Can it calculate the CDS-bond basis?

Yes, it computes the basis by comparing CDS spreads to asset-swap or Z-spreads of comparable cash bonds to identify market mispricing.

How does it handle credit curve analysis?

It analyzes the CDS term structure across standard tenors (1Y to 10Y) to identify signals like curve inversion, which often indicates imminent credit stress.

Does it support different ISDA documentation versions?

It is designed to handle both 2003 and 2014 ISDA credit derivatives definitions and varying regional restructuring conventions (CR, MR, MM, XR).

Is this skill useful for index trading?

Absolutely, it evaluates single-name spreads against index-implied spreads and helps calculate jump-to-default (JTD) exposure and index skew.

What types of credit events can this skill monitor?

The skill tracks ISDA-defined events including failure to pay, restructuring, and bankruptcy, along with their specific settlement implications.

CDS Market Analysis

Name: CDS Market Analysis
Author: lev-os

bylev-os

•

分析と監視

Interprets credit default swap markets through basis analysis, curve dynamics, and credit event monitoring.

This skill enables Claude to perform sophisticated credit research by analyzing Credit Default Swap (CDS) spreads and their relationship with underlying cash bonds. It provides a structured framework for evaluating term structures, identifying mispricing through basis analysis, and monitoring critical ISDA credit events such as defaults or restructurings. It is an essential tool for fixed-income traders and credit analysts looking to build, hedge, or unwind synthetic credit positions using data-driven insights and standardized industry conventions.

主な機能

01Recovery rate modeling and auction settlement mechanics evaluation

02Term structure and curve shape analysis to detect credit deterioration signals

03Relative value assessment between single-name and index-implied spreads

04Advanced CDS-bond basis calculation to identify cash vs. synthetic mispricing

05ISDA credit event monitoring including bankruptcy and restructuring rulings

062 GitHub stars

ユースケース

01Monitoring ISDA Determinations Committee rulings for active credit event settlements

02Identifying relative value opportunities between cash bonds and synthetic credit protection

03Assessing credit curve inversion to signal acute near-term issuer distress

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add lev-os/agents analyzing-credit-default-swaps

For use in Claude.ai and ChatGPT

主な機能

01Recovery rate modeling and auction settlement mechanics evaluation

02Term structure and curve shape analysis to detect credit deterioration signals

03Relative value assessment between single-name and index-implied spreads

04Advanced CDS-bond basis calculation to identify cash vs. synthetic mispricing

05ISDA credit event monitoring including bankruptcy and restructuring rulings

062 GitHub stars

ユースケース

01Monitoring ISDA Determinations Committee rulings for active credit event settlements

02Identifying relative value opportunities between cash bonds and synthetic credit protection

03Assessing credit curve inversion to signal acute near-term issuer distress

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add lev-os/agents analyzing-credit-default-swaps

For use in Claude.ai and ChatGPT