{ "schema_version": "1.0", "checkpoint": "2026-09-17", "publication_pack_date": "2026-09-18", "cutoff": "2026-07-31", "scope": { "replication": "Independent reimplementation from data and declarative specifications; no executable research code is published. This pack makes no new fit or estimate.", "boundary": "CPIH-equivalent market compensation is a frozen input. Reconstructing its ONS/reform adjustment is a separate exercise.", "primary_presentation": "Main article long three-market MACRO history; longest US/AU macro companion; recent three-market SURVEY comparison. The original global run called the recent survey panel primary; these labels designate different exhibits, not a splice.", "not_identified": [ "pure risk premium", "fiscal causal effect", "investment-driven causal component", "complete real-time expectations history", "unconditional confidence interval including all source and economic mappings" ] }, "units": { "continuous_decimal": "f = (log D5-log D10)/5", "continuous_percent": "100*f", "continuous_bp": "10000*f;1bp=0.01 percentage point", "annual_effective_percent": "100*expm1(f)", "semiannual_coupon_equivalent_percent": "200*expm1(f/2), a quote conversion only, not a coupon-forward reconstruction", "native_policy_quote": "percent*100bp maintained annualized overnight-short-rate mapping", "native_inflation_mean": "10000*log1p(mean_percent/100), log of aggregate mean; not an identified expected log", "precision": "Original downstream CSVs generally12significant digits; frozen byte copies retain their original formatting. New selections use17significant digits to preserve the parsed source number, which does not add source accuracy." }, "accounting": { "symbols": { "N": "UK nominal continuous5y5y bp", "I": "frozen CPIH-equivalent inflation compensation bp", "n": "UK expected nominal policy state bp", "pi": "UK expected inflation state plus assumed CPIH/horizon basis bp", "R": "N-I adjusted UK real-related forward", "er": "n-pi expected UK real proxy", "PR": "R-er total UK real compensation", "PI": "I-pi UK inflation compensation", "G": "sum_c w_c*(R_c-er_c), foreign real compensation benchmark", "L": "PR-beta*G UK-relative real compensation" }, "identity": "N=er+pi+beta*G+L+PI", "primary_beta": 1.0, "primary_weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "longest_weights": { "US": 0.5, "AU": 0.5 }, "weights_rules": "Fixed currency/issuer membership; sum1; nonnegative; no UK; no missing-country renormalization; levels not demeaned; beta is assumed, not fitted.", "inflation_sensitivity_reallocation": "For expectation delta and market-mapping change b: er_new=er-delta; PI_new=PI+b-delta; PR_new=PR-b+delta; L_new=L-b+delta; N,n,G unchanged.", "tolerance_bp": 1e-06 }, "hmt": { "source_selection": { "encoding": "cp1252 for June2026panel", "columns": [ "date_publication", "date_forecasted", "variable", "forecaster", "value", "table_number" ], "variables": [ "Official Bank rate (annual)", "CPI (annual)" ], "forecaster": "Independent exactly after strip; must be one row per variable/release", "target_year_rule": "numeric date_forecasted=year(date_publication)+4", "early_PDF_tables": "M3 CPI and M4 interest rates; source-page locators supplied. Annual averages, not end-year.", "May2026_crosscheck": "M3 & M4!J28 CPI and X63 Bank Rate, target2030", "aggregation": "Use provider published mean. No averaging of individual contributors; missing individual policy forecasts neither zero-filled nor separately reweighted. Exact mean constituents unknown; count columns are diagnostic only." }, "rounds": 84, "first": "2005-02-16", "last": "2026-05-20", "missing_rounds": [ "2017-05", "2019-11" ], "date_rule": "Verified publication date if present; otherwise conservative publication-month end. No synthetic observation in missing rounds.", "month_end_proxies": [ { "publication_period": "2010-05", "observation_date": "2010-05-31", "observation_date_basis": "conservative_publication_month_end" }, { "publication_period": "2010-08", "observation_date": "2010-08-31", "observation_date_basis": "conservative_publication_month_end" }, { "publication_period": "2010-11", "observation_date": "2010-11-30", "observation_date_basis": "conservative_publication_month_end" }, { "publication_period": "2011-02", "observation_date": "2011-02-28", "observation_date_basis": "conservative_publication_month_end" }, { "publication_period": "2011-05", "observation_date": "2011-05-31", "observation_date_basis": "conservative_publication_month_end" }, { "publication_period": "2011-08", "observation_date": "2011-08-31", "observation_date_basis": "conservative_publication_month_end" }, { "publication_period": "2011-11", "observation_date": "2011-11-30", "observation_date_basis": "conservative_publication_month_end" } ], "economic_mapping": "Terminal