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I'd say coupon - repo is strictly cash flow and coupon + pull to par + rolldown - repo is the "carry", most often referenced in fixed income especially in liquid rates. We could replace coupon and pull to par with yield to maturity. You can see carry referenced as % total return or in bps which is "carry" in dollars divided by duration.


I disagree with your definition of carry. Carry is the difference between the cash an investment throws off less the cost to finance it. I would argue a zero coupon bond has zero or negative carry (depending if you finance it or not). The yield to maturity is capturing the price appreciation you’d expect as you roll closer to maturity. It’s a bit of a grey ...


"where does the idea of a bonds carry = forward yield - spot yield tie into all of this?" I'd refer to that as rolldown rather than carry.

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