Fixed Income Arbitrage in a Financial Crisis (C): TED Spread and Swap Spread in November 2008 Case Solution

investment manager Albert Mills faces a clear arbitrage opportunity in the global financial crisis of 2008, when he realizes an exceptionally low – and briefly negative – spread thirty U.S. dollars floating peg. Mills must decide whether there is a possibility, how to structure a business to operate, and how much capital to allocate the funds. case shows includes descriptions floating swaps fixed interest rates and significant differences (LIBOR, TED spread, swap spread) and conditions of financing, including repurchase agreements, which support relative value strategies. Attention to link the mathematics that support analysis and decision of the protagonist is also 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
10 pages.
Date Posted: January 18, 2011. Prod #: 211051-PDF-ENG
Fixed Income Arbitrage in a Financial Crisis (C): TED Spread and differential swap in November 2008 Case Solution

Fixed Income Arbitrage in a Financial Crisis (C): TED Spread and Swap Spread in November 2008 Case Solution
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