Roll-Down Return

外汇网2021-06-19 14:09:32 62

A form of return that arises when the value of a bond converges to par as maturity is approached. The size of the roll-down return varies greatly between long and short-dated bonds. Roll-down is smaller for long-dated bonds that are trading away from par compared to bonds that are short-dated.

|||Roll-down return works two ways in respect to bonds. The direction depends on if the bond is trading at a pmium or at a discount. If the bond is trading at a discount the roll-down effect will be positive. This means the roll-down will pull the price up towards par. If the bond is trading at a pmium the opposite will occur. The roll-down return will be negative and pull the price of the bond down back to par.

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