Investment manager Eliza Baena confronts a clear exchangeable bond arbitrage opportunity when she discover a narrowing spread between two Boston Properties (BXP) bonds, one a convertible bond and the other a straight bond, in the aftermath of the year 2008 Lehman liquidation.
Baena must determine if there is a chance, how to arrange a trade to manipulate it, and how much of her fund's capital to allocate. Instance exposition includes descriptions of basic funding arrangements that support arbitrage strategies, for example rehypothecation and margin lending.
PUBLICATION DATE: December 14, 2010 PRODUCT #: 211018-PDF-ENG
This is just an excerpt. This case is about FINANCE & ACCOUNTING
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