Global Sovereign Bond & Treasury Auction Dynamics Workbench
FOMC Minutes Calibration • Primary Dealer Concessions • Portfolio DV01 P&L
REUTERS INTEL: JULY MINUTES RECOVERY
US Treasuries (UST)
German Bunds (DBR)
UK Gilts (GILT)
Japan Gov Bonds (JGB)
Central Bank Stance
Hawkish Hold
Hawkish Hold
Dovish Easing
QT Squeeze
Reflation
Short Rate Delta:
+12.5 bp
10Y Term Premium:
+18.0 bp
Auction Supply Shock
10Y Benchmark Size:
$42 B
30Y Long Bond Size:
$25 B
Portfolio Risk Inputs
Notional ($M)
Mod. Duration (Y)
Export JSON
Export CSV
Reset Baseline
2Y/10Y Curve Spread
-34.0 bp
Inverted (-6.0 bp shift)
10Y Auction Tail
+1.8 bp
Bid-to-Cover: 2.48x
30Y Auction Tail
+2.4 bp
Bid-to-Cover: 2.32x
Portfolio P&L (MTM)
-$524,025
DV01: $34,250
Sovereign Yield Curve Shift (Baseline vs. Shock)
■ Baseline
■ Shock + Concession
Primary Dealer Concession & Auction Absorption Matrix
ABSORPTION NORMAL
Tenor
Baseline
Supply Concession
Policy Shift
Shock Yield
Allotment Size
Exp. Tail
Dealer Take
Bid-to-Cover
Status
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