Macro/RV Credit

Does anyone here trade credit with a macro/RV tilt on either the buyside or sell-side and might be willing to answer a couple of questions from someone who trades rates? I'm referring specifically to people who trade from both the long and short side and take advantage of relative value opportunities (e.g., long BBBs/short AAAs, CDX-cash basis, etc.). Willing to answer any questions about rates in return.

  1. How much leverage do you guys tend to use? Can you repo your positions? Getting significant amounts of leverage on cash positions seems like it might be difficult.

  2. How liquid are your positions? Can you get out of them quickly if necessary or are some issues fairly illiquid? What's a decent sized position (either in notional terms or credit risk/01 terms)? What's a social size for clips?

  3. How you do measure size/risk of trades? Presumably notional is one component, but I'm assuming there's an equivalent of dv01 for credit (perhaps credit risk/01)?

  4. What do your typical trade ideas look like? Are they usually related to single names (i.e., understanding the idiosyncrasies involved in a single company) or do you ever take index-level positions (e.g., spread decompression). 

  5. Where would you recommend someone look if they wanted to become more proficient? FWIW, I have access to most sell-side credit research and some of the 'bibles' (Tuckman and Serrat, Fabozzi, etc.), but there seems to be a bit of a gap in understanding that exists between research/books and how the market actually functions.

I'll post some of the best, but lesser-known rates books here:

Pricing and Trading Interest Rate Derivatives by Darbyshire

Fixed Income Relative Value Analysis by Huggins and Schaller

Random Walks in Fixed Income and Foreign Exchange by James, Rieger, and Rieger


Research Analyst in HF - RelVal, hey, look at the bright side, at least you didn't get a ton of monkey shit thrown at is my best guess on threads that might be helpful:

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Seeing as nobody is responding to this thread, I'm just going to list a couple of books I was planning to read and hopefully somebody will correct me if they're a waste of time.

1. The Credit Default Swap Basis by Moorad Choudhry - not that I'm interested in the CDS basis per se, but it seems more technical, derivatives, and index-level focused than some of the fundamental credit books.

2. Credit Derivatives and Securitization: Instruments and Applications by Janet Tavakoli

3. Leveraged Finance: Concepts, Methods, and Trading of High-Yield Bonds, Loans, and Derivatives by Stephen Antczak, Douglas Lucas, and Frank Fabozzi

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