NO.PZ2021120102000002
问题如下：
An analyst manages an activefixed-income fund that is benchmarked to the Bloomberg Barclays US TreasuryIndex.
This index of US government bonds currently has a modifiedportfolio duration of 7.25 and an average maturity of 8.5 years. The yieldcurve is upward-sloping and expected to remain unchanged. Which of thefollowing is the least attractive portfolio positioning strategy in astatic curve environment?
选项：
A.
Purchasinga 10-year zero-coupon bond with a yield of 2% and a price of 82.035
B.
Entering a pay-fixed, 30-year USD interest rate swap
C.
Purchasing a 20-year Treasury and financing it in the repo market
解释：
B is correct.
The 30-year pay-fixed swap is a “short”duration position and also results innegative carry (that is, the fixed rate paid would exceed MRR received) in anupward-sloping yield curve environment; therefore, it is the leastattractive static curvestrategy.
In the case of a.), the manager enters a “buy-and-hold”strategy by purchasing the 10-year zero-coupon bond and extends duration,which is equal to 9.80 = 10/1.02 since the Macaulay duration of a zeroequals its maturity,and ModDur = MacDur/(1+r) versus 7.25 for the index.
Under c.), the manager introduces leverage bypurchasing a long-term bond and financing it at a lowershort-term repo rate.
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; therefore, it is the least attractive static curve strategy. 不理解为啥the fixed rate paid would exceed MRR received？谢谢老师
