Euro-area AAA carry & roll-down: where is an investor best paid to sit?
EUR: total expected return (basis points) against tenor (years), for a 1M holding horizon (1 month), computed under a static-curve assumption. Source: European Central Bank (native). Sweet spot marked.
| Horizon | Tenor | Total | Carry | Rolldown | Bucket | Pct (10y)Pro |
|---|---|---|---|---|---|---|
| 1M | 15.0y | 35.7 bps | 31.1 | 4.5 | 10-15y | 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 | 15.0y | 35.7 | 31.1 | 4.5 |
| 2 | 12.0y | 35.0 | 30.2 | 4.7 |
| 3 | 20.0y | 35.0 | 31.9 | 3.1 |
| 4 | 10.0y | 33.8 | 29.4 | 4.4 |
| 5 | 9.0y | 33.1 | 29.0 | 4.1 |