A measure of basis points as relative spread or return that would make the carry disappear. In other words, it shows how far the swap yield curve must shift for the carry to become zero. For example, if the expected carry for a swap (carry on a swap) is 20 basis points running, whilst rates are selling less than 20 basis points, then the position will has gains an amount equal to that lost in carry.
November 13, 2023
