1 A Primer on Credit Default Swaps
2 Bond Spreads and Relative Value
3 The CDS Basis I: The Relationship Between Cash and Synthetic Credit Markets
4 Supply and Demand and the Credit Default Swap Basis
5 The CDS Basis II: Further Analysis of the Cash and Synthetic Credit Market Differential
6 Trading the CDS Basis: Illustrating Positive and Negative Basis Arbitrage Trades
APPENDIX I Description of Bloomberg Screen CDSW
APPENDIX II The Market Approach to CDS Pricing
APPENDIX III Market-Implied Timing of Default from CDS Prices
CFA INSTITUTE PROFESSIONAL DEVELOPMENT QUALIFIED ACTIVITY (7 hours)