# Macro Study Deck — Pass 1 Mechanical Audit

**Date:** 2026-07-25  
**Scope:** all 171 notes returned by `deck:"Macro Study"` via AnkiConnect  
**Method:** read-only mechanical card-design and internal-vault consistency audit; no external research or live-data verification  
**Counting convention:** HIGH/MED/LOW summary counts are **flagged cards by highest severity** (each note counted once); a card section may contain multiple checklist items. Item 4 flags are Pass-2 triggers, not a finding that the number is false.

## Deck-wide result

- Notes surveyed: **171 / 171**
- Flagged cards: **127**
- Highest-severity counts: **37 HIGH, 90 MED, 0 LOW**
- Dominant clusters: stale SOFR-OIS/EFFR-SOFR naming; payer/vega sign conventions; breakeven-liquidity sign; Taper Tantrum driver disagreement; over-bundled long cards; specific-number claims queued for Pass 2.

# BLOCK 005 — Pass 1 Audit Report

## Summary
- Cards surveyed: 1
- Flags: 0 HIGH, 1 MED, 0 LOW
- Cluster integrity: clean
- Surveyed note IDs: 1784149412796

## HIGH flags

- None.

## MED flags

### Card 1784149412796 — Item 2 — Atomicity break
- Front: “Two-trigger rule (Block 005): what makes a trade live, and what are the two triggers?”
- Back: “A trade is NOT live until BOTH triggers confirm. Trigger 1 = positioning extreme (CFTC / ETF / CTA at multi-year extreme). Trigger 2 = microstructural confirmation (curve regime shift, momentum acceleration, volume confirmation). Either al…”
- Issue (MED, Item 2 — Atomicity break): The prompt asks for the live-trade gate and both trigger definitions, producing three recall targets in one card.
- Recommended fix: Split the gate, positioning trigger, and microstructure trigger into separate signed-off cards.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- No internal disagreement found against the reviewed vault substrate.

# BLOCK 008 — Pass 1 Audit Report

## Summary
- Cards surveyed: 1
- Flags: 1 HIGH, 0 MED, 0 LOW
- Cluster integrity: 1 disagreement
- Surveyed note IDs: 1784149412742

## HIGH flags

### Card 1784149412742 — Item 1 — Front-side leak; Item 4 — Magnitude / specific-number claim
- Front: “What is 'rolldown' on a fixed-income trade, and why is it NOT a pull-to-par effect?”
- Back: “Rolldown = the price change from a bond's yield dropping as time-to-maturity shortens on an unchanged curve. NOT pull-to-par (that's relevant for premium/discount bonds and MBS, where the bond converges to par as it approaches maturity). E…”
- Issue (HIGH, Item 1 — Front-side leak): The front uses the explicit “NOT a pull-to-par effect” distractor, which cues the contrast the card is meant to recall.
- Recommended fix: Remove the NOT-X clause and ask only for the rolldown mechanism; create a separate contrast card if needed.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 3 months.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## MED flags

- None.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- Note 1784149412742 uses the prohibited NOT-X front pattern; no substrate disagreement found in its cluster.

# BLOCK 009 — Pass 1 Audit Report

## Summary
- Cards surveyed: 6
- Flags: 0 HIGH, 2 MED, 0 LOW
- Cluster integrity: clean
- Surveyed note IDs: 1783027415578, 1783027415695, 1783027415807, 1783027415920, 1783027416033, 1783027416257

## HIGH flags

- None.

## MED flags

### Card 1783027415807 — Item 4 — Magnitude / specific-number claim
- Front: “If the curve is inverted (e.g., 2y 4.51% > 10y 4.24%), what happens to a long position as the bond rolls down?”
- Back: “Yield *rises* (moving toward the higher short-end of the inverted curve). Price falls. Long loses. → Rolldown sign flips relative to upward-sloping curve.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 4.51%, 4.24%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783027416257 — Item 4 — Magnitude / specific-number claim
- Front: “For a trade with negative carry/rolldown, the v0.3 framework says what about the stop?”
- Back: “Don't adjust the stop for the negative carry. Stop is set by the technical invalidation level. Position size is sized so bp-risk-at-stop = 200bp. Negative carry is a known cost, journaled as input to expected value, not a stop trigger.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 200bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- No internal disagreement found against the reviewed vault substrate.

# BLOCK 00A — Pass 1 Audit Report

## Summary
- Cards surveyed: 1
- Flags: 0 HIGH, 1 MED, 0 LOW
- Cluster integrity: clean
- Surveyed note IDs: 1784149412768

## HIGH flags

- None.

## MED flags

### Card 1784149412768 — Item 2 — Atomicity break
- Front: “Per signal-spec v0.2, how many entry-trigger types are there, and what are they?”
- Back: “Four types. (1) Positioning (CFTC / ETF / CTA). (2) Microstructure (curve, basis, breakeven, vol surface). (3) Momentum (price-rate-of-change). (4) Event (FOMC, CPI, OPEC). Every thesis §2 must name the type and reference the spec section.…”
- Issue (MED, Item 2 — Atomicity break): The card requires recall of a count, four trigger types, examples, and an operating rule.
- Recommended fix: Split the taxonomy count/list from the thesis-documentation rule.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- No internal disagreement found against the reviewed vault substrate.

# BLOCK 00B — Pass 1 Audit Report

## Summary
- Cards surveyed: 4
- Flags: 0 HIGH, 2 MED, 0 LOW
- Cluster integrity: clean
- Surveyed note IDs: 1782975741400, 1782975741520, 1782975741861, 1782975741974

## HIGH flags

- None.

## MED flags

### Card 1782975741400 — Item 2 — Atomicity break / cross-card redundancy
- Front: “Why is 10y TIPS real yield the PRIMARY pricing check for gold (vs DXY as second-leg confirmation)?”
- Back: “Gold is a zero-yield real asset. The opportunity cost of holding gold = the real yield available elsewhere. When real yields rise, the opportunity cost of holding gold rises, pushing gold price down. Falling real yields = gold up, rising r…”
- Issue (MED, Item 2 — Atomicity break / cross-card redundancy): The 100+ word back bundles mechanism, sign, hierarchy, divergence handling, and duplicates note 1782975741520.
- Recommended fix: Keep one short primary-driver card and move divergence handling to its own retrieval path.

### Card 1782975741861 — Item 2 — Atomicity break
- Front: “Name three catalysts that can move 10y TIPS real yields and thus reprice gold.”
- Back: “1) Fed pivot (dovish = TIPS down = gold up; hawkish = TIPS up = gold down). 2) Oil-driven breakeven reset (oil up → breakevens up → can mask real-yield move or shift the nominal/real split). 3) USD regime change (dollar weakness → TIPS ral…”
- Issue (MED, Item 2 — Atomicity break): A three-catalyst list with direction and mechanism creates several recall paths.
- Recommended fix: Use one card per catalyst or one explicitly approved pair/list card with a short back.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- No internal disagreement found against the reviewed vault substrate.

