Global Swap Curve
Expected Roll-down and
Carry Analysis
Weekly Report
We have calculated roll-down and carry for swaps and
selected curve trades in the US, Europe, Japan, UK,
Australia, Sweden, Switzerland, Canada and New
Zealand.
Page 2: Summary graphs
Page 4: Primer on roll-down and carry
Page 6: US
Page 9: Europe
Page 12: Japan
Page 15: UK
Page 18: AUD
Page 21: SEK
Page 24: CHF
Page 27: CAD
Page 30: NZD