“If the spreads widen, spread betters will lose money, while they will gain if the differentials narrow,” Bhusari said.
Synopsis
Three 10-year sovereign papers, including the benchmark, are yielding spreads up to 49 basis points among themselves. That has created a window of opportunity for quant experts on bond desks.
MUMBAI: Three different bond yields, three initial coupon rates, but exactly identical maturity horizons: It’s the ideal recipe for a rewarding arbitrage play.
Three 10-year sovereign papers, including the benchmark, are yielding spreads up to 49 basis points among themselves. That has created a window of opportunity for quant experts on bond desks.
“Larger than usual yield differential leaves a potential opportunity of spread/arbitrage
