Cash-CDS basis
Societe Generale credit strategist Suki Mann looks at the factors behind the current trends in cash-CDS basis and how this may affect investors
The charts below highlight the short-term dilemma facing investors regarding the cash-CDS basis and the directional drivers for it. But first some background information: looking at chart 1, the average basis has decreased since the beginning of the year and is now poised to turn negative. We adjust the basis for the difference in calculation methods so that the adjusted basis is the differential between the CDS-implied asset swap spread and the market asset swap spread. The chart shows an
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