# US Treasury Portfolio Report — April 2026

**Report Date:** April 2, 2026
**Data As Of:** Portfolio positions Jan 30, 2026 / Market data April 2, 2026

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## 1. PORTFOLIO SNAPSHOT

### Combined Holdings
| Broker | Market Value | Face Value | Unrealized G/L | % Change |
|--------|-------------|-----------|---------------|----------|
| Charles Schwab | $56,627,219 | $58,439,000 | -$1,197,951 | -2.07% |
| HSBC | $11,780,101 | $11,677,000 | +$103,101 | +0.88% |
| **TOTAL** | **$68,407,320** | **$70,116,000** | **-$1,094,850** | **-1.56%** |

### Schwab Account Breakdown
| Account | Market Value | Unrealized G/L | % | Positions |
|---------|-------------|---------------|-----|-----------|
| ESP Apartments LLC | $28,787,423 | -$908,468 | -3.06% | 17 |
| CBS Revocable Trust | $13,827,216 | -$75,496 | -0.54% | 12 |
| Quarantine Tech | $11,649,208 | -$208,690 | -1.76% | 11 |
| RAJR 2021 | $1,443,430 | -$8,038 | -0.55% | 2 |
| Carlos Blanco S. | $919,943 | +$2,741 | +0.30% | 3 |

### Portfolio Characteristics
- **Weighted Avg Coupon:** 4.39%
- **Weighted Avg Yield:** 4.20%
- **Weighted Avg Maturity:** ~2037 (11 years from purchase)
- **Estimated Annual Coupon Income:** ~$2,565,000 ($213,750/month)
- **Total Positions:** 45 (Schwab) + HSBC

### Maturity Ladder (Face Value)
| Bucket | Face Value | % of Schwab | Key Holdings |
|--------|-----------|-------------|-------------|
| 0-1Y (2026) | ~$5.4M | 9.2% | 6.5% 11/26, 4.125% 10/26, 4.25% 11/26 |
| 1-3Y (2027-2028) | ~$6.3M | 10.8% | 3.625% 08/27, 6.125% 11/27 |
| 3-5Y (2029-2030) | ~$0.4M | 0.7% | 3.75% 12/30, 3.625% 09/30 |
| 5-10Y (2031-2035) | ~$12.5M | 21.4% | 4.25% 05/35, 4.5% 11/33, 4% 02/34 |
| 10-20Y (2036-2044) | ~$18.1M | 30.9% | 4.625% 05/44, 3.625% 02/44, 4.625% 11/44 |
| 20-30Y (2045-2054) | ~$15.4M | 26.3% | 4.25% 02/54, 4.625% 05/54, 4.5% 11/54 |
| **Long bonds (10Y+)** | **~$33.5M** | **57.3%** | **Dominant allocation** |

### Top 5 Holdings by Market Value
1. **4.625% 05/2044** — $12.0M face / $11.8M MV (20.75%)
2. **4.25% 02/2054** — $8.7M face / $7.8M MV (13.8%)
3. **4.25% 05/2035** — $7.2M face / $7.2M MV (12.65%)
4. **3.625% 08/2027** — $4.9M face / $4.9M MV (8.63%)
5. **3.625% 02/2044** — $4.1M face / $3.5M MV (6.15%)

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## 2. YIELD CURVE ANALYSIS (April 2, 2026)

### Current US Treasury Yield Curve
| Tenor | Yield | Prev Close | Day Change |
|-------|-------|-----------|------------|
| 1Y | 3.673% | 3.669% | +0.4bp |
| 2Y | 3.800% | 3.803% | -0.3bp |
| 3Y | 3.825% | 3.831% | -0.6bp |
| 5Y | 3.945% | 3.955% | -1.0bp |
| 7Y | 4.129% | 4.137% | -0.8bp |
| 10Y | 4.313% | 4.321% | -0.8bp |
| 20Y | 4.897% | 4.905% | -0.8bp |
| 30Y | 4.900% | 4.902% | -0.2bp |

