Macro Shock Regimes
Tenor Yield Controls (%)
Baseline → Shifted
Portfolio Assumptions
Sovereign Benchmark Yield Curve
Baseline (Inverted)
Shifted Curve
2s10s Spread
-0.24%
+20 bps un-inversion
3m10s Spread
-0.80%
+27 bps un-inversion
Portfolio Return
+1.32%
+$132,000 MTM
DV01 Sensitivity
$6,500
per 1 bps shift
Cross-Asset Macro Transmission Channels
Yields Give Way Regime Impacts
Equities (Growth / Tech)
Expansion
Lower discount rate expands PE multiples; DCF terminal cashflow multiplier increases.
+2.85% Valuation Uplift
Credit & IG Spreads
Compression
Lower sovereign base rates alleviate refinancing friction and interest coverage stress.
-14 bps IG Spread Compression
US Dollar Index (DXY)
Softening
Front-end rate advantage diminishes vs foreign sovereign alternatives.
-0.68% Dollar Trajectory