calendar-year annual-average forecasts approximate average policy/inflation over years5–10 under convergence. CPI maps to CPIH at zero gap in reference; errors need not be constant." }, "local_level": { "measurement": "y_i=x_i+epsilon_i; epsilon independent Gaussian(0,R); R=observation_sd_bp^2", "transition": "x_i=x_(i-1)+eta_i; eta independent Gaussian(0,q*Delta_i); Delta_i=actual elapsed days/(365.25/12)", "observation_sd_bp": { "policy": 50, "inflation": 25 }, "initialization": "Exact diffuse convention: first posterior mean=y1, posterior variance=R; first observation constant likelihood omitted. No estimate before first observation.", "prediction": "m_minus=m_previous;P_minus=P_previous+q*Delta", "update": "S=P_minus+R;K=P_minus/S;m=m_minus+K*(y-m_minus);P=(1-K)*P_minus", "objective": "Minimize0.5*sum_{i=2..n}[log(2*pi*S_i)+(y_i-m_i_minus)^2/S_i]", "optimizer": { "q_grid": "0 plus161 geometrically spaced points from1e-4 through1e4 bp2/month", "positive_refinement": "If grid argmin index>0, bounded scalar minimization in log(q); bounds grid[max(1,index-2)] to grid[min(last,index+2)], compare refined candidate with gridwinner andq=0.", "library": "scipy.optimize.minimize_scalar(method=bounded), no explicit overrides of xatol/maxiter in frozen code", "scipy_default_options": "bounded xatol=1e-5 in log(q), maxiter=500; confirmed from installed function signature", "zero_boundary": "q=0 admitted and explicitly compared; no positive floor", "fixed_q_case": 25 }, "query_grid": "Union all survey dates and actual requested market dates; filter chronologically. Mean carries between observations; variance accumulates. Query dates do not change fitted likelihood.", "reference_timing": "filtered; q fitted using full retained survey history, therefore retrospective parameters.", "smoother": "RTS sensitivity backwards: A_i=P_i/P_(i+1)_minus; m_i_s=m_i+A_i*(m_(i+1)_s-m_i); P_i_s=max(0,P_i+A_i^2*(P_(i+1)_s-P_(i+1)_minus)).", "state_age_cap": "None in local_level; ages reported. Separate last-published and macro paths have explicit caps.", "uncertainty": "State variances conditional onq,R. 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"stress_minus5_plus10": [ -5, 10 ] }, "midpoints": "Replace only first lower and last upper infinite bounds by scenario support, keep native1.01etc edges; m_j=(lo_j+hi_j)/2.", "conversion": "pi_bp=10000*sum_j p_j*log(1+m_j/100); annual_arithmetic_mean_pct=sum_j p_j*m_j. 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Last observation carried forward, no smoothing/backfill/interpolation; maximum180calendar days old.", "index": "CPI; reference expected CPIH-minus-CPI/horizon basis assumed0.", "July2026": "Uses June19publication,42days old onJuly31." }, "foreign_curves": { "US": { "input": "FedTIPSY05/TIPSY10 continuouspercent; exactsameDate", "formula": "100*(2*TIPSY10-TIPSY05)bp", "TIPS5F5": "Excluded coupon-equivalent series", "missing": "Drop dates missing either node; no carry" }, "DE": { "input": "Real clean price per100 for each includedISIN on exact quote date; quote around noonFrankfurt", "metadata": "support/de_security_terms.csv; dated constituents support/de_dated_security_membership.csv", "index": "Nonrevised euroHICP excludingtobacco; reference index linear interpolation of monthM-3 toM-2 divided by bondbaseindex; real-normalized prices used, nominalprincipal floor not stripped. Base-index levels not needed to calculate normalizedreal couponPV and not claimed reconstructed.", "settlement": "T+2 TARGETbusinessdays. TARGETweekends plusJan1,GoodFriday,EasterMonday,May1,Dec25,Dec26; contractual ClearstreamFrankfurt extra closures not independently reproduced.", "cashflows": "AnnualApril15; couponper100=coupon_pct. Firstcoupon multiplied by ACT/ACTICMA fraction fromaccrualstart tofirstcoupon usingannualApril15referenceperiods. Add100principal at