The Credit Default Swap Basis

INDEX

A

accrued coupon, 68

adjusted basis, 107–112

adjusted Z-spread, 101, 104, 107–112

arbitrage opportunities, 84–85

arbitrage trades

negative basis, 116

positive basis, 116–117

asset-backed securities (ABS), 67, 89

assets, trading above or below par, 68–69

asset swap, 8

credit default swap basis versus, 61–65, 94–96

pricing, 45, 48–50

structure, 13–15

terms, 1

asset-swap spread, 40–41, 99

credit default swap basis versus, 61–65

average spread, 78–79

B

Banco Bilbao Vizcaya Argentaria (BBVA), 20, 21

basis

See also credit default swap basis

adjusted, 107–112

defined, xiii–xiv, 1

smile, 73–74

trade, 1–2

Bloomberg screen ASW, 41, 53, 95

Bloomberg screen CDSW, 145–147

bond identity and delivery, 66–68

bond spreads, 37–58

asset-swap spread, 40–