Tracy Alloway, October 6, 2015
Here is so-called ‘skew’ in Markit’s North American High Yield CDX, a derivatives index tied to the credit default swaps (CDS) of 100 junk-rated companies and one of the most liquid credit-trading instruments around. The skew, or difference between the price of the CDX index and its underlying constituents hit negative 30 basis points this week, a level not seen since 2012 — when credit markets were roiled in the wake of a large seafaring mammal.
The full article is available here.