Hi,
I have a newbie question for you futures experts
my understanding was bond futures were priced on the clean price of bonds, i.e. without accrued interest.
Could you please explain why I see trade suggestions about shorting bond futures when the underlying has negative yields ? The argument is to have a positive carry, while having the possibility that yield back up in positive territory.
But it’s not clear to me why you get positive carry if you are not accruing any coupon. Is it because ultimately, if rates dont go down, the bond price should converge to par, and so should the future price do ?
Could you please explain the mechanics ?