INSIGHTS: A Brief Review of “The Basis”

James Batterman

Volume 5, Number 4, Fourth Quarter 2007

Credit derivatives provide an alternative to the cash market, allowing investors to manage exposure to a wide range of entities. In a brief case study looking at several relatively volatile corporate names, we set out to describe, in general terms, the nature and behavior of the relationship of CDS, LCDS, and bonds over the very recent turbulent past.