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How to trade the Credit Default Swap curve.
Table of contents
Straight talk on curves 3
Trade ideas used in this guidebook 4
Overview of curve trading 6
Trading CDS curves 7
What drives the shape of the curve? 13
Curve dynamics: Indices 19
Single-name curve dynamics 22
Single-name dynamics: Further topics 31
Implementing curve trades 38
Constructing the DV01-neutral steepener 39
Non-standard weighting schemes 42
Using Bloomberg 47
Using Excel 49
Curve trade economics 52
Factors affecting P&L 53
Carry and roll-down 54
Convexity effects 58
Understanding curve trade P&L 63
Curve weightings and P&L 64
Capital treatment: Leveraging curve trades 69
Curve behaviour around events 70
Corporate events drive curve dynamics 71
Bid-related events – exploiting unusual CDS payoffs 75
A study of LBO curves post-announcement 79
Macro events: Industry-wide curve effects 81
Advanced topics on curve trades 89
Index curve trades 90
Trading single-names versus an index 91
Index skew and curve implications 93
Diagonal curve trades 93
Curve positions in capital structure trades 96
Hedging curve portfolios 97
Risk management of portfolios including curve risk 98
CDO technicals and curves 102
Inversions 107
Calculating weighting schemes 110
Understanding forward spreads 113
Quantitative techniques 118
Quantitative screening in the credit market 119
Slope model framework 120
Directional models 124
Quantitative trade selection process 129
Further avenues of quantitative research 136
Appendices 137
Appendix A: Defining the efficiency metric 138
Appendix B: Barclays Capital QCX indices 141
Appendix C: Derivations of weighting schemes 143
Appendix D: Replicating a CDS index 145
Index of Publications 148
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