27 February 2014 by HCM
The Basis trading is chasing the price discrepancy between the trading level of an index and the cost to hedge all its components using the single name CDS. There is an important activity on the on-the-run indices basis but there are also many opportunities in the off-the-run indices. Looking at the chart of all the basis on the 10Y maturities, we can see a significant dispersion of the basis and the basis last year variation. The ability to manage a complex portfolio of basis is offering a lot of diversification for those able to source off-the-run indices. If this graph is real, there are a lot of investment opportunities.