Unlocking Treasury 2061: The Hidden Fortune That Could Rewrite Financial History—Are You Ready to Discover the Truth?
Shouldn’t the yield differentials be arbitraged away by the deep and liquid gilt market?
I guess the first thing to note is that the market isn’t quite as ‘deep and liquid’ as a bond tourist like me might imagine.
There’s only £26.5bn in TG61, for example, according to YieldGimp.
A big number for sure. But, you know, only 50,000 or so half-a-milly City nest eggs.
More seriously, doesn’t it seem odd that a hedge fund can’t step in and arb the differentials away?
Finumus muttered something about “weird basis risks” when I joked with him that we should set up a vehicle to do it ourselves.
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