xCCY RV In Bonds
Hi,
I have a question for fixed income geeks :)
I am just duplicating an old question since question went unanswered and I am looking for it actively.
How to do relative value between corporate bonds in different currencies? Let's say same credit quality, same issuer etc... everything the same but the currency: the EU one pays a spread (z, oas vs swap, asw whatever...) of 20 and the $ one pays 65. I am looking at a recent issue of CAF. Can someone show how to adjust for the cross currency basis assuming EUR/USD xccy is at -15bps? I was told to do so, for example easily using XCCY or other functions under Bloomberg but I struggle with the logic. But for an investor who can pick his bonds anywhere and hedge interest rate curve and ccy risks, can't he just pick the bonds with the higher z-spread ? Finally how to get this information in bloomberg?
thanks
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