Rolldown and carry analysis for a 5 Yr Treasury held over a 1 Yr horizon, based on the yield curve as of June 11, 2026. Estimated carry is 40.0 bps, rolldown return is 21.4 bps, for a total expected return of 61.4 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 |
|---|---|---|---|
| 4.18% | 40.0 bps | 21.4 bps | 61.4 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 5 Yr Treasury over a 1 Yr horizon, this reflects the spread between the 5 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 61.4 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.