expanded Contents
Foreword
PREFACE
ABOUT THE AUTHOR
Publication
CHAPTER 1: A Primer on Credit Default Swaps
Credit Risk and Credit Derivatives
Credit Derivative Instruments
Credit Default Swaps
Asset Swaps
The CDS iTraxx Index
CDS Price Quotes
Settlement
CDS Valuation
CHAPTFR 2: Bond Spreads and Relative Value
Bond Spreads
Z-Spread
CHAPTER 3: The CDS Basis I: The Relationship Between Cash and Synthetic Credit Markets
The Market Differential
The Credit Default Swap Basis
Factors Behind the Basis
The Basis Smile
The Dynamics of the Default Swap Basis
The iTraxx Index Basis
The Impact of the Basis on Trading Strategy
Summary
CHAPTER 4: Supply and Demand and the Credit Default Swap Basis
Supply and Demand
CDS Mechanics
A Different Basis Measure
CHAPTER 5: The CDS Basis II: Further Analysis of the Cash and Synthetic Credit Market Differential
Basis and Relative Value
Basis Spread Measures
Analyzing the Basis
Adjusted Basis Calculation
Summary
CHAPTER 6: Trading the CDS Basis: Illustrating Positive and Negative Basis Arbitrage Trades
Relative Value and Trading the Basis
Factors Influencing the Basis Package
Trade Examples
Conclusion
APPENDIXES
APPENDIX I: Description of Bloomberg Screen CDSW
APPENDIX II: The Market Approach to CDS Pricing
Default Probabilities
Pricing a CDS Contract
Example Calculation
APPENDIX III: Market-Implied Timing of Default from CDS Prices
GLOSSARY
Index
ABOUT BLOOMBERG
A FRESH VIEW ON FIXED INCOME
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