USD bonds arbitrage opportunity: long RUSB short FXRU

26 nov 2018

LSE:RUSB is an ETF on 22 investment grade Russian USD denominated eurobonds. At current moment RUSB trades at significant discount to its own basket. This is a unique buying opportunity that can be captured either by long only investrors or by arbitrageurs. In case of long only - buy at 23.90 and hold enjoying the recovery of Russian eurobonds or put a sell order above fair value being 24.35 to earn about 2% absolute only on spread in approximately a month time plus appreciation of Russian eurobonds. For arbitrageurs - buy RUSB, short FXRU, to capture the spread.

26 abr 2019

Operación cerrada: objetivo alcanzado

From Nov 26, 2018 to April 26, 2019
FXRU shares rose from $11.065 to 11.495 giving a loss of 3.89% on the short leg
RUSB rose from $23.970 to $25.73 giving a profit of 7.35% on the long leg
Thus, total trade return is 3.46% for 5 months or 8.31% pa