The case of D indicates briefly the Investment Manager Albert Mills action in the case of abnormally low U.S. dollar fixed-floating swap spread. He has to decide what to do next.
Ryan D. Taliaferro,
Source: Harvard Business School
Date Posted: January 18, 2011. Prod #: 211052-PDF-ENG
Fixed Income Arbitrage in a financial crisis (D): TED Spread and differential swap in May 2009 Case Solution