Term Structure Workspace
Baseline
Shocked Curve
2Y/10Y SPREAD (BASELINE)
-20 bp
2Y/10Y SPREAD (SHOCKED)
+50 bp
NET STEEPENING / DELTA
+70 bp
3M/10Y SPREAD
-25 bp
5Y BELLY CURVATURE
-12 bp
Drag amber nodes to shift term yields
Portfolio Bond Valuation Stress-Test
SOVEREIGN DURATION
6.80 yrs
PORTFOLIO BOND P&L
-3.06%
CONVEXITY BENEFIT
+0.12%
EST. DURATION VALUE RISK
$680 / $1M
Cross-Asset Transmission
Calculated transmission multipliers based on rate level, curve slope (2Y-10Y), and long-end inflation premia.
| Asset / Metric | Impulse Impact |
|---|---|
| Tech / Growth Equities (Duration discount) | -1.85% |
| Bank / Financials (NIM Expansion) | +2.40% |
| USD Index (DXY Rate Impulse) | +0.35% |
| High Yield Credit Spread | +28 bp |
| Investment Grade Spread | +11 bp |
| Commodities / Breakeven Beta | +1.10% |
Scenario Analysis Summary
Bear Steepening Transmission
Long-term borrowing costs rise while short rates fall, expanding bank Net Interest Margins (NIM) while compressing long-duration tech equity multiples and widening high yield credit spreads.
Long-term borrowing costs rise while short rates fall, expanding bank Net Interest Margins (NIM) while compressing long-duration tech equity multiples and widening high yield credit spreads.