### Curve Spreads & Shape
- **2s10s Spread:** +51.3bp (normal, positively sloped)
- **10s30s Spread:** +58.7bp (healthy steepness in ultra-long end)
- **2s30s Spread:** +110.0bp (full-curve positive slope)
- **Curve Shape:** Normal/positively sloped — steepest in the 10Y-30Y segment
- **Notable:** The 20Y-30Y segment is nearly flat (3bp), suggesting term premium concentrated in 10-20Y

### Portfolio vs Curve Positioning
- Portfolio weighted avg yield of 4.20% sits between the 7Y (4.13%) and 10Y (4.31%) on the current curve
- The 49% long-bond allocation (2044-2054) is earning coupons of 3.625%-4.625%, broadly in line with current 20Y-30Y yields (4.90%)
- Near-term bonds (6.5% 11/26) are significantly above-market — premium income until maturity
- Overall portfolio coupon (4.39%) exceeds the current 10Y yield (4.31%) — positive carry relative to curve midpoint

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## 3. MACRO CONTEXT

### Federal Reserve & Interest Rates
- **Fed Funds Rate:** Estimated 4.25-4.50% (based on 1Y yield at 3.67% implying market expects cuts)
- **FOMC Outlook:** Market pricing suggests 2-3 rate cuts expected through year-end 2026 based on the steep front-end inversion (Fed funds ~4.25% vs 2Y at 3.80%)
- **Key signal:** 1Y yield (3.67%) well below estimated Fed funds rate indicates market firmly pricing rate cuts

### Market Environment (April 2, 2026)
- **S&P 500:** 6,485 (-1.38% on the day) — risk-off tone
- **Gold:** $4,601 (+3.82%) — significant safe-haven bid
- **Brent Crude:** $108.81 (+7.56%) — major energy shock / inflationary pressure
- **EUR/USD:** 1.1521 (+0.58%) — dollar weakening
- **Market Tone:** Clear risk-off day with bonds catching a bid (yields down), gold surging, oil spiking

### Inflation Implications
- Oil spike (+7.56%) is a stagflationary signal — could push CPI higher and complicate Fed rate-cut path
- Gold at $4,600 reflects inflation hedging and geopolitical risk
- Dollar weakness amplifies imported inflation
- This environment creates tension: Fed wants to cut, but energy/commodity inflation may delay

### Bond Market Context
- Yields declining modestly today despite inflationary commodity moves — suggests flight-to-quality dominating
- Long-end (20Y/30Y) near 4.90% represents significant term premium
- TLT at $86.52 (52-week range $83.30-$94.09) — near bottom of range, potential value

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## 4. PERFORMANCE ANALYSIS

### ETF Benchmark Comparison
| ETF | Price | Div Yield | 52W High | 52W Low | Position in Range |
|-----|-------|-----------|----------|---------|------------------|
| TLT (20+ Year) | $86.52 | 4.52% | $94.09 | $83.30 | 30% from bottom |
| IEF (7-10 Year) | $95.20 | 3.85% | $98.05 | $92.79 | 46% from bottom |
| SHY (1-3 Year) | $82.35 | 3.72% | $83.20 | $82.21 | 14% from bottom |
| AGG (Aggregate) | $99.05 | 3.95% | $101.46 | $96.15 | 55% from bottom |

### Portfolio Income Analysis
- **Annual Coupon Income:** ~$2,565,000
- **Monthly Coupon Income:** ~$213,750
- **Portfolio Yield:** 4.20% (on market value basis)
- **Coupon Rate:** 4.39% (on face value basis)

### Margin Cost Analysis (Schwab)
- **Schwab Margin Rate:** 4.25% (as stated in task)
- **Portfolio Weighted Avg Coupon:** 4.39%
- **Net Carry (coupon vs margin):** +14bp gross
- **If $56.6M is fully margined:** Annual margin cost = $2,406,550 vs coupon income = $2,565,000
- **Net Annual Carry:** +$158,450 (positive but thin)
- **CRITICAL NOTE:** Only positive because avg coupon (4.39%) slightly exceeds margin rate (4.25%). If any portion of the portfolio has coupons below 4.25%, those positions have negative carry on margin.