maturity. Include due>settlement; followingTARGETpayment date without extra coupon.", "accrued": "coupon_pct*ACT/ACTICMA(previouscoupon_or_accrualstart,settlement); dirty=clean+accrued", "curve_time": "ACT/ACTISDA fromsettlement toactualpayment; knots at lastpayment ofeach includedbond", "bootstrap": "Sort maturity; fixearlier solvedknots; solve each logD atnewknot so sum(CF*exp(interpolated_logD))=dirtyprice. Brentroot bracket[-10,+10],xtol1e-13; exactpricing, noleast-squares or monotonicDFconstraint.", "primary_interpolation": "LinearlogD through(0,0) andeach solvedmaturitypayment knot.", "alternative": "Linear continuouszero acrossknots; short end flatfirstzero; no beyondlastknot extrapolation.", "support": "Exclude beforeaccrualstart orremainingmaturity<1year; require>=2eligiblebonds andactualsecurity knots onbothsides of5and10quote-dateyears.", "forward": "shift=ACT/ACTISDA(quote,settle);evaluate logD at5-shift and10-shift; f_bp=10000*(logD5-logD10)/5; unknown quote-to-settlementDF cancels.", "endpoint_support": [ { "isin": "DE0001030559", "maturity": "2030-04-15", "coupon_pct": 0.5 }, { "isin": "DE0001030575", "maturity": "2046-04-15", "coupon_pct": 0.1 }, { "isin": "DE0001030583", "maturity": "2033-04-15", "coupon_pct": 0.1 } ], "endpoint_brackets": "5 years: April 2030 to April 2033. 10 years: April 2033 to April 2046. Three admitted bonds.", "excluded_economic_effects": "Deflationfloor,liquidity,index/currency basis remain; repricingaccuracy is not economicvalidation." }, "AU": { "input": "F16quarterly realyieldpercent; archive coupons storeddecimal converted*100; currentCSVcouponpercent. Supplement RealDataAdj sourceobservations sameparse, not publishedadjustedzerocurve.", "metadata": "support/au_security_terms.csv and support/au_dated_security_membership.csv; TIprovider IDs, ISINunknown", "cashflows": "Quarterly dates subtract3calendar months recursively frommaturity untilpreviouscoupon<=settlement. c=coupon_pct/4 per100 indexedprincipal; add100 at lastdate.", "ex_interest": "Recorddate=nextcoupon-8calendar days, roll back weekends; ifsettlement>recorddate remove nextcoupon only, retainprincipal. Public holidays not included.", "AOFM_formula": "P_norm=sum_{j=0..n} CF_j*(1+y_pct/400)^(-(f/d+j)); f=dayssettlementtonextcoupon,d=dayspreviouscoupon tonextcoupon. P_cash=P_norm*K_next*(1+quarter_inflation_pct/100)^(-f/d)/100. Normalizedbootstrap usesP_norm; bondbaseindex andfutureindexlevels divideout, not estimated.", "indexation_limit": "Contractual CPIlag andfloor are not stripped; quote-date real exposure proxy, not a reconstructed lag-free CPIclaim.", "settlement": "Primary quotedate (0days) normalization; sensitivities+2/+3weekdays withnoholidaycalendar.", "curve_time": "Actualdays/365.25; Actual365sensitivity", "bootstrap": "Require>=3unique nonmissingmaturities withtau>=1 andobserved supportbelow5/above10. Keep sortedbonds onlythrough firstmaturity>=10 andstillrequire>=3. SolveeachlogD withBrentbracket[-30,+30],xtol1e-13 toexactnormalizedPV; noleast-squares/monotonicityrestriction.", "knots": "D(0)=1 thenactualretainedmaturities. PrimarylinearlogD (constantforward segments); alternativelinearzero withinitialfirstzero. Noendpoint extrapolation.", "forward": "z5=-logD5/5;z10=-logD10/10;f_bp=(2*z10-z5)*10000", "sparse_support": "Bracketgap>5.01years flagged, notexcluded; endpoints alwaysactually bracketed.", "source_priority": "AdmitF16actual dates first; add actual supplementdates only absent admittedF16. No monthly interpolation.", "endpoint_support": [ { "security_id": "TI414", "maturity_date": "2027-11-21", "coupon_pct": 0.75, "tau": 1.3086926762 }, { "security_id": "TI408", "maturity_date": "2030-09-20", "coupon_pct": 2.5, "tau": 4.1396303901 }, { "security_id": "TI416", "maturity_date": "2032-11-21", "coupon_pct": 0.25, "tau": 6.3107460643 }, { "security_id": "TI410", "maturity_date": "2035-08-21", "coupon_pct": 2.0, "tau": 9.0568104038 }, { "security_id": "TI413", "maturity_date": "2040-08-21", "coupon_pct": 1.25, "tau": 14.0588637919 } ], "endpoint_brackets": "5 years: TI408 (September 2030) to TI416 (November 2032). 