Rolldown and carry analysis for a 30 Yr Treasury held over a 1 Yr horizon, based on the yield curve as of April 27, 2026. Estimated carry is 126.0 bps, rolldown return is 0.3 bps, for a total expected return of 126.3 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 |
|---|---|---|---|
| 4.94% | 126.0 bps | 0.3 bps | 126.3 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 30 Yr Treasury over a 1 Yr horizon, this reflects the spread between the 30 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 126.3 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.