Based on Fixed income arbitrage in Financial Crisis(C):Ted Spread and Swap Spread in November 2008

Should Albert Mills do this trade? Back up your answer with the following analyses:

1. Write out the initial transaction and cash flows for the trade based on entering the swap, purchasing the Treasury bond, and borrowing using the repurchase agreement. Be sure to use discount pricing for the repurchase agreement and to take the 2% haircut into account. Assume that the repurchase agreement will last 14 days. Assume $1 billion notional principal for the swap and $0.97 billion pre haircut face value and $1.04 billion price for the Treasury bond. Please use the rounded numbers from above and presented in the case. Assume that initial LIBOR is set at 2.51% and is fixed for three months (through February 2009), beginning on the swap date (November 5, 2008). The fixed swap rate is 4.256%. The coupon on the Treasury is 4.5%.

PLEASE DON'T RANDOMLY COPY-PASTE THE WHOLE CASE AS I HAVE ASKED THIS QUESTION SEVERAL TIMES AND ALL THE EXPERTS ARE DOING THE SAME THING. PLEASE READ THE QUESTION CAREFULLY AND THEN ONLY ANSWER. ANY HELP WOULD BE HIGHLY APPRECIATED.