The Black Swan Value Proposition

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Unlock the potential to capture significant value from a spread-widening event in the U.S. Treasury Term Repo market—whether triggered by a rare Black Swan event or broader market dislocations.

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Imagine benefiting from a long option position that offers:

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• Zero risk exposure

• No upfront transaction costs

• No premium payments

• No use of your own cash or U.S. Treasury collateral

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Let’s revisit a pivotal moment in financial history: the Lehman Brothers bankruptcy. During this crisis, Treasury Repo spreads widened dramatically by as much as 200 basis points. On a $10 billion position with a 270-day weighted average maturity, this widening translated into an option value of approximately $150 million. For many Chief Investment Officers, this gain could have offset, or even exceeded, losses incurred elsewhere in their portfolios.

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If you're concerned about portfolio vulnerability during extreme market events, the Black Swan Option may be a strategic solution worth exploring.

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To learn more, please contact Lew Goldman at lgoldman@agentlenderplus.com

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