Serving the Quantitative Finance Community
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- mapleleafs
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BMA Basis Swap
Does anyone know anything about BMA Basis Swap? i heard trader like to bet on the spread between real and theoretical BMA yield curve, what does it mean? Coupon = Fixed Rate + (Avg1mUSDLibor x Multiplier - AvgBMA) x Leverage FactorThere's structured note designed to deliver an above market return by leveraging the inefficiencies embedded in the US Muni. marketHowever, the key risks are US Tax Law risk and Potential udnerperformance if short term US Libor rates fall significantly.anyone knows the concept?tks
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- Stochastic44
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BMA Basis Swap
really interested in the topic too..I will come back on it soon.Any inputs?d'be kind from you ciao