### Negative Carry Positions (coupon < 4.25% margin rate)
- 3.625% 02/44 ($4.1M face) — negative carry of -62.5bp = -$25,425/yr
- 3.625% 08/27 ($4.9M face) — negative carry of -62.5bp = -$30,569/yr
- 3.5% 09/27 ($137K face) — negative carry of -75bp
- 3.75% 12/30 ($350K face) — negative carry of -50bp
- 3.625% 09/30 ($67K face) — negative carry of -62.5bp
- 4% 02/34 ($1.6M face) — negative carry of -25bp
- 4.125% 10/26 ($2.7M face) — negative carry of -12.5bp

### Duration Risk Assessment
- **Estimated Portfolio Duration:** ~10-12 years (heavily weighted by long bonds)
- **DV01 (dollar value of 1bp):** ~$68,000-82,000
- **100bp Rate Move Impact:** ~$6.8M-$8.2M mark-to-market swing
- **Current Unrealized Loss (-$1.1M)** represents only ~14-16bp of adverse yield move from purchase

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## 5. R&D COUNCIL RECOMMENDATIONS

### 🌐 ATLAS (Strategic Macro View)
**Assessment: HOLD with tactical caution**

The macro environment is complex — today's oil spike (+7.56%) alongside equities selling off (-1.38%) and gold surging (+3.82%) signals a potential stagflationary episode. The yield curve is normally shaped (2s10s +51bp) with the front end pricing Fed cuts, but commodity inflation may delay the easing cycle.

**Recommendation:**
- HOLD the core long-bond position. If the Fed eventually cuts as the curve implies, your 4.625% coupons in 20-30Y bonds will become extremely valuable.
- Be patient — the $1.1M unrealized loss is modest (1.6%) and will reverse if/when rates fall.
- Risk: If inflation re-accelerates, 30Y yields could push toward 5.5%, adding ~$3-4M in unrealized losses.

### 📊 CIPHER (Quantitative Analysis)
**Assessment: OVERWEIGHT long duration vs benchmarks**

Portfolio duration (~11 years) exceeds AGG (~6.2 years) and IEF (~7.5 years) but below TLT (~16 years). This intermediate-heavy stance with a long tail is reasonable.

**Key metrics:**
- Curve steepness (2s10s +51bp) rewards owning duration — positive roll-down as bonds age
- 10s30s at +59bp means your 30Y bonds earn ~59bp more than 10Y equivalents for the duration risk
- TLT at 30% of its 52W range suggests long bonds are cheap

**Recommendation:**
- If adding, favor 7-10Y sector (4.13-4.31% yields) — best risk-adjusted carry with lower duration risk than ultra-longs
- Consider selling the 3.625% 02/44 bonds ($4.1M, negative carry) and rotating into current-coupon 10Y notes
- Quantitative signal: buy when TLT drops below $84; take profits above $92

### 💡 SPARK (Creative/Opportunistic Ideas)
**Assessment: Opportunity in the volatility**

Today's commodity shock creates bond opportunities:
1. **Oil spike paradox:** If sustained, it's stagflationary (bad for stocks, neutral-to-positive for bonds as recession fears grow). If temporary, bonds rally hard on the "Fed can cut freely" narrative.
2. **Gold at $4,600:** Reflects deep uncertainty — Treasuries benefit as the ultimate safe haven.