10 years: TI410 (August 2035) to TI413 (August 2040). Five supporting bonds.", "sensitivity_availability": "Linear-zero interpolation is evaluated daily. T+2, T+3, Actual/365 and yield +/-0.5 bp alternatives are evaluated at source month-end observations only; missing alternatives do not invalidate the principal curve." } }, "foreign_expectations": { "survey": { "US": "NYFedPrimaryDealermedian longer-runpolicy*100 minusfilteredSPF CPI05YF05mean logconversion. Policy fieldworkend; SPF responsedeadline. No exacthorizonmeanclaim.", "DE": "ECB SMA medianlongrun DFR%*100 minuslog1p medianHICP; submissiondeadline; policy unitsI,inflationY,areaU2. ESTRsensitivity.", "AU": "RBAJ1 providermeanneutralJSVNNIREMN andinflationJSVIEXPMN; referencequartermonthend; releasedatesunknown. Mediansensitivity usesbothMEDseries.", "mapping": "Longrun/neutral nominal policy approximates years5–10average afterconvergence; zero extraindexbasis reference. Independent locallevelstates50/25bpSD." }, "macro": { "US_DE": "HLW one-sided2023COVID-adjustedrealrstar;2026Q1 vintage scheduled2026-06-01;US andEA mappedtoUS/Germany. Nativequarterend rstar%*100; no furtherlocallevel fit.", "AU": "RBADataGraph3H/I/Jnominalneutralsemistructuralvariants. Mean*100 minus250bp assumedtarget; exactadditive2.5not documented byRBA. Model1/2/3 andlogtarget alternatives.", "timing": "Quarterenddates withbackward as-of carry<=270calendardays, no beforefirst orbetween-quarter linearinterpolation. Reference-quarterdating deliberatelynot historicalavailable-at-time dates.", "latest_reference": "HLW 2026Q1; Australia 2025Q4. On 31 July 2026 their ages are 122 and 212 days respectively." } }, "dates": { "daily": "Use market_forwards_and_cpih.csv actual UK/USshared observationgrid, requireUKanchorstarted; intersect actualUS/DE/AUrealquotations andsupportedanchorpaths byexactcalendar date. Different intradaytimes not resolved.", "monthly": "Within eachcalendar month take lastremaining actualcommondate; admit ifmonthend-date<=7calendardays. Do notreplacegaps byfewer countries.", "quarterly": "UKinflationcomparisons: actualdailymean withinquarter; allreferenceUKmarketdates denominator; require>=80%and>=30referencedates; completequarterend<=2026-07-31. Comparisonwindows requireallquarters; equalweightquartermeans.", "changes": "Monthlycorrelations onlyadjacentcalendar months; no differences acrossgaps. DailyDec2019contributioncomparisonuses2019-12-30 and2026-07-31, different fromquarteraverage comparisons." }, "scenarios": { "global_count": 41, "global": [ { "scenario": "survey_three_market", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.0, "details": "Independent survey anchors, equal currency weights, UK excluded", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": {}, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_US_DE", "members": [ "US", "DE" ], "weights": { "US": 0.5, "DE": 0.5 }, "UK_loading": 1.0, "details": "Fixed membership; compare on common dates", "daily_rows": 1254, "first": "2021-05-28", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": {}, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_US_AU", "members": [ "US", "AU" ], "weights": { "US": 0.5, "AU": 0.5 }, "UK_loading": 1.0, "details": "Fixed membership; compare on common dates", "daily_rows": 585, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": {}, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_DE_AU", "members": [ "DE", "AU" ], "weights": { "DE": 0.5, "AU": 0.5 }, "UK_loading": 1.0, "details": "Fixed membership; compare on common dates", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": {}, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_US_only", "members": [ "US" ], "weights": { "US": 1.0 }, "UK_loading": 1.0, "details": "Fixed membership; compare on common dates", "daily_rows": 3469, "first": "2012-06-11", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": {}, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_US_heavy", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.5, "DE": 0.25, "AU": 0.25 }, "UK_loading": 1.0, "details": "Declared weighting sensitivity", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": {}, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_UK_loading_0.5", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 0.5, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": {}, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_UK_loading_1.5", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.5, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": {}, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_PCA_weights", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.5150808359518935, "DE": 