Search results with tag "Swap spread"
Onshore spread and swap spread: Chilean money market ...
www.bis.orgOnshore spread and swap spread: Chilean money market liquidity indicators . Felipe Alarcón. 1. and Nicólas Malandre. 2. Introduction . Over the last few years, the Chilean derivatives market has reached a greater level of
Negative Swap Spreads and Limited Arbitrage
finance.wharton.upenn.eduA key insight provided b y my model is that with arbitrage limited in this way, swap spreads should naturally be negative, even in the absence of explicit demand effects. Banks have been required to disclose their supplementary leverage ratios starting in 2015. Consistent with the model, as shown in Figure 1, empirical swap spreads declined
Analysing Cross-Currency Basis Spreads - Europa
www.esm.europa.euinterpretation. According to Chang and Schlogl (2012), basis swap spreads are inconsistent with a classical arbitrage argument between the spot and forward markets. In Section 3 we discuss this arbitrage argument in a slightly stricter sense in a setting where entities borrow at a risky (unsecured) rate while invest at a risk-free rate.