# Block 017 — Curve regime classification

**Status:** ✓ done — Session 25 (2026-07-15)
**Phase:** Phase 1 (Rates)

## Topic scope

Bull steepener vs bear steepener vs bull flattener vs bear flattener. The macro context for each regime. BIS yield curve regime papers.

## Plan

**Prerequisite:** Block 00a (rubric), Block 016 (Fed reaction function). Regime classification requires reading the Fed reaction function (Block 016) and the curve-shape vocabulary (Block 008/009) as the substrate for which regime is live.

**Pre-read (assigned 2026-07-14, Session 24 close — Block 016 close):**

- **Hull Ch. 4 (Interest Rate Forwards)** — forward rate derivation + forward-curve shape (~15 min, [thematic])
- **BIS yield curve regime papers** — read 1-2 of: BIS Quarterly Review 2018 "Unconventional monetary policy and shifts in the yield curve" + BIS Bulletin 2022 "Steepeners, flatteners and the term premium" (~20 min, [thematic])
- **FRED series T10Y2Y, T10Y3M, BAMLC0A0CM, BAMLH0A0HYM2** — bookmark + read methodology pages (~5 min, [orientation])

**Skip:**

- Detailed term-premium decomposition (covered in Block 020 ACM)
- Forward rate agreement (FRA) mechanics (Phase 2 territory)
- Full Coibion-Gorodnichenko literature review on expectations

**Total: ~40 min, [thematic].**

**Status:** ✓ done — Session 25 (2026-07-15). Pre-read compliance: 3/3 confirmed clean at session open (Hull Ch. 4 + BIS yield curve regime papers + FRED methodology pages). Cold-recall re-drill queue (1 Block 016 item at Working — FRED breakeven series DFII10/T10YIE precision) re-probed at session open and PROMOTED Working → Working+ (distinction locked cleanly with construction spelled out). 5 pre-block vocabulary probes (Q1-Q5) on the four-regime taxonomy: Q1 bull steepener + Q2 bear flattener clean on first attempt; Q3 bull vs bear steepener had leg-assignment slip ("10y falls more than 2y" = flattener, not steepener) corrected via the four-box table; Q4 bull flattener clean; Q5 regime = move not state clean. Main material: 3 concepts (macro context for each regime, Block 016 diagnostic-channel tie-in, regime = move not state applied to live data) + 1 live-data probe (DGS2 4.26%, DGS10 4.62%, T10Y2Y 0.40%, BAMLH0A0HYM2 2.72% — all verified against FRED). Live-data regime call: BEAR FLATTENER YTD 2026 (2y +79bp, 10y +43bp, 2s10s −32bp) with two-channel driver decomposition (short end = Fed-policy repricing, long end = real-yield channel with breakevens flat at T10YIE 0bp YTD and DFII10 +42bp). Pre-existing card audit (Block 017 cluster): 25 candidate notes scanned, 2 errors found + 1 confusing card; 1781690237391 (steepener label/direction both wrong) fixed in place, 1781690237399 (category-error parenthetical) deleted, 1781690237395 (bull flattener with INVERTED leg assignment) fixed in place after the initial pre-block probe surfaced the same class of error. 12 atomic Anki cards pushed (4 vocabulary + 8 scenario classification) on the four-regime taxonomy; all yield-anchored, no distractor-leak paths. Source: session-log.md Session 25.

## Carry-forward to next block

The natural follow-on is **regime trade construction** — translating the four-regime classification into a position (what to long/short given the regime, when regime classification invalidates the trade, the difference between a regime trade and a regime-change trade). This is block-territory, not continuation, because the recall path is different (classification vs. position construction).

**Recommended next block: Block 020 — ACM/KW term premium in practice.** The "Practical use in trade construction" scope is the regime-trade-construction substrate. Block 017's live YTD read (real-yield channel driving the 10y, breakevens flat) is a direct input — once you can decompose a 2s10s move into expectations vs. term-premium components, you can build a regime trade that expresses a view on one component specifically. Block 018 (auction calendar) and Block 019 (positioning) are queue-able but not the natural next-block from Block 017.

**Pre-read for Block 020 (assigned at this session close, per protocol):**

- **ACM term-premium series page** (NY Fed) — read the methodology page, the latest release notes, and the historical chart commentary (~15 min, [thematic])
- **Kim-Wright term-premium paper** — abstract + Section 2 on the 3-component decomposition (~15 min, [thematic]) — KW 2005 ("An Arbitrage-Free Three-Factor Term Structure Model") or KW 2017 update on the Fed staff site
- **BIS Bulletin 2022 "Steepeners, flatteners and the term premium"** — re-read with Block 017 substrate loaded (was assigned as pre-read for Block 017, user already read once) (~10 min, [thematic])

**Skip:**

- Full KW econometric derivation (use the model as a black box, focus on the output)
- ACM vs KW model comparison deep-dive (covered in Block 020 main material)
- Forward-rate agreement (FRA) mechanics (Phase 2 territory)
- Full Coibion-Gorodnichenko literature review on expectations
- Detailed breakeven decomposition at the cohort-by-coupon level (Block 011 / Block 013 territory)

**Total: ~40 min, [thematic].**

**Pointer:** `_meta/current-block.md` updated. Block 017 → done. Block 020 → current. `pre-reads.md` regenerated. `competence-map.md` updated (4 new regime-classification items + 1 cold-recall re-drill promotion + 1 pre-existing card audit). `coverage-tracker.md` updated.