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Results tagged with credit-derivatives
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user 26899
7
votes
3
answers
4k
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Why do CDS Spreads differ by currency?
last time using Bloomberg I found out that the CDS Spread for Italy 5Y CDS in USD was somewhere around 230bp whereas the Spread for Italy 5Y CDS in EUR was just around 130bp. I looked at other debtors …
- 686
6
votes
2
answers
2k
views
"Where is my money": CDS Sensitivities, Spreads and PnL Calculations
Trading CDS I experienced something unexpected:
A half year ago I sold protection on a single name at a spread of 190bp
The coupon was 5% and the contract had a maturity of five years.
Using Bloombe …
- 686