An investment manager who pursues the cash-based yield curve strategies described in Exhibit 5 faces an inverted yield curve (with a decline in long-term yields-to-maturity and a sharp increase in short-term yields-to-maturity) instead. Which of the following is the least likely portfolio outcome under this scenario?

a. The manager realizes a loss on a “buy-and-hold” position that extends duration beyond that of the index.

b. The manager faces negative carry when financing a bond purchase in the repo market.

c. The manager is able to reinvest coupon income from a yield curve rolldown strategy at a higher short-term yield-to-maturity.