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Fixed Income Arbitrage in a Financial Crisis (A): US Treasuries in November 2008 Case Solution & Answer

James Franey investment manager faces a clear arbitrage opportunity in the global financial crisis of 2008, when he realizes a wide gap in performance between U.S. Treasuries maturing on the same date. Franey must decide whether there is a possibility, how to structure a business to operate, and how much capital to allocate the funds. case exhibition includes many details about the funding mechanisms, short sale, especially margin lending and repurchase agreements, which support relative value strategies. Particular attention to linking mathematical calculations that support analysis and decision of the protagonist is given. All prices in the case are real and historical, Bloomberg and the corresponding commands are provided for each footer.
by
Ryan D. Taliaferro,
Stephen Blyth
Source: Harvard Business School
8 pages.
Date Posted: January 18, 2011. Prod #: 211049-PDF-ENG
Fixed Income Arbitrage in a Financial Crisis (A): U.S. Treasury in November 2008 gVirt_NP_NN_NNPS __ <__ Solving cases

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