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We earn LIBOR+60bps on the bond. We sell protection and collect a premium of 46bps. So we have not covered our 60bps exposure completely, so there is a negative basis of the difference of 14bps. If we sell protection at 65 bps then we have positive basis of 5.
Make sense? maybe? I hope. Correct me if I'm wrong or find another example of this. |
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发表于 2011-7-11 19:23
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