Old R contract spices up Greek basis package, says Barcap

Barclays Capital analysts point out in their most recent European Credit Alpha report that Greek government bonds have been trading substantially wider than credit default swaps on the sovereign

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Comment by: Anonymous. Posted 5 years ago [2010-05-05 15:18:06]

Bear in mind that the negative basis trade requires funding the long position in the cash bond. It may well be that the apparent 200 bp cushion in the 5-year trade is partially or fully absorbed by the funding (eg, the funding may be L+200). Repo lenders may not be giving good terms for Greek debt as collateral.