Setting the basis

market graphics

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In the charts below, provided by Jeffrey Rosenberg, head of credit strategy research at Banc of America Securities, one can see how dramatically the CDS-cash basis has increased in the auto sector recently. Banc of America Securities calculated the basis by interpolating the credit default swaps with the 3s/5s credit curve to reconcile the incommensurate maturities between the cash and CDS markets. Ford Motor Credit Corp.’s 7.375% paper due 2009 is used in the top graph and General Motors Accept

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