Investment manager James Franey confronts apparent arbitrage opportunity during the global financial crisis of 2008, when he notices a wide yield spread between U.S. Treasury bonds maturing on the same day. Franey have to decide if you can, how to organize a trade to use it, and how much capital to allocate his fund. Case exhibition includes some detail on the funding, especially short sales, margin lending and repurchase agreements that support the relative value strategies. Special attention is paid to communication mathematical calculations that support the analysis of character and action. All quotations in the case, the real and historical, and the commands are provided for each Bloomberg footnotes. "Hide
by Ryan D. Taliaferro, Stephen Blyth Source: Harvard Business School 8 pages. Publication Date: January 18, 2011. Prod. #: 211049-PDF-ENG
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