This arbitrage method implementation is a paucity at financial institutions and alternative funds due to the rare occurrence of an inefficient difference between a swap rate, a Treasury or T-bond equivalent issue, and repo float rate; consequently, no further posts will regard this strategy in addition to this brief acknowledgement. Swap Spread Arbitrage requires a delineation between the spread of an interest rate swap and yield of a Treasury bond or T-bond equivalent and that of a Repo’s float rate. An inordinate price change of the preceding or irregularity in their rates inevitably precipitates a significant loss due to the high leverage necessitated by the nominal return of this strategy.
Floating Rate Bonds and Term Structure of Interest Rates
Downloadable Reference: https://drive.google.com/file/d/1RMO8J3DrYjb_vHYCxTIJ3LiJx_ZeuC7Y/view
No comments:
Post a Comment