June 21st, 2012, 8:30 am
Hi allI am trying to come up with an indicative spreads for a bilateral CDS (or financial guarantee) for a name on which there is no traded CDS in the market. I have a 5-yr bond and I have calculated Z-Spread / ASW. Question: in oder to consider the funded nature of the bond and unfunded nature of CDS/FinGuarantee, shall I deduct the funding spread of my bank (or at least funding spread of my counterparty) in order to arrive at a fair spread for buying protection?Thanks!!