Product details

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Abstract

Investment manager Albert Mills confronts an apparent arbitrage opportunity during the global financial crisis of 2008 when he notices an unusually low - and briefly negative - thirty-year US dollar fixed-floating swap spread. Mills must decide if there is an opportunity, how to structure a trade to exploit it, and how much of his fund's capital to allocate. Case exposition includes descriptions of fixed-floating swaps, important interest rates and spreads (LIBOR, TED spread, swap spread), and financing arrangements, particularly repurchase agreements, that support relative-value strategies. Attention also is paid to bond math calculations that support the protagonist's analysis and decision. All quoted prices in the case are real and historical, and corresponding Bloomberg commands are provided for each as footnotes.
Location:
Other setting(s):
2008

About

Abstract

Investment manager Albert Mills confronts an apparent arbitrage opportunity during the global financial crisis of 2008 when he notices an unusually low - and briefly negative - thirty-year US dollar fixed-floating swap spread. Mills must decide if there is an opportunity, how to structure a trade to exploit it, and how much of his fund's capital to allocate. Case exposition includes descriptions of fixed-floating swaps, important interest rates and spreads (LIBOR, TED spread, swap spread), and financing arrangements, particularly repurchase agreements, that support relative-value strategies. Attention also is paid to bond math calculations that support the protagonist's analysis and decision. All quoted prices in the case are real and historical, and corresponding Bloomberg commands are provided for each as footnotes.

Settings

Location:
Other setting(s):
2008

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