**Creative plays:**
- Roll the near-term maturing bonds (6.5% 11/26, $1.8M) into 2-3Y notes to capture the current ~3.80% yield and reduce reinvestment risk
- Consider TIPS for a small allocation — real yields are attractive if inflation stays elevated
- Tax-loss harvest: The 3.625% 02/44 ($4.1M face, trading well below par) and 4.25% 02/54 ($8.7M face) are the biggest loss positions — selling and repurchasing similar-maturity bonds could crystallize tax losses

### 🔧 FORGE (Operations & Execution)
**Assessment: Margin optimization is critical**

**Immediate actions:**
1. **Reduce negative-carry positions on margin:** The ~$14M in sub-4.25% coupon bonds cost ~$56K/yr in negative carry. If any of these are funded by margin, prioritize paying down margin on these positions first.
2. **Maturity management:** $5.4M in bonds maturing in 2026 — plan reinvestment NOW for the 6.5% 11/26 ($1.8M) and 4.125% 10/26 ($2.7M) that will roll off within 6-7 months.
3. **Coupon collection schedule:** Ensure all coupon payments are being swept efficiently and not sitting in settlement.
4. **HSBC vs Schwab:** HSBC portfolio ($11.8M) has positive unrealized gains (+$103K) — these may be better candidates for rebalancing/selling without crystallizing losses.
5. **JPM Interest:** $656/quarter is immaterial — focus attention on the Schwab/HSBC portfolios.

### Risk Scenarios
| Scenario | 10Y Move | Estimated Portfolio Impact | Action |
|----------|----------|--------------------------|--------|
| Rates +50bp | 4.31% → 4.81% | -$3.4M to -$4.1M additional MTM loss | HOLD — increases coupon value long-term |
| Rates -50bp | 4.31% → 3.81% | +$3.4M to +$4.1M MTM gain | Consider trimming ultra-longs |
| Curve steepens (2s10s +100bp) | Bull steepener | Long bonds rally most — portfolio benefits | HOLD / ADD longs |
| Curve flattens (2s10s → 0) | Bear flattener | Short end sells off, longs hold — mixed | Trim 2-3Y, hold longs |
| Oil stays >$100 + CPI >4% | Rates +75-100bp | -$5M to -$7M additional losses | Very painful but still paid 4.39% coupon |

### Tax-Loss Harvesting Opportunities
Top candidates (largest unrealized losses, Schwab):
1. **ESP Apartments LLC** — -$908,468 unrealized loss (largest account)
2. **Quarantine Tech** — -$208,690 unrealized loss
3. **CBS Revocable Trust** — -$75,496 unrealized loss
4. Specifically: long-dated bonds purchased above par (4.25% 02/54, 3.625% 02/44) carry the deepest per-bond losses
5. **Strategy:** Sell loss positions, immediately buy similar-maturity bonds (different CUSIP) to maintain exposure while harvesting the tax loss. Wash sale rules apply — ensure 30+ day separation or different securities.

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## 6. SUMMARY & KEY ACTIONS

### Priority Actions (Next 30 Days)
1. ⚡ **Review margin allocation** — Ensure sub-4.25% coupon bonds are NOT funded by margin. Move margin to highest-coupon positions only.
2. 📋 **Plan Oct/Nov 2026 maturity reinvestment** — $5.4M rolling off. Target current 5-10Y sector at 3.95-4.31% yields.
3. 💰 **Tax-loss harvest evaluation** — $1.2M in losses available to harvest across Schwab accounts. Coordinate with tax advisor on wash sale compliance.
4. 🔍 **Monitor oil/inflation** — Today's $109 oil is a critical variable. If sustained, expect yield curve repricing.
5. 📊 **Update portfolio positions** — Current data is from Jan 30; request fresh Schwab/HSBC statements for April positions.

### Portfolio Grade: B+
- ✅ Strong coupon income ($2.6M/yr)
- ✅ Modest unrealized losses (-1.6%)
- ✅ Diversified across maturities
- ⚠️ Heavy long-duration concentration (57% in 10Y+)
- ⚠️ Thin net carry on margin (only +14bp)
- ⚠️ Portfolio data is 2 months old — needs refresh

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*Report generated April 2, 2026 by OpenClaw R&D Council*
*Next report due: May 2026*