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German 10Y Bund Yield Shock & Sovereign Curve Workbench
10Y Benchmark:
3.15%
(15-Year High)
Scenario Presets:
15-Year Breakout (+50bps)
Bear Steepener (+80bps Long)
ECB Rate Shock (+100bps Parallel)
NIRP Negative Era (2019 Base)
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Portfolio M2M Capital Impact
-€42,150
-4.22% Total Return
10Y Bund Price Shock
-3.88%
Yield: 3.15% → 3.65%
Portfolio Modified Duration
7.82 yrs
Portfolio DV01: €782 / bp
Italy (BTP) - Germany Spread
168 bps
France (OAT): +48 bps
German Sovereign Curve Shift
Bear Steepener Scenario
15-Year Bund Historical Regimes
2008 GFC (4.35%)
2011 Euro Debt (3.45%)
2019 NIRP (-0.65%)
2022 Surge (2.55%)
2026 High (3.15%)
Yield Curve Shock Controls
Global Parallel Yield Shift:
+50 bps
2Y Schatz Yield (Baseline 3.00%):
3.00%
10Y Bund Yield (Baseline 3.15%):
3.15%
30Y Buxl Yield (Baseline 3.35%):
3.35%
Eurozone Sovereign Benchmark Spreads
Credit risk spread relative to 10-Year German Bund:
Italy (BTP 10Y: 4.83%)
168 bps
Spain (Bono 10Y: 3.92%)
77 bps
France (OAT 10Y: 3.63%)
48 bps
Monetary Policy Implication:
High Bund yields tighten corporate and mortgage financing conditions across the entire Eurozone bloc.
Fixed Income Allocation & Sensitivity Matrix (€1,000,000 Portfolio)
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Security / Maturity
Allocation (€)
Base Yield
Shock Yield
Mod. Duration
Convexity
Price Impact (%)
Marked-to-Market P&L (€)
Total Portfolio
€1,000,000
-
-
7.82 yrs
92.4
-4.22%
-€42,150
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