Investment manager Albert Mills resists the obvious arbitrage opportunity during the global financial crisis of 2008, when he notices the unusually low - short and negative - thirty-year fixed-floating U.S. dollar swap spread. Mills 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 a description of the main floating rate swaps, an important interest rates and spreads (LIBOR, TED spread, swap spread), and funding mechanisms, such as repurchase agreements, which support the relative value strategies. Attention is also paid to the relationship 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 10 pages. Publication Date: January 18, 2011. Prod. #: 211051-PDF-ENG
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