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Which CDS maturities are most liquid? (beyond 5y)
Hi,From your experience, can you help me to rank the typical maturities, i.e. 1y, 2y, 3y, 7y, 10y, 15y, 20y, etc. according to their liquidity? (mosts liquid ranked #1)1. 5y2.3....?Best regards
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- friesenjung
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Which CDS maturities are most liquid? (beyond 5y)
depends on the underlying. But rule of thump is:1. 5y2. 10y3. 7y4. 3y5. 1y6. 2y7. all else
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- almostcutmyhair
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Which CDS maturities are most liquid? (beyond 5y)
what do you mean by liquidity?
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- StructCred
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Which CDS maturities are most liquid? (beyond 5y)
This would indeed greatly depend on how you measure liquidity. Delta? Notional? In general I would disagree with friesenjung though. 10Y has been a pain to trade in a lot of names lately. I'd say the most liquid tenor after 5Y is .... 4Y. Plenty of people out there who neglected/forgot to roll their old 5s + index arbs on old series etc. Oh and you can forget about 15y and 20y. These are by appointment only even for sovs (which are about the only credits where 10Y+ were ever actively quoted).