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No. of Recommendations: 1
'09 was a delight for exchange traded bonds (or similar)!

Yeah, lots of interesting opportunities back then. For instance, JBK was a fixed to float trust preferred set up by Lehman based on an underlying Goldman Sachs certificate paying 6.345% Lehman to made money on the spread - JBK initially paid 3.5% so, there a positive 3.345% spread for Lehman. The float was based on the 3 month LIBOR plus 0.75%, with a minimum of 3.5% and a maximum of 7.5% - so there was more positive spread opportunity than negative for Lehman. When Lehman went BK, per the prospectus, the trust became a pass-through for the interest from the underlying. However, the underlying paid dividends semi-annually (in Feb and Aug), while JBK was set up to pay quarterly (in Feb, May, Aug and Nov), so it appeared that JBK had missed a payment in November, 2008 - when they were just changing over to the semi-annual pass-through schedule. Great opportunity to buy a $25 par value with a 6.345% coupon for between $10 and $11 - if you thought that Goldman Sachs would survive. JBK still trades today, at around $26

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