# BLOCK 010 — Pass 1 Audit Report

## Summary
- Cards surveyed: 16
- Flags: 4 HIGH, 12 MED, 0 LOW
- Cluster integrity: 2 disagreements
- Surveyed note IDs: 1783152276017, 1783152276134, 1783152276358, 1783152276470, 1783152276581, 1783152276692, 1783152700116, 1783152700232, 1783152700345, 1783153591108, 1783153591220, 1783154320636, 1783154320864, 1783154320979, 1783261059899, 1784149412846

## HIGH flags

### Card 1783152276017 — Items 3 & 6 — Sign/direction and vault-source mismatch
- Front: “Payer swaption — what is the underlying right, what is it long on the bond, and when does it pay off?”
- Back: “Payer swaption = right to enter a swap paying fixed (receiving floating). Long rates / long a PUT on the underlying bond. Gains when rates RISE (bond price falls, put pays off). Exercise is rational only when the prevailing swap rate excee…”
- Issue (HIGH, Items 3 & 6 — Sign/direction and vault-source mismatch): The card calls a payer a bond put and says the pay-fixed swap loses when rates rise, while the locked Block 010 substrate says payer = bond call and the card’s own payoff says it gains when rates rise.
- Recommended fix: Re-derive and rewrite the option/underlying sign convention only after substrate sign-off.

### Card 1783152700232 — Item 8 — Cross-card substrate disagreement
- Front: “Anti-pattern: positive Black vega + short vol-of-vol — why it blows up”
- Back: “A position with positive Black vega (gains when vol rises) can still have NEGATIVE convexity in the vol surface. Long Black vega + short vol-of-vol = lose money when vol rallies. Mechanism: Black vega is a linear sensitivity to vol level. …”
- Issue (HIGH, Item 8 — Cross-card substrate disagreement): This card says positive Black vega can coexist with short vol-of-vol, while note 1783285549604 says long Black vega necessarily means long vol-of-vol.
- Recommended fix: Choose and lock one exposure framework, then rewrite both cards as separate first- and second-order sensitivity facts.

### Card 1783153591220 — Items 4 & 5 — Load-bearing unit/convention mismatch; Item 4 — Magnitude / specific-number claim
- Front: “Why rates vol is quoted in bp (normal vol) not % (Black vol) — practical reason”
- Back: “Normal (bp) vol: 1-sigma move ≈ vol × √T in bp. Cleaner for rates because the 1-sigma move IS the rate move. Black (lognormal) vol: 1-sigma move ≈ F × σ × √T in absolute terms. For F=4.5%, σ=90bp, 1y: 1-sigma = 405bp — absurd. The lognorma…”
- Issue (HIGH, Items 4 & 5 — Load-bearing unit/convention mismatch): The card labels σ as “90bp” but computes F×σ as 405bp, which only follows from 90%, not 90bp; normal and Black units are conflated.
- Recommended fix: Rewrite with one explicit convention and dimensional calculation, then verify the worked numbers in Pass 2.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 4.5%, 90bp, 405bp, 8%, 12 months.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783261059899 — Item 1 — Front-side leak; Item 4 — Magnitude / specific-number claim
- Front: “ATM receiver risk-neutral probability (~67% in the 1y×1y 90bp example) is the probability of {{c1::ANY rate decline}} over the horizon — a broad cumulative measure, not a specific cut size. A specific magnitude (e.g., 50bp cut) is one path…”
- Back: “”
- Issue (HIGH, Item 1 — Front-side leak): The two-answer cloze shows the full surrounding answer sentence and each cloze context helps reveal the other answer.
- Recommended fix: Replace with two Basic cards or two independent clozes without cross-revealing context.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 67%, 90bp, 50bp, $25–35%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## MED flags

### Card 1783152276134 — Item 2 — Atomicity break
- Front: “Risk Reversal (RR) — formula, delta space, and what positive/negative values mean structurally”
- Back: “RR = vol(Δ-call) − vol(Δ-put), at matched delta (typically 25Δ or 10Δ, not ATM). Positive RR → call vol > put vol → calls richer → market pricing upside vol expensive (e.g., dealer short-call flow being bid up). Negative RR → put vol > cal…”
- Issue (MED, Item 2 — Atomicity break): Formula, delta convention, sign interpretation, flow examples, and strike construction are bundled.
- Recommended fix: Split formula/sign from dealer-flow interpretation and delta-space construction.

### Card 1783152276358 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Vol-of-vol vs skew vs BF — static vs dynamic measures of the surface”
- Back: “Skew (RR) and BF are STATIC measures of the vol surface — a snapshot of the smile shape at one moment. Vol-of-vol is the DYNAMIC measure — how much the surface itself moves day-to-day. 1-day vol move of 2 vol points is normal in stress; 5 …”
- Issue (MED, Item 2 — Atomicity break): The answer combines static-vs-dynamic definitions, stress magnitudes, asymmetry, premium, and trade failure.
- Recommended fix: Keep the static/dynamic distinction atomic; move magnitudes and trade implication to separate cards.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2 vol points, 5 vol points.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783152276470 — Item 4 — Magnitude / specific-number claim
- Front: “Pre-FOMC vol behavior — the vol crush trade and the anti-pattern”
- Back: “Implied vol rises into FOMC (uncertainty premium), then collapses after the announcement REGARDLESS of direction. Realized vol on the event window is typically less than implied. Trade: short vol into the meeting. Anti-pattern: holding lon…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 25bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783152276581 — Item 4 — Magnitude / specific-number claim
- Front: “Why delta space, not strike space, for vol surface quotes (and the practical trap)”
- Back: “In strike space, a 100-strike OTM put today is a 50-strike OTM put after a 50% rally — strike drifts with spot. Vol quoted in strike space is not comparable across time. In delta space, a 25Δ put is ALWAYS a 25-delta put regardless of spot…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 50%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783152276692 — Item 4 — Magnitude / specific-number claim
- Front: “Rates vol quoting — normal (bp) vol vs shifted-lognormal (Black) vol — why it matters”
- Back: “Rates vol surface is quoted in either normal (bp) vol or shifted-lognormal (Black) vol, depending on the market. Normal vol: 1bp/day SD assumption. Used for short-dated rates (cap/floor, swaption). ATM normal vol ≈ forward-bond DV01 × Blac…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 1bp, 10%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783152700116 — Item 2 — Atomicity break
- Front: “Black's model — what is it good for, and what is its single most important limitation for trading?”
- Back: “Black's model treats the forward swap rate as a lognormal underlying and applies BSM. Inputs: F (forward swap rate), K (strike), σ (Black vol), T (time to expiry), A (annuity factor = PV01 of underlying swap). Good for: pricing and quoting…”
- Issue (MED, Item 2 — Atomicity break): The long back bundles model inputs, use case, several limitations, market quoting, and a directional-trading anti-pattern.
- Recommended fix: Split model purpose, core limitation, and trading anti-pattern.

