Parallel shift up 100bp — aggressive tightening cycle. This scenario analysis applies the shock to the yield curve as of July 24, 2026 and shows the resulting price impact, duration exposure, and DV01 across all Treasury maturities. Scenario tools help portfolio managers stress-test bond portfolios against specific rate movement assumptions.
| Tenor | Base (%) | ΔY (bps) | Post (%) | ΔP ($) | Income ($) | Net ($) |
|---|---|---|---|---|---|---|
| 1 Mo | 3.80 | +100 | 4.80 | +0.00 | 3.80 | +3.80 |
| 2 Mo | 3.95 | +100 | 4.95 | +0.00 | 3.95 | +3.95 |
| 3 Mo | 3.96 | +100 | 4.96 | +0.00 | 3.96 | +3.96 |
| 4 Mo | 4.04 | +100 | 5.04 | +0.00 | 4.04 | +4.04 |
| 6 Mo | 4.08 | +100 | 5.08 | -0.49 | 4.08 | +3.59 |
| 1 Yr | 4.14 | +100 | 5.14 | -0.96 | 4.14 | +3.18 |
| 2 Yr | 4.33 | +100 | 5.33 | -1.87 | 4.33 | +2.46 |
| 3 Yr | 4.36 | +100 | 5.36 | -2.74 | 4.36 | +1.62 |
| 5 Yr | 4.43 | +100 | 5.43 | -4.33 | 4.43 | +0.10 |
| 7 Yr | 4.55 | +100 | 5.55 | -5.73 | 4.55 | -1.18 |
| 10 Yr | 4.69 | +100 | 5.69 | -7.53 | 4.69 | -2.84 |
| 20 Yr | 5.18 | +100 | 6.18 | -11.33 | 5.18 | -6.15 |
| 30 Yr | 5.16 | +100 | 6.16 | -13.46 | 5.16 | -8.30 |
This scenario applies a defined yield shock across the Treasury curve and estimates the resulting price impact at each maturity using modified duration and convexity. The base yields reflect the most recent par curve from treasury.gov. Price impacts are computed per $100 face value, so a reading of -$3.50 means a $100 par bond would decline to approximately $96.50 under this scenario. Longer-maturity Treasuries experience larger price moves due to their higher duration. These estimates assume instantaneous parallel or shaped shifts — actual market moves involve time decay, changing volatility, and shifting term premia that are not captured here. Scenario analysis is a standard tool in fixed income risk management, used to stress-test portfolios against rate environments such as Fed tightening cycles, recession-driven rallies, or bear steepeners.
Under this scenario the 30 Yr bond bears the largest price impact at -13.46 per $100 face value, reflecting its high duration. The 4 Mo instrument sees the smallest move at 0.00, as the scenario applies no shock at that maturity. A 100bp hike is the equivalent of four standard 25bp moves in a single step. The 2022 tightening cycle saw four consecutive 75bp increases, the most aggressive pace since the Volcker era, before the Fed shifted to smaller increments in late 2022.