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Quantitative Finance · Glossário

O que é Negative basis trade?

Definition 18.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 18 — Credit Relative Value

A negative basis trade buys a bond whose spread exceeds its issuer’s CDS spread, finances it in repo, and buys CDS protection on the same issuer; it earns the gap between the two spreads less its funding, holds no default risk, and loses on its marks when the gap widens further.

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