### Card 1783152700345 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Annity factor (A) in Black's swaption formula — what it is and why it matters”
- Back: “A = PV01 of the underlying swap. Translates a 1bp move in the forward swap rate into a dollar gain on the option payoff. For a 5y×5y swaption (5y option, 5y underlying swap), A ≈ 5y annuity factor (~$4.50 per $100 notional at ~4.5% rates).…”
- Issue (MED, Item 2 — Atomicity break): Definition, two worked examples, dollar comparison, and an operating rule are bundled.
- Recommended fix: Keep A = PV01 atomic and put cross-tenor dollar examples on separate cards.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 1bp, $4.50, $100, 4.5%, $0.85, 80bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783153591108 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Reading the vol surface for Fed cut probability — the four-layer order”
- Back: “To extract 'what is the market pricing for Fed cuts?' read the surface in order: 1. ATM vol → general vol regime (high/low, comparable to history). 2. ATM receiver price → probability of ANY rate decline over the horizon (cumulative, broad…”
- Issue (MED, Item 2 — Atomicity break): A “four-layer” prompt produces five numbered layers and multiple interpretations.
- Recommended fix: Correct the layer count and use one card per layer or one short ordered-chain card.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 50bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783154320636 — Item 4 — Magnitude / specific-number claim
- Front: “TYVIX 4.71 after a -5.4% one-day drop — what does this say about the vol regime and the surface move?”
- Back: “TYVIX = CBOE/CBOT 10y Treasury VIX, the vol regime gauge for 10y notes. Reading: 4.71 vs 52-wk range 0-5.15 = at the 99th percentile of the year. One-day -5.4% drop = vol normalizing off a stress event. Anti-pattern: 'vol is rich (99th per…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): -5.4%, 99th percentile, 27bp, 5.4%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783154320864 — Item 2 — Atomicity break
- Front: “Where to get Fed cut probability (cleaner than ZN vol surface)”
- Back: “ZN options price the 10y YIELD, not the Fed path directly. To extract cut probability cleanly: 1. CME FedWatch (cmegroup.com/markets/interest-rates/cme-fedwatch.html) — extracts implied path from Fed funds futures. Free, real-time, the sta…”
- Issue (MED, Item 2 — Atomicity break): Five tools and their purposes are recalled in one list.
- Recommended fix: Use a single default-tool card plus separate fallback cards only if operationally necessary.

### Card 1783154320979 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “SABR (Hagan 2002) — what it does and why the industry uses it”
- Back: “SABR = Stochastic Alpha Beta Rho. Captures the vol smile in a 4-parameter model: - α (alpha): instantaneous vol level - β (beta): CEV exponent, controls backbone. β=1 is lognormal, β=0 is normal. Typically β=0.5 for rates. - ρ (rho): corre…”
- Issue (MED, Item 2 — Atomicity break): The card asks for model purpose but answers with four parameters, conventions, calibration claims, and tools.
- Recommended fix: Split purpose from parameter meanings and implementation resources.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2002.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784149412846 — Item 2 — Atomicity break
- Front: “What does 'vol-of-vol' measure, and what is it useful for in a rates context?”
- Back: “Vol-of-vol = the volatility of the volatility itself. Tells you if volatility mean reversion is fast or slow. High vol-of-vol = the vol surface is moving quickly = mean reversion is slow/weak (or absent); low vol-of-vol = mean reversion is…”
- Issue (MED, Item 2 — Atomicity break): The back adds mean-reversion speed, surface motion, and long/short trade implications to the definition.
- Recommended fix: Keep the definition atomic; split regime interpretation and position implication.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- Vega/vol-of-vol disagreement: 1783152700232 vs Block 011 note 1783285549604.
- Payer direction/motive requires alignment with Block 011 payer/RR cards.

# BLOCK 011 — Pass 1 Audit Report

## Summary
- Cards surveyed: 27
- Flags: 8 HIGH, 12 MED, 0 LOW
- Cluster integrity: 2 disagreements
- Surveyed note IDs: 1783285549375, 1783285549492, 1783285549604, 1783285549716, 1783285549829, 1783285549941, 1783285550054, 1783285550166, 1783285550277, 1783285550389, 1783285550500, 1783285550611, 1783285550722, 1783285550833, 1783285550944, 1783285551055, 1783285551166, 1783285551277, 1783285551388, 1783285551499, 1783285551613, 1783285551724, 1783338119037, 1783338119153, 1783338119380, 1783338119492, 1783338119606

## HIGH flags

### Card 1783285549375 — Item 3 — Sign/direction error
- Front: “Positive 25Δ RR Swaption = call vol > put vol. Who is the natural buyer that drives this, and what is the dealer's resulting position?”
- Back: “Payers are being bought (duration/rally hedge demand — pensions, mortgages). Dealer is short payer / long receiver and charges a premium to keep taking that side.”
- Issue (HIGH, Item 3 — Sign/direction error): The card describes payer buying as “duration/rally hedge demand,” but a payer benefits from higher rates / lower bond prices, not a duration rally.
- Recommended fix: Use a rate-direction anchor and rewrite the buyer motive only after confirming payer/receiver convention.

### Card 1783285549604 — Item 8 — Cross-card substrate disagreement
- Front: “You are long Black vega (bought an option priced off Black vol). Is your position long or short vol-of-vol, and what does that mean for your P&L if realized vol expands?”
- Back: “Long convexity → long vol-of-vol. If realized vol expands, your option gains value faster than Black's model reprices it (because Black assumes constant vol). Anti-pattern: being long Black vega while short vol-of-vol = paying for convexit…”
- Issue (HIGH, Item 8 — Cross-card substrate disagreement): It asserts long Black vega necessarily equals long vol-of-vol, directly contradicting note 1783152700232.
- Recommended fix: Separate vega from vol-convexity exposure and lock whether the relationship is necessary or position-dependent.

### Card 1783285549716 — Item 8 — Internal/cross-card substrate inconsistency; Item 4 — Magnitude / specific-number claim
- Front: “What does it mean for a swaption to be '25Δ' — what is the 25, and what does it tell you about the strike?”
- Back: “Delta = 25% on one side. The strike is set far enough from the forward that the option has a 25% risk-neutral probability of finishing in-the-money. It's a tail-outcome option, not an average-outcome one. 25Δ is a delta-space quote, not a …”
- Issue (HIGH, Item 8 — Internal/cross-card substrate inconsistency): The back equates 25Δ with a 25% risk-neutral ITM probability, then says 25Δ is not a probability-space quote.
- Recommended fix: Remove the probability identity and retain delta as the quote convention; verify any probability approximation in Pass 2.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 25%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285550054 — Item 1 — Front-side leak
- Front: “If BF is positive (wings cheap vs body) on 1y swaptions, what does that say about the manner in which the market is pricing a rate move? How does that change your trade management?”
- Back: “Positive BF = market thinks tails are unlikely = 'clean orderly move' regime. Trade can be a slow grind; standard stop. Negative BF = wings expensive = tail-risk premium = 'chaotic shock' regime. Trade needs faster exit and wider stop beca…”
- Issue (HIGH, Item 1 — Front-side leak): The front supplies “wings cheap vs body,” the exact interpretation needed to answer orderly vs disorderly.
- Recommended fix: Ask for the BF sign read without supplying the wings/body interpretation.

