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9-205-059
R E V : A P R I L 2 6 , 2 0 0 5
G E O R G E C H A C K O
P E T E R H E C H T
V I N C E N T D E S S A I N
A N D E R S S J Ö M A N
Deutsche Bank: Finding Relative-Value Trades
It was the third week of August 2003, and Jamil Baz, head of Deutsche Bank’s Fixed Income
Research Group, gathered his research group for a morning meeting. “So, what are the markets
telling us today?” he asked the group. “Are there any trends or news for new trade ideas?”
The Fixed Income Research Group that Baz led was Deutsche Bank’s internal research and
development (RD) department for fixed income instruments. Their mandate was to look for
untapped value across bond markets and interest rate derivatives. Long-term-oriented research
findings were presented to clients, whereas immediate opportunities were suggested as trades to
internal traders as well as clients. The success of the group was in part measured by how many of
their trade suggestions actually turned into successful trades. So far, they had achieved an impressive
75% success rate.
A natural place to start looking for new trades was the latest prices on various U.S. Treasury
bonds (see Exhibit 1 for data from August 15, 2003). The group’s members consistently went through
that data set, looking for possible trades to recommend. Typically relative-value trades took both long
and short positions across different parts of the yield cur
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