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Credit Market Arbitrage and Regulatory Leverage

Nina Boyarchenko, Pooja Gupta, Nick Steele and Jacqueline Yen

No 20170111, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: In a companion post, we examined the recent trends in arbitraged-based measures of liquidity in the cash bond and credit default swap (CDS) markets. In this post, we turn to the mechanics of the CDS-bond arbitrage trade and explore how the costs and profitability of such trades might be affected by the finalization of the supplementary leverage ratio (SLR) rule in September 2014.

Keywords: SLR; cost of capital (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2017-01-11
New Economics Papers: this item is included in nep-ore
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