### Card 1783285550166 — Item 1 — Front-side leak; Item 4 — Magnitude / specific-number claim
- Front: “FedWatch shows 80% probability of 25bp cut at next FOMC. 1y ATM vol = 50bp (low). 25Δ RR = -25bp (cuts bid). 25Δ BF = +15bp (tails cheap). What's the read?”
- Back: “Market is convinced the Fed cuts 25bp (80%, low vol = clean pricing). Cuts are crowded (RR very negative). The cut is being priced as orderly (BF positive = no tail risk). Implication: a long-cut trade is the consensus view; the edge is go…”
- Issue (HIGH, Item 1 — Front-side leak): Parentheticals label the inputs “low,” “cuts bid,” and “tails cheap,” largely restating the requested regime read.
- Recommended fix: Present only raw quotes and make the learner generate all labels.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 80%, 25bp, 50bp, -25bp, +15bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285550277 — Item 1 — Front-side leak; Item 4 — Magnitude / specific-number claim
- Front: “FedWatch shows 50/50 at next FOMC. 1y ATM vol = 90bp (high). 25Δ RR = +5bp (balanced). 25Δ BF = -10bp (tails expensive). What's the read?”
- Back: “Market is uncertain about the cut (50/50, high vol = big moves priced). Positioning is uncongested (RR balanced). The cut is being priced as a shock (BF negative = tail risk premium). Implication: directional trade is hard — this is a sell…”
- Issue (HIGH, Item 1 — Front-side leak): The front labels ATM as high, RR as balanced, and BF as tails expensive, giving away most of the requested read.
- Recommended fix: Remove interpretive parentheticals and retain only instrument values.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 90bp, +5bp, -10bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285550389 — Item 1 — Front-side leak; Item 4 — Magnitude / specific-number claim
- Front: “FedWatch shows 25% at next FOMC, 70% by year-end. 1y ATM vol = 60bp. 3m 25Δ receiver vol = 70bp (high). 1y 25Δ receiver vol = 45bp (low). 1y 25Δ RR = -20bp. 1y 25Δ BF = +10bp. What's the read for TLT?”
- Back: “Cut is back-loaded: front-end (3m) is expensive because near-term is uncertain; back-end (1y) is cheap because cuts are confidently expected by year-end. 1y surface reads orderly (BF positive). TLT implication: bear flattener is the equity…”
- Issue (HIGH, Item 1 — Front-side leak): The front labels the 3m receiver as high and 1y receiver as low, pre-solving the back-loaded/near-term-expensive interpretation.
- Recommended fix: Show raw term quotes only and ask for the term-structure interpretation.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 25%, 70%, 60bp, 70bp, 45bp, -20bp, +10bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285550722 — Item 1 — Front-side leak; Item 4 — Magnitude / specific-number claim
- Front: “FedWatch shows 70% cut. 1y ATM receiver on 1y swaps = 40bp vol (cheap, expecting rates to fall). 10y breakeven inflation = 2.50% (sticky). 10y TIPS yield = 2.00% (rising). You're long gold. What's the problem?”
- Back: “Gold is driven by real yields, not nominal. Nominal 10y might fall on a cut, but if breakevens are sticky and TIPS yields are rising, real yields are rising — and gold is a short-real-yield trade. The 25Δ receiver tells you the nominal rat…”
- Issue (HIGH, Item 1 — Front-side leak): The phrase “cheap, expecting rates to fall” supplies the nominal-rate direction used in the answer.
- Recommended fix: Remove the interpretive phrase and show only the quote and cross-asset inputs.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 70%, 40bp, 2.50%, 2.00%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## MED flags

### Card 1783285549829 — Item 4 — Magnitude / specific-number claim
- Front: “If 1y ATM vol is 65bp, why is a 50bp Fed cut considered 'in the tail' rather than 'inside 1-sigma'?”
- Back: “The 65bp is the annual standard deviation of the forward swap rate (continuous drift). A 50bp cut is a discrete single-meeting event. They're different distributions. The 25Δ receiver captures the terminal effect of cuts over 1y, not the p…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 65bp, 50bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285550500 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “FedWatch shows 30% probability of 50bp cut at next FOMC. 1y ATM vol = 75bp. 25Δ RR = -15bp (cuts bid). 25Δ BF = -20bp (deeply negative). What's the read? What trade is this regime friendly to?”
- Back: “BF = -20bp (deeply negative) means wings are RICH — tail hedge is expensive. Combined with low cut probability (30%) and cuts directionally bid (RR -15bp), the market is paying up to insure against a tail event it doesn't think is base-cas…”
- Issue (MED, Item 2 — Atomicity break): The card asks for a regime read plus trade selection and returns three distinct trade ideas and a non-trade.
- Recommended fix: Split regime classification from each trade-expression retrieval path.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 30%, 50bp, 75bp, -15bp, -20bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285550611 — Item 4 — Magnitude / specific-number claim
- Front: “FedWatch shows 60% cut probability. From 1y swaption surface, 25Δ receiver price implies 35% probability of 50bp cut over 1y. They should be roughly consistent. What's going on?”
- Back: “Three possibilities: (a) Different instruments price the same expectation differently due to convexity, term premium, or liquidity premia (Fed Funds futures vs 1y swap rate). (b) FedWatch is lagged or surface is stale. (c) Market is positi…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 60%, 35%, 50bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285550833 — Item 4 — Magnitude / specific-number claim
- Front: “1y ATM vol = 65bp in both cases. Case A: 25Δ RR = -10bp, BF = +10bp. Case B: 25Δ RR = +10bp, BF = -10bp. What does each case imply about the rate distribution, even though vol level is the same?”
- Back: “Vol level alone tells you nothing — the shape matters. Case A: receiver vol > payer vol (cuts bid), tails cheap (body expensive, wings cheap) — market expects a clean move down, no tail risk. Case B: payer vol > receiver vol (hikes bid), t…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 65bp, -10bp, +10bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285550944 — Item 4 — Magnitude / specific-number claim
- Front: “Yesterday: 1y ATM vol = 70bp, RR = -20bp, BF = +5bp. Today: ATM vol = 60bp, RR = -10bp, BF = +15bp. What changed, and what does it mean for a long-cut trade entered yesterday?”
- Back: “Three things: (1) Vol compressed (less expected move — cut priced with more confidence). (2) RR compressed (less cuts-skew — long-cut trade less crowded). (3) BF expanded (more orderly — tails even cheaper). All three shifts are bearish fo…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 70bp, -20bp, +5bp, 60bp, -10bp, +15bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285551055 — Item 4 — Magnitude / specific-number claim
- Front: “TYVIX dropped 5.4% in one day (from 4.71 to ~4.46). Does this 5.4% one-day MOVE in vol itself tell you anything about vol-of-vol?”
- Back: “Yes. If vol were truly stable, vol wouldn't move 5.4% in a day. A 5.4% one-day move in vol is itself evidence of high vol-of-vol — vol is unstable, sensitive, and prone to large moves. The size of the move in vol IS the vol-of-vol signal. …”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 5.4%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783285551499 — Item 2 — Atomicity break
- Front: “BF is deeply negative, RR is bid toward receivers, but cut probability is low. What kind of trade is this regime friendly to?”
- Back: “BF deeply negative = wings rich = tail hedge is EXPENSIVE. RR cuts bid = cuts directionally bid. Low cut probability = the market isn't actually expecting the cut. This is a 'rich wings, skeptical direction' regime. The market is paying up…”
- Issue (MED, Item 2 — Atomicity break): One prompt returns regime diagnosis, mechanism, three trades, and an excluded trade.
- Recommended fix: Keep diagnosis atomic and create separately signed-off expression cards.