0.2226507145050288, "AU": 0.2622684495430778 }, "UK_loading": 1.0, "details": "Retrospective positive standardized PC loadings converted to unit-sum level weights", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": {}, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_US_real_anchor_gap_-50", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.0, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": { "US": -50.0 }, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_US_real_anchor_gap_+50", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.0, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": { "US": 50.0 }, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_DE_real_anchor_gap_-50", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.0, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": { "DE": -50.0 }, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_DE_real_anchor_gap_+50", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.0, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": { "DE": 50.0 }, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_AU_real_anchor_gap_-50", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.0, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": { "AU": -50.0 }, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_AU_real_anchor_gap_+50", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.0, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": { "AU": 50.0 }, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_all_foreign_anchor_gap_-50", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.0, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": { "US": -50.0, "DE": -50.0, "AU": -50.0 }, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; never changed by AU/DE-only scenarios" }, { "scenario": "survey_all_foreign_anchor_gap_+50", "members": [ "US", "DE", "AU" ], "weights": { "US": 0.3333333333333333, "DE": 0.3333333333333333, "AU": 0.3333333333333333 }, "UK_loading": 1.0, "details": "", "daily_rows": 577, "first": "2024-02-29", "last": "2026-07-31", "anchor_family": "survey", "market_curve_methods": { "US": "provider_exact_zero", "DE": "log_discount", "AU": "constant_forward" }, "expected_real_anchor_gap_bp": { "US": 50.0, "DE": 50.0, "AU": 50.0 }, "unallocated_real_market_basis_bp": {}, "state_override": "none", "AU_macro_variant": "mean", "AU_target_deflation": "arithmetic", "HLW_variant": "latest_scheduled_pre_cutoff_vintage", "US_and_UK_states": "frozen historical HMT/NYFed-dealer/SPF states; 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noacross-time splice", "market_curve_methods": "Per-country zero reconstruction choice", "expected_real_anchor_gap_bp": "Addto expectedreal (therefore subtractfrom countrycompensation)", "unallocated_real_market_basis_bp": "Addto marketreal forward (therefore addto countrycompensation)", "state_override": "Exactadditional state/statistic/timingchange", "AU_macro_variant": "mean orsourcecolumnH/I/J model1/2/3", "AU_target_deflation": "arithmetic250bp orlog246.9261259bp", "HLW_variant": "Primaryprecutoff2026Q1 orpostcutoffcurrentrevised" }, "UK_count": 21, "UK_cases": [ { "expectation_method": "hmt_baseline", "market_mapping": "policy_adjusted" }, { "expectation_method": "hmt_baseline", "market_mapping": "statistical_only" }, { "expectation_method": "hmt_baseline", "market_mapping": "us_only" }, { "expectation_method": "hmt_responsive", "market_mapping": "policy_adjusted" }, { "expectation_method": "hmt_responsive", "market_mapping": "statistical_only" }, { "expectation_method": "hmt_responsive", "market_mapping": "us_only" }, { "expectation_method": "hmt_fixed_innovation", "market_mapping": "policy_adjusted" }, { "expectation_method": "hmt_fixed_innovation", "market_mapping": "statistical_only" }, { "expectation_method": "hmt_fixed_innovation", "market_mapping": "us_only" }, { "expectation_method": "hmt_last_published", "market_mapping": "policy_adjusted" }, { "expectation_method": "hmt_last_published", "market_mapping": "statistical_only" }, { "expectation_method": "hmt_last_published", "market_mapping": "us_only" }, { "expectation_method": "mps_primary_minus1_plus5", "market_mapping": "policy_adjusted" }, { "expectation_method": "mps_primary_minus1_plus5", "market_mapping": "statistical_only" }, { "expectation_method": "mps_primary_minus1_plus5", "market_mapping": "us_only" }, { "expectation_method": "mps_wider_minus2_plus6", "market_mapping": "policy_adjusted" }, { "expectation_method": "mps_wider_minus2_plus6", "market_mapping": "statistical_only" }, { "expectation_method": "mps_wider_minus2_plus6", "market_mapping": "us_only" }, { "expectation_method": "mps_stress_minus5_plus10", "market_mapping": "policy_adjusted" }, { "expectation_method": "mps_stress_minus5_plus10", "market_mapping": "statistical_only" }, { "expectation_method": "mps_stress_minus5_plus10", "market_mapping": "us_only" } ], "UK_methods": { "hmt_baseline": { "observation_sd_bp": 25, "q": "estimated", "timing": "filtered" }, "hmt_responsive": { "observation_sd_bp": 12.5, "q": "estimated", "timing": "filtered" }, "hmt_fixed_innovation": { "observation_sd_bp": 25, "q_bp2_per_month": 25, "timing": "filtered" }, "hmt_last_published": { "max_age_days": 550, "rule": "last observation at orbeforedate; no smooth/backfill" }, "mps_cases": { "max_age_days": 180, "rule": "publication-dated lastobservation, finite tail supports specified above" } }, "UK_market_mapping": "Select one frozenI column policy_adjusted/statistical_only/us_only; these arethreeconversions ofsame underlyingmarket, notindependentdata.", "five_factor_cases": 63, "five_factor_rule": "Cartesian21UKcases times3foreignfamilies; holdUKexpectednominal andforeignbenchmarkfixed whilechangingpi andI.", "envelopes": "Unweighted min/max acrossspecifiedcases, notconfidenceinterval. Extra±25bpchangeincomparison-window expectedCPIH-CPI/horizongapstressillustrative, notestimatedbound." }, "field_dictionary": { "date/valuation_date": "ISO actualobservationdate, not calendar-month label", "nominal_bp": "UKcontinuousnominal5y5y", "expected_real_bp": "UK n-pi proxy", "expected_inflation_bp": "UKexpectedlog-inflationproxy withdeclaredindex/horizonmapping", "global_real_premium_bp": "Display name global real compensation; legacy columnname retained; beta*G", "local_real_premium_bp": "Display name UK-relative real compensation; legacycolumn retained;PR-betaG", "uk_inflation_premium_bp": "Display name UK inflation compensation; legacycolumn retained;I-pi", "total_uk_real_compensation_bp": "PR=UKadjustedreal-er", "real_forward_bp": "Country continuousreal5y5y", "global_expected_real_bp": "Weightedforeign expectedrealproxy; diagnostic, notsixthadditivecomponent", "add_up_error_bp": "Sumfivecomponents minusnominal; shouldabs<=1e-6", "source_sha256": "Originalsourcebytes hash, not download URL hash", "source_file/source_cell": "Originalprovider filename andtablelocator", "publication_date": "Knownreleaseorpublicationdate; blank meansunknown", "observation_date": "Stateupdate date under documentedseries-specific rule", "anchor_age_days": "Calendar dayssinceanchor observation/update", "variance_bp2": "Conditionalstatevariance holdingq,Rfixed", "value_pct": "Nativepercentageunits; sourceconvention applies", "value_bp": "Transformed expectationobservation inmaintainedmodelunits", "market_mapping": "OneofthreefrozenCPIHconversions", "expectation_method": "OneofsevenUKbeliefmethods", "quarter": "Calendarquarter; dailyaverage subjectcoveragegate" }, "unresolved_specification_limits": [ "Unique RBA semi-structural model variant names and parameters unavailable; exact workbook columnsH/I/J are specified.", "AU ISIN crosswalk and bond-specific base-index histories absent; TIIDs and normalizedcashflow construction supplied.", "Not every original source retrieval or publication timestamp was retained. Unknowns are explicit; verification timestamps are not substituted.", "Source providers can revise curves/surveys; independent fresh-download replication may diverge despite matching specification.", "No unconditional sampling distribution for totalcompensation orcomponentchanges; no automatedp-valuethreshold establishes causalidentification." ], "runtime_reference": { "scipy": "1.18.1", "numpy": "2.3.5", "pandas": "3.0.1" }, "author_material_licence": { "name": "CC BY 4.0", "url": "https://creativecommons.org/licenses/by/4.0/", "copyright_holder": "Russ Oxley", "scope": "Original author text, charts and research outputs in this publication; third-party rights excluded" } }