An old-school money making strategy has found its way to a new roster of investors. The credit default swap (CDS) index arbitrage trade, which exploits mispricings between the CDS indexes and their single-name constituents, was a highly lucrative hedge fund play in years gone by.
This year, some banks have been packaging up this intricate basis trade into so-called skew notes, leveraging up the exposure, and selling millions of dollars worth to European insurers and private banks desperate for
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