News & Research

In our Fixed Income Chart of the Week for 8 June 2020, we noted that the CDS basis for names in the Markit iTraxx Europe index had gone significantly negative in March, which struck us as very unusual. Even though spreads for both CDS and cash bonds widened simultaneously, the greater liquidity of credit default swap indices […]

Constructing fixed income factor models has long been an elusive endeavor owing to a number of challenges, not least of which includes cleansing and organizing the underlying fixed income data, or lack thereof. In this blog post, we take a look at how we build credit curves to serve as a foundation for fixed income […]