Merrill Lynch has started to send clients research that monitors the relative value between cash bonds and credit default-swaps. Separately, JPMorgan has added U.S. dollar-denominated Eurobonds and telecom step-up bonds to its existing basis report. Chris Francis, head of international credit research at Merrill in London, said clients have been asking for this data because of the volatile nature of the basis between the two and the opportunity to capture the arbitrage.
Merrill plans to publish the data fortnightly initially, but may increase the frequency to weekly, depending on demand. In its first report, Merrill published data on 30 credits--the major players within the telecom, auto, media, retail and utility sectors. Francis said the firm will eventually increase the number of credits included in the reports.
JPMorgan has been providing its relative-value product on a daily basis since February, according to Jakob Due, analyst in credit strategy at JPMorgan in London.
Goldman Sachs and Deutsche Bank already have similar products. Melissa Kaye, v.p. in the credit derivatives strategy group at Goldman in New York, said it started to send out a similar report on U.S. names in June. Antonio Di Flumeri, managing director and head of European investment-grade credit derivatives at Deutsche Bank in London, said it has been sending out a basis report since the beginning of the year.
