adherence of the idiosyncratic basis to the no-arbitrage condition is subsequently evaluated through the application of an … indicative market-neutral credit strategy that is designed to harvest the apparent static arbitrage opportunities. The success of … the strategy, which systematically captures the idiosyncratic basis as it adheres to the no-arbitrage conditions, is …

constraints to arbitrage. Furthermore, we carry out a term structure analysis, showing the varying dynamics of CIP violations …