问题如下：
Identify the risks in a fixed-income arbitrage strategy that takes long positions in interest rate swaps hedged with short positions in Treasuries.
选项：
A. The strategy could lose from decreases in the swap-Treasury spread.
B. The strategy could lose from increases in the Treasury rate, all else fixed.
C. The payoff in the strategy has negative skewness.
D. The payoff in the strategy has positive skewness.
解释：
C is correct. The strategy has no exposure to the level of rates but is exposed to a widening of the swap-Treasury spread. Assume, for instance, that the swap and Treasury rates are initially 5.5% and 5%. If these rates change to 5.3% and 4.5%, for example, values for both the swap and the Treasury bond would increase. Because the drop in the Treasury rate is larger, however, the price of the Treasury bond would fall more than the swap, leading to a net loss on the position. The strategy should gain from decreases in the swap-Treasury spread, so a. is wrong. The strategy should gain from increases in the Treasury rate, all else equal, so b. is wrong. Finally, the distribution of the payoff depends on the distribution of the swap-Treasury spread. Because this cannot go below zero, there is a limit on the upside. The position has negative skewness, so c. is correct.
关于spread和treasury rate变化引起的gain or loss能不能再详细说说？
