Interactive tool

Excess Cash Overlay

Apply the same capital amount to your six-month rate scenarios, then change the maximum drawdown budget to see how overlay sizing changes.

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Capital

6-month rates scenario

Maximum drawdown budget

3.00%

0.5%1.5%3.0%4.0%5.0%

Selected scenario

Risk budget

The path to the expiry return

T-Bill carry, option mark-to-market and total portfolio return from the latest completed market close to option expiry.

MTM path ready

How to read these rate scenarios

The scenarios combine named bank-view assumptions in this model, the FOMC Dot Plot, and RatesLab stress paths for the direction of U.S. policy rates over roughly the next 6–12 months. Each path is translated into an illustrative SOFR/options outcome for the portfolio. These are scenario inputs, not guaranteed forecasts or personalised investment recommendations.

MS Morgan Stanley GS Goldman Sachs JPM JPMorgan BoA Bank of America DB Deutsche Bank Citi Citigroup Barclays Barclays Dot Plot FOMC Summary of Economic Projections

Bank view — named institution scenario in the model FOMC — Dot Plot policy-rate projection RatesLab — constructed stress / path scenario

Δ rate: positive basis points indicate a higher policy-rate path versus the model baseline; 0 bp indicates no change versus that baseline.

All rate scenarios

Scenario	Fed / SOFR	Δ rate	Sized Option P&L	T-Bill income	Total P&L	ROC	Annualized

Important: the Max DD slider is a risk-budget sizing proxy, not a forecast of realized drawdown. Earn, MTM Path, Scenario & Drawdown, Total and the all-scenarios table use the same current-market pricing source and reference sizing. Excel is retained for portal control configuration.

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