Publications
Publications
  • May 2005 (Revised January 2006)
  • Case
  • HBS Case Collection

Ticonderoga: Inverse Floating Rate Bond

  • Format:Print
  • | Pages:3
ShareBar

Abstract

Presents a simple interest hedging exercise. A hedge fund is considering an investment in a structured fixed--income product: an inverse floating-rate bond, or inverse floater, designed by a U.S. investment bank. The hedge fund's normal policy is to hedge interest rate risk, maintaining a duration and convexity-neutral portfolio. Because of the complicated nature of the structured product, the protagonist must figure out how to hedge this product.

Keywords

Risk and Uncertainty; Credit Derivatives and Swaps; Bonds; Investment Funds; Interest Rates

Citation

Chacko, George C., and Anders Sjoman. "Ticonderoga: Inverse Floating Rate Bond." Harvard Business School Case 205-113, May 2005. (Revised January 2006.)

More from the Author