Investment manager Albert Mills faces a clear arbitrage opportunity during the global financial crisis of 2008 when he discovers an extraordinarily low - and briefly negative - thirty-year U.S. dollar fixed-floating swap spread. Mills must determine whether there is an opportunity, how much of the capital of his fund to allocate, and how to structure a trade to exploit it.
Case exposition contains descriptions of fixed-floating swaps, important rates of interest and spreads (LIBOR, TED spread, swap spread), and financing arrangements, particularly repurchase agreements, that support relative-value strategies. Focus also is paid to bond mathematics computations that support selection and the protagonist's analysis. All quoted prices in the case are actual and historical, and corresponding Bloomberg orders are provided for each as footnotes.
PUBLICATION DATE: January 18, 2011 PRODUCT #: 211051-PDF-ENG
This is just an excerpt. This case is about FINANCE & ACCOUNTING
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