Rolldown and carry analysis for a 1 Yr Treasury held over a 3 Mo horizon, based on the yield curve as of April 27, 2026. Estimated carry is 0.3 bps, rolldown return is -1.5 bps, for a total expected return of -1.2 bps. Rolldown return captures the price gain from a bond moving down the curve as its remaining maturity shortens, assuming the yield curve shape stays constant.
| Yield | Carry | Rolldown | Total |
|---|---|---|---|
| 3.69% | 0.3 bps | -1.5 bps | -1.2 bps |
Assumes unchanged yield curve and 3 Mo funding rate.
Carry and rolldown decompose the expected return of holding a bond over a given horizon assuming the yield curve does not change. Carry is the income earned from holding a higher-yielding bond funded at the short-term rate — for the 1 Yr Treasury over a 3 Mo horizon, this reflects the spread between the 1 Yr par yield and the 3 Mo funding rate. Rolldown is the capital gain (or loss) from the bond "rolling down" the curve as its remaining maturity shortens and it reprices at a lower yield point on an upward-sloping curve. A total return of -1.2 bps means an investor would earn approximately that annualized return in excess of the funding rate if curves remain unchanged. Positive total return suggests the position is self-financing; negative total return indicates the investor pays to maintain the position, betting on a rate decline or other catalyst.