Europe Capital Partners: 10-year bond carry cushion gaps widen under yield shock

Analysis by Europe Capital Partners showed significant differences in carry cushions for 10-year European government bonds in response to a 1% yield shock. A 1% yield drop implied 10%-13% returns, while a 1% rise cut returns by 1%-4% in most markets. Higher-yield markets like UK Gilts (-1.2%) and French OATs (-1.9%) showed smaller losses on a yield rise than lower-yield German Bunds (-3.8%) and Swiss bonds (-7.8%).