We consider secret-key agreement with public discussion over multiple-input multiple-output (MIMO) Rayleigh fast-fading channels under correlated environment. We assume that transmit, legitimate receiver and eavesdropper antennas are correlated. The legitimate receiver and the eavesdropper are assumed to have perfect channel knowledge while the transmitter has only knowledge of the correlation matrices. First, we derive the expression of the secret-key capacity under the considered setup. Then, we prove that the optimal transmit strategy achieving the secret-key capacity consists in transmitting indpendent Gaussian signals along the eingenvectors of the transmit correlation matrix. The powers allocated to each channel mode are determined as the solution to a numerical optimization problem that we derive. A necessary and sufficient condition for beamforming (i.e., transmitting along the strongest channel mode) to be capacity-achieving is derived. Finally, we analyze the impact of correlation matrices on the system performance and provide closed-form expressions of the gain/loss due to correlation in the high power regime.
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