An analyst manages an active fixed-income fund that is benchmarked to the Bloomberg Barclays US Treasury Index. This index of US government bonds currently has a modified portfolio duration of 7.25 and an average maturity of 8.5 years. The yield curve is upward-sloping and expected to remain unchanged. Which of the following is the least attractive portfolio positioning strategy in a static curve environment?
- Purchasing a 10-year zero-coupon bond with a yield of 2% and a price of 82.035
- Entering a pay-fixed, 30-year USD interest rate swap
- Purchasing a 20-year Treasury and financing it in the repo market
这道题答案里写的
The 30-year pay-fixed swap is a “short” duration position and also results in negative carry (that is, the fixed rate paid would exceed MRR received) in an upward-sloping yield curve environment;
请问为什么fixed rate paid exceed mrr呢
既然收益率曲线向上，未来的的mrr是上涨，fixed rate应该小于未来收到的mrr
感谢解答！
