Question: Why would a spread formula built around the differential in yields or prices of 5- and 30-year treasuries be far less risky than the actual

Why would a spread formula built around the differential in yields or prices of 5- and 30-year treasuries be far less risky than the actual mismatched formula used by Bankers Trust? 3. Should Judge Feiken have ruled in favor of Procter & Gamble on the issue of duciary responsibility? 4. How could Procter & Gamble hedge its exposure to the interest rate risk embedded in the leveraged swap? Would you expect the approximate cost of such a hedge to be equal to, more than, or less than the 75 basis points that Bankers Trust was generously paying to Procter & Gamble? How would your answer change as interest rates started to rise?

book. Jacque, Laurent L. Global Derivative Debacles: From Theory To Malpractice, World Scientific Publishing Company, 2010.

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