### Card 1783285551724 — Item 4 — Magnitude / specific-number claim
- Front: “Vol moves 5.4% in a day. What does the SIZE of the move in vol tell you about vol-of-vol?”
- Back: “If vol is stable, vol doesn't move 5.4% in a day. A 5.4% one-day move in vol is itself evidence of high vol-of-vol — the size of the move IS the signal. This is 'vol-of-vol in motion': a large move in vol doesn't just tell you the new leve…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 5.4%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783338119037 — Item 2 — Atomicity break
- Front: “In the agency MBS structure, who is short the borrower's prepayment option, and what is the option premium paid in the form of?”
- Back: “The MBS investor is short a free American call on the bond (strike = par, exercisable any time, written by the borrower). The premium received is the higher coupon vs a comparable Treasury. Negative convexity is the cost of being short tha…”
- Issue (MED, Item 2 — Atomicity break): The front asks both option ownership and premium form.
- Recommended fix: Split ownership/strike from compensation form.

### Card 1783338119153 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Define PSA in CPR terms. What is 100 PSA, what does the month 1-30 ramp look like, and at what speed does a 'refi wave' start?”
- Back: “100 PSA = 6% annual CPR baseline. Ramp is 0.2%/month linear from month 1 (0% CPR) to month 30 (6% CPR), then flat 6% CPR for the remaining life. Reflects seasoning: new pools don't prepay. 300+ PSA = clear refi wave. 500+ PSA = aggressive …”
- Issue (MED, Item 2 — Atomicity break): Definition, ramp, plateau, and three refi-wave thresholds are bundled.
- Recommended fix: Split baseline/ramp mechanics from stress-speed thresholds.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 100 PSA, 6%, 0.2%, 0%, 2003, 2020.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783338119492 — Item 2 — Atomicity break
- Front: “Reverse: The borrower has written a free American call on the MBS to whom, with what strike, and what does the writer receive as compensation?”
- Back: “Borrower writes the call to the MBS investor. Strike = par. Exercisable any time. The investor (short the option) receives compensation in the form of a higher coupon vs a comparable Treasury — that coupon premium is the option premium.”
- Issue (MED, Item 2 — Atomicity break): Writer, holder, strike, exercise style, and compensation are bundled.
- Recommended fix: Use one ownership/strike card and one compensation card.

### Card 1783338119606 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Reverse: A specified pool trades at +25bp payup to the TBA. Decompose that payup into duration, convexity, and option-exposure terms.”
- Back: “Payup = extra price for slower prepays vs TBA = extra duration held (cash flows extend) = less short-option exposure (the prepayment option the investor sold to the borrower is less likely to be exercised). It's NOT 'protection against pre…”
- Issue (MED, Item 2 — Atomicity break): The payup is decomposed simultaneously into prepayment, duration, convexity, and option exposure.
- Recommended fix: Split into one mechanism chain or separate dimension cards after sign-off.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): +25bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- Long-vega/vol-of-vol claim conflicts with Block 010 note 1783152700232.
- Payer “rally hedge” wording inherits the payer-direction conflict from Block 010.

# BLOCK 012 — Pass 1 Audit Report

## Summary
- Cards surveyed: 6
- Flags: 2 HIGH, 2 MED, 0 LOW
- Cluster integrity: 1 disagreement
- Surveyed note IDs: 1783441333317, 1783441333433, 1783441333549, 1783441333671, 1783441333786, 1784975950892

## HIGH flags

### Card 1783441333433 — Item 3 — Cash-flow direction error
- Front: “In a repo trade (cash borrower posts collateral, cash lender posts cash), who receives cash upfront and who pays repo interest at unwind?”
- Back: “Cash borrower receives cash upfront and posts collateral; pays cash back + repo interest at unwind. Cash lender posts cash; receives collateral; earns repo interest. If the borrower defaults overnight, the lender keeps the cash AND the col…”
- Issue (HIGH, Item 3 — Cash-flow direction error): The back says that on borrower default the lender keeps “the cash AND the collateral,” although the lender advanced the cash and retains collateral as recovery.
- Recommended fix: State that the lender keeps/liquidates collateral to recover the cash claim; do not say it keeps both.

### Card 1783441333671 — Items 5, 6 & 8 — Product-name imprecision / substrate mismatch; Item 4 — Magnitude / specific-number claim
- Front: “What does the SOFR-OIS basis (3m term SOFR minus 3m OIS) actually measure — tenor risk, credit risk, or both?”
- Back: “Tenor risk only. SOFR is secured overnight, OIS fixed leg is geometric-overnight riskless — neither has issuer credit. The credit-spread read is *term unsecured minus OIS*, not SOFR−OIS. When SOFR-OIS widens, bank-funding tenor pressure is…”
- Issue (HIGH, Items 5, 6 & 8 — Product-name imprecision / substrate mismatch): Term SOFR−compounded SOFR is assigned bank-funding stress magnitudes and 2008/2020 LIBOR-OIS history, conflicting with the 2026-07-25 naming lock.
- Recommended fix: Rewrite as fixing-convention basis only; move historical crisis magnitudes to LIBOR-OIS and bank-balance-sheet reading to EFFR-SOFR.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 0-15bp, 50-100bp, 100bp, 2008, 350bp, 2020, 130bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## MED flags

### Card 1783441333786 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Why did USD LIBOR cease and what replaced it? What is the spread adjustment and why does it exist?”
- Back: “Post-2008 interbank unsecured market dried up (Basel III / LCR made it expensive). LIBOR became survey-based and manipulable (2012-13 rigging scandal). Replaced by SOFR (transaction-based, secured, Treasury-collateralized). Transition incl…”
- Issue (MED, Item 2 — Atomicity break): LIBOR cessation cause, replacement, adjustment size, purpose, and transition dates are bundled.
- Recommended fix: Split transition rationale from spread-adjustment mechanics and dates.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2008, 2012-13, 26bp, 2021, 2023.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784975950892 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Name the two distinct post-LIBOR USD basis instruments, what each one is a read on, and the historical LIBOR-OIS analog.”
- Back: “(1) **Term SOFR − compounded SOFR** = fixing-convention basis (set-in-advance vs in-arrears). Low single-digit bp normal. Driver: convexity/timing/one-way hedging demand from Term SOFR loan books. NOT a credit or balance-sheet read. (2) **…”
- Issue (MED, Item 2 — Atomicity break): The corrective taxonomy asks for three instruments, definitions, drivers, and magnitudes in one recall path.
- Recommended fix: Preserve it as an overview only if approved; otherwise use one card per product plus a short discriminator card.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 10bp, 2019-09, 2023, 30-50bp, 350bp, 2008, 130bp, 2020, 2026-07.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- Term SOFR-OIS is assigned LIBOR-OIS crisis history and a bank-funding read; this conflicts with the 2026-07-25 naming lock and corrected Blocks 014/016.

