El-Erian Macro Catalyst Presets
Portfolio MTM Loss
-4.82%
-$482,150 on $10M
Mod. Duration
8.14 yrs
Macaulay: 8.35 yrs
Effective Convexity
112.4
Cushion: +0.24%
10Y Benchmark Stress
4.73%
+45 bps shock
Sovereign Yield Curves: Baseline vs. Stressed
Baseline (Current)
Stressed (+Shock)
Yield Curve Basis-Point Shocks (Δy)
Global or Tenor SpecificSample Portfolio ($10,000,000 USD)
100% Allocated| Asset / Maturity | Alloc % | Mod Dur | Est. Price Δ | Drawdown |
|---|
Mohamed El-Erian's 4 Sell-Off Drivers
CNBC guest Mohamed El-Erian highlights that the sell-off in sovereign debt markets is supported by secular structural changes rather than temporary cyclical noise:
- Fiscal Supply Indigestion: Trillions in multi-year deficit financing force unprecedented supply auctions into private markets as central banks undergo QT.
- Sticky Services Inflation: Wages and services prevent central banks from rapidly returning to ultra-low rates, repricing front-end expectations higher.
- Higher Real Neutral Rate (r*): Geopolitical re-shoring, green energy capital transition, and demographic aging push real equilibrium yields upwards.
- Term Premium Expansion: Investors demand meaningful compensation to hold long-duration paper against sovereign debt sustainability risks.
Sovereign Spillover Beta Matrix (10Y Yield Transmission)
Empirical regression beta during global US Treasury sell-off episodes:
| Anchor Yield | US Treasuries | German Bunds | UK Gilts | Japan JGBs |
|---|---|---|---|---|
| US 10Y Shock (+100 bps) | 1.00x | 0.72x (+72 bps) | 0.88x (+88 bps) | 0.31x (+31 bps) |
| Bund 10Y (+100 bps) | 0.64x | 1.00x | 0.78x | 0.24x |
| Gilt 10Y (+100 bps) | 0.58x | 0.66x | 1.00x | 0.19x |