# Block 001 — Term structure

**Status:** ✓ done
**Phase:** Phase 1 (Rates)

## Topic scope

Term structure mechanics: spot rates, forward rates, par yields, real yields, breakevens. Litterman-Scheinkman duration-convexity framework. Decompose yield curve moves into level/slope/curvature (PC1/PC2/PC3).

## Session history

**Block 001 — Term structure**

**2026-06-22 (Session 2, W26 Mon) — Rates drill:** Term structure mechanics drilled. 6/6 probes correct: three-component decomposition, term premium swing, dominant-mover comparison, decomposition arithmetic, duration-vs-curve distinction, butterfly mechanics. Spot/forward/par yield distinction now in Anki.

**2026-06-23 (Session 3, W26 Tue) — Litterman-Scheinkman deep dive:** L-S framework taught in-session (user did not pre-read). PC1/PC2/PC3 decomposition, level dominance ~85%, trader insight (buy-and-hold 10y captures most curve risk premia). L-S applied to current US curve (2y 4.24 / 5y 4.29 / 10y 4.51 / 20y 4.97 / 30y 4.95). Move classified as flattener (slope, not level); kink at 20y→30y.

**Anki cards:** 9 cards (Session 2) — term structure, real vs nominal, curve dynamics, term premium coverage. Status: **Strong** since 2026-06-23.

See `../session-log.md` for detailed session entries.

See `../session-log.md` for detailed session entries.