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    <link>https://hdl.handle.net/10419/72</link>
    <description />
    <pubDate>Wed, 29 Apr 2026 04:07:24 GMT</pubDate>
    <dc:date>2026-04-29T04:07:24Z</dc:date>
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      <title>The CDS basis in the European market</title>
      <link>https://hdl.handle.net/10419/336793</link>
      <description>Title: The CDS basis in the European market
Authors: Heidorn, Thomas; Klaus, Juergen; Mazzalupi, Riccardo
Abstract: The relationship between Credit Default Swaps (CDS) and cash bonds plays a pivotal role in providing market participants with important information which directly affects investment and risk management strategies. Particularly relevant is the CDS-Bond basis, defined as the difference in basis points (bps) between CDS and the reference entity bond spread. Understanding the drivers behind CDS-Bond basis behavior enables more informed decisionmaking that reflects underlying credit market dynamics. This working paper analyzes the CDSBond basis in the European market, focusing on the constituents of the Markit iTraxx Europe index between March 2020 until March 2025. The analysis addresses basis behavior at the aggregate index level and across sectors. At an index level a mean reverting pattern has been identified with a negative basis average over the sample observed. In the sectorial analysis a strong heterogeneity emerges, with Autos featuring a more positive basis compared to Financials in a deeply negative basis territory affected by Credit Suisse shock. Finally, practitioner insights are integrated to contextualize these findings, emphasizing liquidity asymmetries, execution constraints, and differences in information absorption between CDS and cash bond markets offering actionable insights for credit market partecipants, and laying a solid foundation for further research.</description>
      <pubDate>Thu, 01 Jan 2026 00:00:00 GMT</pubDate>
      <guid isPermaLink="false">https://hdl.handle.net/10419/336793</guid>
      <dc:date>2026-01-01T00:00:00Z</dc:date>
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    <item>
      <title>US$ interest rate and cross currency swaps after the LIBOR funeral: A corporate treasury primer</title>
      <link>https://hdl.handle.net/10419/314425</link>
      <description>Title: US$ interest rate and cross currency swaps after the LIBOR funeral: A corporate treasury primer
Authors: Heidorn, Thomas; Liem, Erik; Requardt, Stefan; Wahnschaap, Tim
Abstract: This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross-currency swaps transition to compounded SOFR, corporates may face a trade-off between the higher costs of using Term SOFR versus facing operational difficulties with their internal treasury systems when using compounded SOFR in arrears. With respect to European corporates, challenges arising from the new in arrears conventions should be less pronounced since EURIBOR coexists next to €STR, which means that corporates may continue to use term rates set in advance when they choose to swap U.S. dollar exposure into euros.</description>
      <pubDate>Wed, 01 Jan 2025 00:00:00 GMT</pubDate>
      <guid isPermaLink="false">https://hdl.handle.net/10419/314425</guid>
      <dc:date>2025-01-01T00:00:00Z</dc:date>
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    <item>
      <title>US Dollar swaps after LIBOR</title>
      <link>https://hdl.handle.net/10419/283009</link>
      <description>Title: US Dollar swaps after LIBOR
Authors: Heidorn, Thomas; Meier, Rebecca
Abstract: The main focus of this paper is a comprehensive overview of the US$ reference rate reform, with a particular focus on its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future developments in a changing financial landscape. This paper discusses the change from US$-LIBOR to the Secured Overnight Financing Rate (SOFR) and the Chicago Mercantile Exchange (CME) Term SOFR as new reference rates. Main changes for US$ IRS against SOFR is a fixing-in-arrears, a loss in the money market term structure, and a change of implicit credit spreads. As only clients are allowed to use CME Term SOFR, banks face basis risk in hedging in the interbank market. As the SOFR is linked to treasuries instead of bank risk, in a crisis the difficulties of banks will increase. Corporate treasuries face a less efficient IRS market, wider ask-bid-spreads, changes in credit spreads, and an increase in complexity as the US money market now differs considerably from the EURO world.</description>
      <pubDate>Mon, 01 Jan 2024 00:00:00 GMT</pubDate>
      <guid isPermaLink="false">https://hdl.handle.net/10419/283009</guid>
      <dc:date>2024-01-01T00:00:00Z</dc:date>
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    <item>
      <title>Retail investors' perspective on ESG investments</title>
      <link>https://hdl.handle.net/10419/278741</link>
      <description>Title: Retail investors' perspective on ESG investments
Authors: Heidorn, Thomas; Watermeyer, Timo; Haar, Patrick
Abstract: Retail investors are an essential group in shaping the effects of ESG investing and ESG assets under management are growing at an exponential rate. This study of retail investors' demand generates first evidence on their ESG-relevant decisions. In general, ESG was regarded as a highly interesting topic by retail investors, indicating that its role in financial decisions will further increase in the future. In practice, the portfolio of companies chosen to represent ESG values varies substantially across different funds. We found that, for most retail investors, ESG values have a meaningful relationship with each other. Nevertheless, there is no general agreement on how to fulfil these values. Only few relationships between specific ESG values and measures of achieving ESG values (MAVs) were determined. Moreover, no relationships were found between MAVs and indirect ESG values. Nevertheless, some MAVs had reliable relationships with each other and could be ranked according to controversiality, indicating that MAVs could be clustered for optimal representation of retail investor preference groups. Most retail clients prefer a financially optimal investment, but a meaningful group would accept lower performance to support their values. This confirms additional non-financial utility of investment decisions: Association or dissociation with certain ESG values.</description>
      <pubDate>Sun, 01 Jan 2023 00:00:00 GMT</pubDate>
      <guid isPermaLink="false">https://hdl.handle.net/10419/278741</guid>
      <dc:date>2023-01-01T00:00:00Z</dc:date>
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