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Long Term Capital Management Case Analysis [pic 1][pic 2][pic 3][pic 4]1.Trades of LTCM(1) U.S. swap spreads: short Treasury bonds which maturities are nine years or longer, hedged by receiving fixed on interest-rate swaps, at a swap spread of 62 basis points.(2) IOs: long interest-only strips of Agency-backed pools of fixed-rate residential mortgages, dynamically hedge by.