Investment manager Albert Mills confronts an apparent arbitrage opportunity during the global financial crisis of 2008 when he notices an unusually low -- and briefly negative -- thirty-year U.S. dollar fixed-floating swap spread. Mills must decide if there is an opportunity, how to structure a...

The D case briefly recounts the action that investment manager Albert Mills takes in the matter of an unusually low U.S. dollar fixed-floating swap spread. He must decide what to do next.Learning Objective:This case may be used: to introduce fixed-floating interest rate swaps; to review or...