© 2006 by Moorad Choudhry. All rights reserved. Protected under the Berne Convention. Printed in the United States of America. No part of this book may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without the prior written permission of the publisher except in the case of brief quotations embodied in critical articles and reviews. For information, please write: Permissions Department, Bloomberg Press, 731 Lexington Avenue, New York, NY 10022 or send an e-mail to [email protected].
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This publication contains the author's opinions and is designed to provide accurate and authoritative information. It is sold with the understanding that the author, publisher, and Bloomberg L.P. are not engaged in rendering legal, accounting, investment-planning, or other professional advice. The reader should seek the services of a qualified professional for such advice; the author, publisher, and Bloomberg L.P. cannot be held responsible for any loss incurred as a result of specific investments or planning decisions made by the reader.
The views, thoughts, and opinions expressed in this book are those of the author in his individual private capacity, and should not in any way be attributed to KBC Financial Products or KBC Bank N.V., or to Moorad Choudhry as a representative, officer, or employee of KBC Financial Products or KBC Bank N.V.
Certain material in this book has been published previously in the Journal of Structured Finance 11, no. 4 (Winter 2006); the Journal of Derivatives Use, Trading and Regulation 10, no. 1 (June 2004); Structured Credit Products: Credit Derivatives and Synthetic Securitisation (John Wiley & Sons Asia, 2004); Professional Perspectives on Fixed Income Portfolio Management, Volume 4, edited by Frank Fabozzi (John Wiley & Sons, 2003); and Derivatives Week (Euromoney Publications, December 2, 2001). Material reproduced with permission.
First edition published 2006
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Library of Congress Cataloging-in-Publication Data
Choudhry, Moorad.
The credit default swap basis / Moorad Choudhry.
p. cm.
Includes bibliographical references and index.
ISBN-13: 978-1-57660-236-2 (alk. paper)
ISBN-10: 1-57660-236-2 (alk. paper)
1. Credit derivatives. 2. Swaps (Finance) 3. Default (Finance) 4. Basis (Futures trading) I. Title.
HG6024.A3C4922 2006
332.63′2--dc22
2006048420