EricFJ on Nostr: ...

quoting
nevent1q…5sd0

Bro the play is obvious.

Capture the convexity premium embedded in the term structure of leveraged synthetic duration swaps.

Rehypothecate the collateral, tranche the exposure, arbitrage the forward curve, and roll the carry into a delta-neutral basis trade.

Then lever the mezzanine tranche, hedge the volatility skew, and warehouse the tail risk in an off-balance-sheet vehicle.

Boom. Cash money.