The Credit Default Swap Basis

"A timely and well-researched book on a key aspect of the credit derivatives market. Investors will gain much valuable insight from Moorad Choudhry's landmark text on the credit default swap basis, its drivers, and its behavior." --Suleman Baig, Structure, Deutsche Bank Global Markets The growth of the credit derivatives market has produced a liquid market in credit default swaps across the credit curve, and this liquidity has led many investors to access both the credit derivative and cash bond markets to meet their investment requirements. This book investigates the close relationship between the synthetic and cash markets in credit, which manifests itself in the credit default swap basis. Choudhry covers:

• Factors that Drive the Basis
• Implications for Market Participants
• The CDS Index Basis
• Trading the Basis

Credit market investors and traders as well as anyone with an interest in the global debt markets will find The Credit Default Swap Basis insightful and rewarding.

Foreword. Preface.
About the Author.
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.
Glossary.
Index.
CFA Institute Professional Development  Qualified Activity  (7 hours).