Goldman Sachs, FICC Credit Strategies, CDS 101, October 2009, here.
The CDS bid / offer is in the range of:
2 to 3 bp for names trading below 50bp
5 to 8 bp for names between 50 and 100 bp
8 to 12 bp for names between 100 and 200 bp
15 and 30 bp for names between 200 and 400 bp
However, a liquid name like Ford may trade with a 15 – 20 bp bid / offer or less even if it is in the 850 – 900 bp
Legacy high-yield names are less liquid than “fallen angels” (former IG names).
The 5 year contract term is by far the most liquid, although 1, 2, 3, 7, and 10 year maturities as well as
maturities to a given date are also available
Typical trade size is $5 to 10 million, although larger notionals are quite common
Matt Cameron, Risk Magazine, Goldman and the OIS gold rush, here. The untold story if the switch to overnight index swap discounting. Starts around pg. 15. $500 million profit to GS in three years.