Thursday, September 17, 2009

Term Structure of CDX IG 12, Continued

In a previous post, we noticed that the term structure of the CDX IG Series 12 was surprising. It reverted to normal, with the cost of protection increasing with maturity. The graph below shows the cost of protection for 1-, 3-, 5-, 7- and 10-year contracts.


(Click to enlarge)

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