Treasury Debt Buyback & Yield Curve Simulator

Interactive Duration (DV01) Extraction & Off-The-Run Liquidity Spread Modeling

CNBC BREAKING DISPATCH | US Treasury Doubling Buyback Facility

Policy Presets

Program Parameters

Monthly Buyback Scale $60B / mo

Program Objective

Dealer Elasticity (β) 0.38

Tenor Allocation ($B)

2Y – 3Y Short Coupons $15B

5Y – 7Y Belly Benchmark $25B

10Y Benchmark Core $12B

20Y – 30Y Ultra-Longs $8B

Curve Regime Impact

Bull Flattener / Belly Inversion Relief

Duration (DV01) Extracted

$44.60M

Off-The-Run Spread Compression

-7.40 bps

Max Tenor Yield Relief

20Y (-17 bps)

Baseline Stressed Yields

Simulated Post-Buyback Yields

DV01 Absorbed ($M)

Tenor Yield & Duration Breakdown

Tenor	Baseline	Post-Buyback	Δ Shift (bps)	Alloc ($B)	DV01 Extracted	Off-the-Run Premium

Model Live • 7 Tenors Active

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