Skewed views: banks, auditors split on CDS index trades

Views on risks and accounting treatment of arbitrage repack differ across the Street

Skew notes are popular with yield-hungry investors, but Street is split on how to structure them

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here