I wonder if this helps to explain some of the ridiculous Vol/illiquidity/drying up in the CP markets over the last few weeks:
Apparantly Citi (and I would be shocked if they were the only dudes who utilized this type of trade) used off-balance sheet structured vehicles to create a kind of carry-trade. They used CP funding sources (with low yields) to buy higher yielding stuff…like maybe CDO’s? hmm. nah. Prolly something better than that. I hope.