It looks like a great trade – at least on paper. For the past couple of years, US high-yield bonds have been trading anywhere from 90 basis points to 170bp cheaper than credit default swaps (CDS) on the issuers, while the basis on investment-grade names has hovered between 30bp and 70bp.
The credit group at Goldman Sachs highlighted the mispricing in a research report published on June 2, highlighting "ample opportunities to exploit anomalies that exist in certain names."
Not so long ago, hedge fu
The week on Risk.net, July 7-13, 2018Receive this by email