Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:basis 

Discussion Paper
The Effects of Entering and Exiting a Credit Default Swap Index

Since their inception in 2002, credit default swap (CDS) indexes have gained tremendous popularity and become leading barometers of the credit market. Today, investors who want to hedge credit risk or to speculate can choose from a broad menu of indexes that offer protection against the default of a firm, a European sovereign, or a U.S. municipality, among others. The major CDS indexes in the U.S. are the CDX.NA.IG and the CDX.NA.HY, composed of North American investment-grade (IG) and high-yield (HY) issuers, respectively. In this post, we focus on the CDX.NA.IG index. We discuss the ...
Liberty Street Economics , Paper 20150330

Report
Cash-Forward Arbitrage and Dealer Capital in MBS Markets: COVID-19 and Beyond ves

We examine the economic mechanisms that limited arbitrage between the cash and forward markets of agency MBS, and whether asset purchases of the Federal Reserve (Fed) alleviated price dislocations. We find that the cash-forward basis, or the price difference between the cash and forward markets of agency MBS controlling for differences in fundamentals, widened significantly—by $0.9 per $100 face value during the height of the COVID-19 crisis. The widening basis was accompanied by a significant increase in selling by customers in the cash market, indicating a “scramble for cash” ...
Staff Reports , Paper 933

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

Bai, Jennie 1 items

Chen, Jiakai 1 items

Liu, Haoyang 1 items

Sarkar, Asani 1 items

Shachar, Or 1 items

Song, Zhaogang 1 items

show more (1)

FILTER BY Jel Classification

G1 1 items

G12 1 items

G14 1 items

G18 1 items

FILTER BY Keywords

basis 2 items

Basel III 1 items

CDX Index 1 items

COVID-19 1 items

Dodd Frank 1 items

MBS 1 items

show more (9)

PREVIOUS / NEXT