Parallel shift up 200bp — persistent inflation with stagnant growth. This scenario analysis applies the shock to the yield curve as of April 27, 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 (%) | Shocked (%) | Δ (bps) | ΔPrice ($) |
|---|---|---|---|---|
| 1 Mo | 3.70 | 5.70 | +200 | +0.00 |
| 2 Mo | 3.72 | 5.72 | +200 | +0.00 |
| 3 Mo | 3.68 | 5.68 | +200 | +0.00 |
| 4 Mo | 3.70 | 5.70 | +200 | +0.00 |
| 6 Mo | 3.72 | 5.72 | +200 | -0.97 |
| 1 Yr | 3.69 | 5.69 | +200 | -1.92 |
| 2 Yr | 3.78 | 5.78 | +200 | -3.73 |
| 3 Yr | 3.83 | 5.83 | +200 | -5.43 |
| 5 Yr | 3.94 | 5.94 | +200 | -8.53 |
| 7 Yr | 4.14 | 6.14 | +200 | -11.20 |
| 10 Yr | 4.35 | 6.35 | +200 | -14.54 |
| 20 Yr | 4.92 | 6.92 | +200 | -21.00 |
| 30 Yr | 4.94 | 6.94 | +200 | -24.00 |
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.