Simulated Yield Curve Shift & Term Premium Compression
Comparing baseline yields against post-buyback clearing prices across the primary Treasury curve.
Baseline Curve
Post-Buyback Curve
Spread Relief
Tenor-Level Desk Analytics & Estimated Liquidity Premium
Active Buyback Run: $28.5B
| Tenor | Baseline Yield | Target Allocated ($B) | Yield Shift (bps) | Simulated Yield | Off-The-Run Spread Relief | Dealer Liquidity Delta |
|---|
Trading Desk Strategy & Liquidity Support Assessment
Expanding monthly Treasury buybacks to $28.5B injects an incremental $13.5B in net central bank reserves, lifting primary dealer balance sheet capacity into Optimized territory (Relief Index: 84.5). Concentrating 50% of purchases in the 3Y–10Y belly aggressively dampens duration volatility and generates a -14.2 bps term premium compression at the 10Y benchmark, narrowing the off-the-run liquidity discount.