Arbitrageurs tap into GSec yield anomaly & how!

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

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