Price of 5-year credit default swap (coupon=100) at the close of the market on , at 5:00 PM GMT (source: DataGrapple).
The credit default swap (“CDS”) is a financial instrument enabling the transfer of an issuer’s credit risk between two investors. The CDS provides investors with a liquid tool for hedging or investing. The price of a CDS is the market barometer for the risk of a borrower.
Arbitrage is an investment technique that combines purchases and sales of financial instruments having offsetting risks. The net return on the portfolios thus combined is the arbitrage profit. The performance of arbitrage portfolios is not governed by the performance of the financial markets. Arbitrages are investment processes that use leverage – such investments are restricted to professional investors.
Hellebore Capital (HC) is a management company specializing in credit derivatives arbitrage. Its technology gives HC the ability to operate in all the credit derivatives markets of Asia, Europe and North America. If you would like to learn more about HC and its products, you can create an account online. HC is regulated by the French Authorité des marchés financiers (“AMF”).