# BLOCK 013 — Pass 1 Audit Report

## Summary
- Cards surveyed: 4
- Flags: 2 HIGH, 2 MED, 0 LOW
- Cluster integrity: 1 disagreement
- Surveyed note IDs: 1783599647968, 1783599647992, 1783599648017, 1783599648043

## HIGH flags

### Card 1783599647968 — Items 3 & 8 — Sign-convention inconsistency; Item 4 — Magnitude / specific-number claim
- Front: “DKW three-component decomposition of breakeven inflation — name the three components in order”
- Back: “T10YIE = expected inflation + inflation risk premium (IRP) + liquidity premium. Per D'Amico-Kim-Wei (2018) Section 2. Each is estimated separately via affine-term-structure-model decomposition. The naive read T10YIE = expected inflation is…”
- Issue (HIGH, Items 3 & 8 — Sign-convention inconsistency): It writes measured T10YIE as expected inflation + IRP + liquidity premium, while note 1783599648043 says positive TIPS illiquidity makes measured T10YIE lower and must be added back.
- Recommended fix: Lock one signed equation and make the liquidity term’s sign explicit in both cards.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2018, 80-150bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783599648043 — Items 3 & 8 — Sign-convention inconsistency; Item 4 — Magnitude / specific-number claim
- Front: “Why is the liquidity premium in the DKW decomposition POSITIVE in sign?”
- Back: “TIPS are less liquid than nominal Treasuries, so TIPS yields are bid HIGHER (TIPS prices lower) to compensate holders for liquidity risk. Higher TIPS yield = lower T10YIE (since T10YIE = nominal - TIPS yield). So measured T10YIE UNDERSTATE…”
- Issue (HIGH, Items 3 & 8 — Sign-convention inconsistency): The positive-add-back explanation conflicts with the plus-liquidity equation in note 1783599647968.
- Recommended fix: Express measured breakeven and corrected expectation with explicit signs, then align the pair.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 30-50bp, 2010.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## MED flags

### Card 1783599647992 — Item 4 — Magnitude / specific-number claim
- Front: “T10YIE on FRED — what is it, mechanically?”
- Back: “T10YIE = 10y nominal Treasury yield (DGS10) MINUS 10y TIPS real yield (DFII10). It's a SPREAD, not a yield. Reported in percent. Updates daily. FRED publishes it as a derived series; you can replicate it on any day as DGS10 - DFII10 (~1-2b…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 1-2bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783599648017 — Item 4 — Magnitude / specific-number claim
- Front: “T5YIFR on FRED — what does it measure and why is it called a 'forward' breakeven?”
- Back: “T5YIFR = 5y5y forward breakeven inflation = the breakeven inflation rate the market is pricing for the 5-year period beginning 5 years from today (years 5-10). It is a FORWARD measure, not a spot. Less contaminated by near-term cyclical no…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 5 years.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- Liquidity-premium equation and positive-add-back mechanism disagree within the block and must be signed consistently.

# BLOCK 014 — Pass 1 Audit Report

## Summary
- Cards surveyed: 8
- Flags: 1 HIGH, 7 MED, 0 LOW
- Cluster integrity: 1 disagreement
- Surveyed note IDs: 1783787949492, 1783787949517, 1783787949555, 1783787949572, 1783787949605, 1783787949622, 1783787949641, 1783787949672

## HIGH flags

### Card 1783787949641 — Items 1 & 5 — Front leak and stale product name; Item 4 — Magnitude / specific-number claim
- Front: “If only the cross-currency basis blows out (not MBS, not SOFR-OIS), what's the diagnosis? What if all three blow out together?”
- Back: “Only cross-currency = global dollar scarcity without US bank stress — EM dollar shortage, Japan life insurer unwind, European crisis without US spillover. All three = systemic crisis (2008, March 2020). MBS-only = prepayment / housing-mark…”
- Issue (HIGH, Items 1 & 5 — Front leak and stale product name): The “not MBS, not SOFR-OIS” distractors enable diagnosis by elimination and retain the obsolete product name after the back was renamed to EFFR-SOFR.
- Recommended fix: Remove distractors and use EFFR-SOFR consistently on the front.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2008, 2020.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## MED flags

### Card 1783787949492 — Item 4 — Magnitude / specific-number claim
- Front: “Per Du, Tepper, Verdelhan (2018), how does the cross-currency basis behave as tenor extends from 1-month to 5-year, and what does that shape tell you about the constraint that drives it?”
- Back: “Basis is largest at short tenors (1m, 3m) and shrinks monotonically toward zero out to 5y. The shape is a fingerprint of a balance-sheet / regulatory constraint — short-tenor basis trades cycle through bank balance sheets more frequently u…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2018.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783787949517 — Item 4 — Magnitude / specific-number claim
- Front: “3-month USD-JPY cross-currency basis — name the three regimes and the basis-point threshold for each.”
- Back: “Normal = -10 to -30bp (dealer capacity abundant, dollar funding cheap, carry trades work). Constrained = -30 to -80bp (dealer capacity tightening, often visible first in repo, then FX swap; cross-asset implication: dollar strength, EM weak…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): -30bp, -80bp, -100bp, 2008, 2020.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783787949555 — Item 4 — Magnitude / specific-number claim
- Front: “Why is the cross-currency basis best framed as a dealer-intermediation phenomenon rather than a textbook CIP arbitrage failure?”
- Back: “The "arbitrage" requires infinite balance-sheet capacity. In practice, dealer banks absorb the basis on their balance sheets, and the basis IS the dealer's required return for committing scarce balance sheet. The bigger the basis, the more…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2008.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783787949572 — Item 4 — Magnitude / specific-number claim
- Front: “BIS Triennial 2022 — global FX daily turnover (USD trillions), the largest single instrument, and the one-side share of USD in all trades.”
- Back: “Global turnover = $7.5T/day. Largest single instrument = FX swaps at ~$3.8T/day (the basis-trade plumbing — the funding-swap layer, not spot). USD appears on one side of ~88% of all FX trades, structurally stable across the 2010-2022 surve…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2022, $7.5T/day, $3.8T/day, 88%, 2010-2022, 31%, 17%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783787949605 — Item 4 — Magnitude / specific-number claim
- Front: “Why is the cross-currency basis framed as a USD funding-stress signal rather than a JPY or EUR funding-stress signal?”
- Back: “USD is on one side of ~88% of all FX trades (BIS Triennial 2022, structurally stable). Global dollar funding runs through the USD leg of the FX swap market — Japanese banks funding US Treasuries, European insurers with USD liabilities, etc…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 88%, 2022.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783787949622 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “The rates-microstructure signal layer has three legs — name them and what each one is a read on.”
- Back: “(1) MBS-Treasury basis = domestic prepayment / option pricing read. (2) EFFR-SOFR basis = domestic bank-funding stress read (secured vs unsecured; in the post-LIBOR regime the bank-balance-sheet stress read lives in EFFR-SOFR, not in Term …”
- Issue (MED, Item 2 — Atomicity break): Three instruments, three reads, systemic co-movement, and a sequence are bundled.
- Recommended fix: Split leg definitions from crisis ordering.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2008, 2020.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783787949672 — Item 4 — Magnitude / specific-number claim
- Front: “Reverse: A reader reports "3m USD-JPY basis at -119" as a stress signal citing a Cbonds page. What's the most likely error?”
- Back: “Cbonds shows USD/JPY 3M FX Swap Points, not the cross-currency basis. These are different measures. -119 swap points on a 3m USD/JPY at spot ~155 annualizes to a USD forward discount of ~300bp, which is the *normal* rate-differential-impli…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 300bp, 4.3%, 0.5%, 380bp, -42bp, 2026, -22bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- The back of 1783787949641 uses EFFR-SOFR while its front still says SOFR-OIS; Blocks 012/015/016 retain the same stale term in related diagnostics.

