Div Swaps, CDS Relative Value Attractive Despite Divergence

May 28, 2015

Going long Eurostoxx 50 mid-term dividend swaps and five-year CDS is pricing attractively, despite the divergence in dividend yields and bond yields over the last 18 months. This is because SX5E dividend swaps are showing similarities to bonds, leading to a close correlation between mid-term dividends and iTraxx movement.

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