US CDS Market Close: Skews News

Spreads were generally tighter in single-name CDS today with tighteners outpacing wideners by over six-to-one. Sentiment appeared positive but is becoming harder to judge recently as technicals remain dominant. Today saw indices significantly underperforming intrinsics with skews being...more

Strategy: Capital Structure Arbitrage - Equities

With banks (banks!) spurring a market rally, equity remains expensive to credit-implied fair value according to our bottom-up analysis. Our top-down credit-equity model points to near parity between the two markets. How long equities will remain expensive is an open question and we continue to look for equities to...more

Trade: Computer Sciences Corp: Technical Difficulties

We consider a trade on Computer Sciences Corp (CSC) today, a name trading near its recent tights. Our directional credit model points to significant deterioration in CSC. We choose a short credit/long equity relative value trade rather than an outright credit position because we like the straddle-like payout...more