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Lehman Brothers analysts retire five-year CMBS trade

Last Nov. 3, analysts Lehman Brothers initiated a recommendation to buy five-year triple-As versus three-year and 10-year triple-A CMBS. After a good run, they are now closing out the trade.

At initiation, a duration-neutral, long five-year versus short three-year and 10-year position generated 5.9 basis points of incremental carry....

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