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intermarket carry trade

For intermarket carry trade, we implement receive fixed/pay floating in the steeper market and pay fixed/receive floating in the flatter market.

But why we do not receive fixed/pay floating in both the steeper market and flatter market as long as the yield curve is still upward sloping for the flatter market? I think, in this way, we can earn higher return because in both market we can invest at higher yield and borrow at lower yield.

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Because you’re going duration neutral and currency neutral. You have to cancel the 6 month libor with the 6 month libor and the long with the long. If you don’t do that, you arent duration neutral and the problem had a constraint.