On September 29, a US–based buy–side firm was looking for bids on a $100 million notional index credit default swap (CDS) – series 22 of Markit’s CDX investment–grade index, to be precise. It requested quotes for the trade on a swap execution facility (Sef), and the nine responses were separated by a third of a basis point. The buy–sider selected the best price and executed.
That might sound like an everyday tale from the revamped US swap markets – index CDSs have been required to trade on Sef s
The week on Risk.net, July 7-13, 2018Receive this by email