CDS "Credit default swap" - Everything you always wanted to know, with a more practical approach
Great actionable insights!!
great coverage, thank you!
Very useful guide for people to understand the impacts of moves and how to hedge them
Thank you very much Richard. It's nice to hear it from people like you.
indeed, very good coverage
Super interesting, thank you.
Why didn't you take into account the (negative) carry of the CDX after the spike that occured in your example one month after? How can we get it?
Many thanks!
I don't understand truly your question sorry.
In my calculation I used an example a long bond portfolio (with the carry) and added the cost (negative carry) of buying protection on a CDS.
Is it that whay you mean?
yes. Actually, I was wondering the breakeven such as the CDS position doesnt loose money over 2 months. I would say 407/2/12/4.5 = 68bps tightenning.
Thanks
Ah now catched you. Clearly it's a simplification. Neither the bond portfolio has a roll down consideration, only the carry one.
Great actionable insights!!
great coverage, thank you!
Very useful guide for people to understand the impacts of moves and how to hedge them
Thank you very much Richard. It's nice to hear it from people like you.
indeed, very good coverage
Super interesting, thank you.
Why didn't you take into account the (negative) carry of the CDX after the spike that occured in your example one month after? How can we get it?
Many thanks!
I don't understand truly your question sorry.
In my calculation I used an example a long bond portfolio (with the carry) and added the cost (negative carry) of buying protection on a CDS.
Is it that whay you mean?
yes. Actually, I was wondering the breakeven such as the CDS position doesnt loose money over 2 months. I would say 407/2/12/4.5 = 68bps tightenning.
Thanks
Ah now catched you. Clearly it's a simplification. Neither the bond portfolio has a roll down consideration, only the carry one.