# BLOCK 015 — Pass 1 Audit Report

## Summary
- Cards surveyed: 8
- Flags: 2 HIGH, 6 MED, 0 LOW
- Cluster integrity: 1 disagreement
- Surveyed note IDs: 1783859475443, 1783859475469, 1783859475498, 1783859475532, 1783859475547, 1783859475580, 1783859475597, 1784060117580

## HIGH flags

### Card 1783859475547 — Items 5 & 7 — Product-name imprecision / stale re-drill; Item 4 — Magnitude / specific-number claim
- Front: “In the 18bp term unsecured bank paper vs OIS decomposition, what does the **SOFR-OIS basis** measure, and why is it NOT a credit spread?”
- Back: “**Tenor premium only.** SOFR-OIS = tenor risk (the cost of locking term unsecured bank funding for 3m vs rolling overnight). NOT a credit spread because both legs are near-zero credit (SOFR is secured Treasury repo; OIS is geometric-SOFR c…”
- Issue (HIGH, Items 5 & 7 — Product-name imprecision / stale re-drill): It calls SOFR-OIS “term unsecured bank funding” even though SOFR is secured and the naming lock defines Term SOFR−OIS as fixing-convention basis.
- Recommended fix: Replace the card with correctly named Term SOFR-OIS mechanics or a separate historical term-unsecured/LIBOR-OIS card; re-anchor.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 18bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783859475580 — Items 5 & 7 — Product-name imprecision / stale re-drill
- Front: “At quarter-end, does the SOFR-OIS tenor premium **widen or narrow**? What's the mechanism?”
- Back: “**Widens.** Banks pull back from repo and unsecured lending at quarter-end to window-dress balance sheet (SLR / leverage ratio denominator turnover). Less balance sheet = scarcer term funding = higher tenor premium. Calendar-driven, mechan…”
- Issue (HIGH, Items 5 & 7 — Product-name imprecision / stale re-drill): It uses SOFR-OIS as the quarter-end bank-balance-sheet stress read, which the naming lock assigns to EFFR-SOFR.
- Recommended fix: Rename/rebuild on EFFR-SOFR and cold-re-anchor before closing the weakness tag.

## MED flags

### Card 1783859475443 — Item 7 — Re-anchor needed; Item 4 — Magnitude / specific-number claim
- Front: “Long 30y UMBS / short 30y UST, DV01-matched. Yields fall 50bp. What happens to the **gross secondary spread** (MBS yield − Treasury yield)?”
- Back: “**Widens.** The Treasury leg rallies hard on the yield drop; the MBS leg rallies less because prepay speeds accelerate and WAC-drift-selection leaves lower-coupon mortgages in the pool. MBS yield falls LESS than Treasury yield → spread wid…”
- Issue (MED, Item 7 — Re-anchor needed): The card remains tagged re-drill/weakness and has no later re-anchor marker.
- Recommended fix: Cold-probe and retire or refresh the re-drill tag after demonstrated recall.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 50bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783859475469 — Item 7 — Re-anchor needed
- Front: “Define **net basis** in the MBS-Treasury basis trade, and how it changes when prepay speeds accelerate.”
- Back: “Net basis = gross spread − option cost. As prepay speeds accelerate, the prepayment option becomes more in-the-money → option cost rises. Net basis typically widens (option-cost rise partly offsets gross-spread widening) but can stay flat …”
- Issue (MED, Item 7 — Re-anchor needed): The card remains tagged re-drill/weakness and has no later re-anchor marker.
- Recommended fix: Cold-probe and re-anchor the gross-vs-net basis sign chain.

### Card 1783859475498 — Item 7 — Re-anchor needed; Item 4 — Magnitude / specific-number claim
- Front: “You're long MBS (DV01-matched vs Treasury). Yields fall 50bp and prepay speeds accelerate from 200 PSA to 600 PSA. **Convexity bleed** is positive or negative for you? Why?”
- Back: “**Negative.** You're SHORT the prepayment option (borrower owns the free American call strike=par; you're on the other side). As the option becomes more in-the-money, the option's value RISES. Being short something that rises in value = MT…”
- Issue (MED, Item 7 — Re-anchor needed): The card remains tagged re-drill/weakness and has no later re-anchor marker.
- Recommended fix: Cold-probe the short-option MTM direction and then close the re-drill state.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 50bp, 200 PSA, 600 PSA, +200 PSA.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1783859475532 — Item 7 — Re-anchor needed
- Front: “In rates vol, **positive BF (butterfly) = disorderly or orderly move priced?**”
- Back: “**Orderly priced.** Per the locked BF convention (dealer-cost-of-carry framing): BF+ means wings are cheap relative to ATM = tail hedge is cheap = market is complacent = clean orderly-move regime. The dealer is long gamma on the wings and …”
- Issue (MED, Item 7 — Re-anchor needed): The card remains tagged re-drill despite the BF refactor marker.
- Recommended fix: Verify the locked BF convention cold and remove stale process tags if passed.

### Card 1783859475597 — Item 7 — Re-anchor needed
- Front: “Three-leg rates signal-layer diagnostic: which leg blows out **first / second / last** in a systemic crisis, and which do you watch **first** for early warning?”
- Back: “Sequence: **EFFR-SOFR first** (domestic bank funding, breaks first — secured vs unsecured basis is the post-LIBOR bank-balance-sheet read) → **cross-currency second** (global dollar, propagates from domestic) → **MBS last** (prepayment/opt…”
- Issue (MED, Item 7 — Re-anchor needed): The naming was corrected, but the note still carries re-drill/weakness without a demonstrated post-fix anchor.
- Recommended fix: Cold-probe the renamed sequence and then close the stale tags if clean.

### Card 1784060117580 — Item 7 — Re-anchor needed
- Front: “FRED series DFII10 measures?”
- Back: “REAL YIELD (TIPS yield), not expected inflation. T10YIE = DGS10 − DFII10 = breakeven spread. Common slip: confusing the real-yield level (DFII10) with the breakeven measure (T10YIE).”
- Issue (MED, Item 7 — Re-anchor needed): The DFII10 distinction is still tagged re-drill/weakness despite competence-map closure.
- Recommended fix: Reconcile tags with the competence-map closure after one confirming cold probe.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- 1783859475547/5580 retain the pre-lock SOFR-OIS bank-funding substrate while 1783859475597 uses corrected EFFR-SOFR.

# BLOCK 016 — Pass 1 Audit Report

## Summary
- Cards surveyed: 12
- Flags: 5 HIGH, 3 MED, 0 LOW
- Cluster integrity: 2 disagreements
- Surveyed note IDs: 1784060117542, 1784060117549, 1784060117555, 1784060117563, 1784060117568, 1784060117574, 1784142183593, 1784142183619, 1784142183646, 1784149437417, 1784289832244, 1784975950878

## HIGH flags

### Card 1784060117542 — Item 5 — Product-name imprecision
- Front: “Reaction function shift (Fed pivot, framework review, dot-plot surprise) — diagnostic repricing order?”
- Back: “1. Vol surface (first, minutes): implied rates vol is the most direct read on Fed future path; surface reprices inside minutes of a Powell speech. 2. SOFR-OIS basis (second, hours-days): dealer balance sheets reprice Fed policy duration. 3…”
- Issue (HIGH, Item 5 — Product-name imprecision): SOFR-OIS is used as a dealer-balance-sheet/policy-transmission layer, conflicting with the fixing-convention naming lock.
- Recommended fix: Specify the intended product; use EFFR-SOFR for balance-sheet transmission or justify Term SOFR-OIS as fixing demand.

