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Based on FIXED INCOME ARBITRAGE IN A FINANCIAL CRISIS TED SPREAD AND SWAP SPREAD IN 2008 CASE C 4. What are some risks of this

Based on FIXED INCOME ARBITRAGE IN A FINANCIAL CRISIS TED SPREAD AND SWAP SPREAD IN 2008 CASE C 4. What are some risks of this transaction that are not mentioned in the case? Feel free to list those presented in the case, but also list at least one additional risk.

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