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municipal bond hedging
http://www.smartquant.com/forums/viewtopic.php?f=42&t=9648
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Author:  FO_Rob [ Mon Aug 29, 2011 9:25 pm ]
Post subject:  municipal bond hedging

Hi,

Does anyone have any experience using BMA / SIFMA swaps to hedge a long municipal bond position? I'd be particularly interested in experiences sizing and structuring the hedge and in monitoring / adjusting the hedge. I'd also be keen to hear views about hedge performance under dfferent market conditions.

Thanks!

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