Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
Investors have continued to take advantage of differences between cash bonds and their derivatives, dealers say, as the basis remains high after its historic blowout amid March’s volatility.
The bond-CDS basis measures the difference between a bond’s credit spread and the spread of the comparable credit default swap. With the basis on both investment-grade and high-yield debt reaching record levels in March, investors could buy the bond and corresponding credit protection, wait for the basis to
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