Government of Canada carry & roll-down: where is an investor best paid to sit?
CAD: total expected return (basis points) against tenor (years), for a 1M holding horizon (1 month), computed under a static-curve assumption. Source: Bank of Canada (native). Sweet spot marked.
| Horizon | Tenor | Total | Carry | Rolldown | Bucket | Pct (10y)Pro |
|---|---|---|---|---|---|---|
| 1M | 25.8y | 37.0 bps | 33.5 | 3.5 | 20-30y | Locked |
| 3M Pro | Subscribe to Pro to see 3M sweet spot, carry, rolldown, bucket and 10y percentile. | Locked | ||||
| 6M Pro | Subscribe to Pro to see 6M sweet spot, carry, rolldown, bucket and 10y percentile. | Locked | ||||
| 1Y Pro | Subscribe to Pro to see 1Y sweet spot, carry, rolldown, bucket and 10y percentile. | Locked | ||||
| # | Tenor | Total | Carry | Rolldown |
|---|---|---|---|---|
| 1 | 25.8y | 37.0 | 33.5 | 3.5 |
| 2 | 26.0y | 37.0 | 33.5 | 3.4 |
| 3 | 26.2y | 37.0 | 33.6 | 3.4 |
| 4 | 25.5y | 37.0 | 33.5 | 3.5 |
| 5 | 25.2y | 37.0 | 33.4 | 3.5 |