Sign up  |  Log in

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.

Available Live or Online, our classes are taught by CFA® charterholders that have a history of helping candidates pass. Take your studies seriously with a live class from Schweser.

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.