Market usually assumes 30% of RV for this credit, which is consistent with its previous default. Perhaps, investors are expecting to receive a higher haircut if the issuer defaults again. That this makes sense????

<t>I am working with an EM country and I have realized that the longer bond (2033) is trading USD 5 below recovery value (30%). In fact, the country I am working with has untendered debt too, and bond I have mentioned is trading even below untendered. Usually I applied the cumulative default probabi...

<t>Hi everybody. I am looking at CDS basis across a variety of emerging markets. There is a strong relationship between swap spreads and CDS spread, but the basis is wider for riskier credits. I supposed this is related to the negative credit view since buying protection should be simpler (and costl...

<t>Thanks for your answer. Regression = 0.66476x – 8.2174. Asset Price Yield Notional 6m Carry DV01DV01 L Bond A 74,50 14,15% 10.000.000 518,0 4.21 S Bond B 82,25 10,13% 5.189.209 146,1 8.12 402 bps 4.810.791 372K 0.51 Beta S Bond A 82,25 10,13% 6.648.000 187K0.66476 402 bps 3.352.000 331K </t>

I´ll really appreciate any help!

<t>Currently, I am analyzing a FI ReVal trade. The idea is that the spread between two bonds has widened to a record high. I am trying to implement in DV01-neutral basis with a ratio of 10x5 (notional). However, when I regressed the spread over libor/swap against the spread differential between thes...