### Card 1784060117555 — Item 5 — Product-name imprecision
- Front: “If the vol surface moves but SOFR-OIS basis doesn't move, what does that tell you about the shift?”
- Back: “POLICY CHANNEL. Market is repricing Fed EXPECTATIONS (option layer), not transmission friction. Balance sheets are not under stress. The Fed pivot is being absorbed at the expectation layer without transmission friction.”
- Issue (HIGH, Item 5 — Product-name imprecision): The diagnostic treats an unchanged SOFR-OIS basis as evidence balance sheets are unstressed, which is the EFFR-SOFR substrate.
- Recommended fix: Rename the diagnostic leg to EFFR-SOFR.

### Card 1784060117568 — Item 5 — Product-name imprecision
- Front: “How fast does the vol surface reprice after a Fed pivot (Powell speech, dot-plot surprise)?”
- Back: “Minutes. The surface is the most direct read on Fed future path; it reprices inside minutes of a policy signal. SOFR-OIS basis follows in hours-days, breakevens in weeks. The diagnostic ORDER is policy channel: surface-first.”
- Issue (HIGH, Item 5 — Product-name imprecision): The policy-ordering chain carries forward SOFR-OIS as the balance-sheet-following leg.
- Recommended fix: Use the product explicitly intended by the locked taxonomy and align all ordering cards.

### Card 1784142183593 — Item 5 — Product-name imprecision
- Front: “Reaction function shift (Fed pivot, framework review, dot-plot surprise). Block 016 diagnostic ordering — which signal layer moves first, second, third?”
- Back: “Vol surface FIRST (minutes), SOFR-OIS basis SECOND (hours-days), breakevens LAST (weeks). Policy channel — option layer reprices first because it reads Fed future path most directly. Source: Block 016 main material concept 3, anchored in s…”
- Issue (HIGH, Item 5 — Product-name imprecision): The redesigned reaction-function ordering still uses SOFR-OIS for the transmission layer after the naming correction.
- Recommended fix: Rename the second leg to EFFR-SOFR or reframe it explicitly as a Term-SOFR fixing-demand signal.

### Card 1784149437417 — Item 8 — Cross-block substrate disagreement
- Front: “Markets interpret a dovish surprise as what kind of signal, and what is the mechanism?”
- Back: “Growth scare / recession signal. Mechanism: dovish surprise → flight-to-quality into long-end Treasuries + term-premium compression at the long end. The yield curve typically bull-flattens on a dovish surprise (long-end yields fall more th…”
- Issue (HIGH, Item 8 — Cross-block substrate disagreement): It says a dovish surprise typically bull-flattens, while Block 017’s locked canonical Fed-pivot driver card says bull steepener; the deck holds both mappings.
- Recommended fix: Define the discriminator and make one canonical/default mapping consistent across Blocks 016 and 017.

## MED flags

### Card 1784060117549 — Item 4 — Magnitude / specific-number claim
- Front: “Funding/dollar crisis (March 2020, 2008, quarter-end stress) — diagnostic repricing order?”
- Back: “1. EFFR-SOFR basis (first, hours): banks tighten balance sheets immediately; secured-vs-unsecured spread widens. 2. Cross-currency basis (second, hours-days): dollar scarcity transmits through FX swaps. 3. MBS-Treasury basis (last, days-we…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2020, 2008.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784142183619 — Item 4 — Magnitude / specific-number claim
- Front: “Funding / dollar crisis (e.g., March 2020, 2008, quarter-end stress). Block 016 diagnostic ordering — which signal layer moves first, second, third?”
- Back: “EFFR-SOFR basis FIRST (hours), cross-currency basis SECOND (hours-days), MBS-Treasury basis LAST (days-weeks). Balance-sheet channel — funding layer reprices first because bank balance sheets constrain transmission immediately. Source: Blo…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2020, 2008.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784975950878 — Item 4 — Magnitude / specific-number claim
- Front: “Why is 'long the basis at +Xbp, betting it stays at Xbp' an anti-pattern, not a thesis?”
- Back: “The basis is struck at zero PV at trade entry — the forward strip of expected basis is already in the price. P&L = *realised basis minus forward-implied basis at entry*, not the quoted level. 'Bet basis stays at X' = bet the forwards are w…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2026-07.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- Reaction-function cards still use SOFR-OIS as transmission/balance-sheet leg while funding-crisis cards use corrected EFFR-SOFR.
- Dovish-surprise bull-flattener claim (1784149437417) disagrees with Block 017’s canonical Fed-pivot bull-steepener mapping.

# BLOCK 017 — Pass 1 Audit Report

## Summary
- Cards surveyed: 20
- Flags: 1 HIGH, 9 MED, 0 LOW
- Cluster integrity: 2 disagreements
- Surveyed note IDs: 1784143386168, 1784143386195, 1784143386228, 1784143386246, 1784145913741, 1784145913767, 1784145913791, 1784145913819, 1784145913841, 1784145913870, 1784145913902, 1784145913919, 1784148633698, 1784148633731, 1784148633748, 1784148633766, 1784148899842, 1784148899869, 1784149288267, 1784149288292

## HIGH flags

### Card 1784145913870 — Item 5 — Product-name imprecision; Item 4 — Magnitude / specific-number claim
- Front: “2y yields rise 40bp over 3 months, 10y yields rise 15bp. Classify the regime, yield-anchored, leg assignment. Then tie to the Block 016 diagnostic ordering.”
- Back: “Regime: Bear flattener. SHORT end rises more than LONG end → 2s10s narrows. Diagnostic ordering (Block 016 policy-channel): vol surface first (minutes), SOFR-OIS basis second (hours-days), breakevens last (weeks). Hawkish policy-shift scen…”
- Issue (HIGH, Item 5 — Product-name imprecision): The Block 016 policy-channel ordering is repeated with SOFR-OIS as the transmission leg.
- Recommended fix: Align with the locked EFFR-SOFR naming or explicitly justify Term SOFR-OIS.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 40bp, 3 months, 15bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## MED flags

### Card 1784145913741 — Item 4 — Magnitude / specific-number claim
- Front: “Q1 YTD scenario: 2y yields fell 30bp, 10y yields fell 5bp. Classify the regime (yield-anchored, leg assignment).”
- Back: “Regime: Bull steepener. SHORT end (2y) falls more than LONG end (10y) → 2s10s widens → curve steepens.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 30bp, 5bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784145913767 — Item 4 — Magnitude / specific-number claim
- Front: “Q1–Q2 2023 scenario: 2y yields flat, 10y yields rise 25bp. Classify the regime (yield-anchored, leg assignment).”
- Back: “Regime: Bear steepener. LONG end (10y) rises more than SHORT end (2y flat) → 2s10s widens → curve steepens.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2023, 25bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784145913791 — Item 4 — Magnitude / specific-number claim
- Front: “2y yields fall 5bp, 10y yields fall 30bp. HY OAS widens 80bp. Classify the regime (yield-anchored, leg assignment).”
- Back: “Regime: Bull flattener. LONG end (10y) falls more than SHORT end (2y) → 2s10s narrows → curve flattens. Discriminator: HY OAS — widening = recessionary FTQ, flat or tightening = benign cuts-led rally. Recession scare scenario”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 5bp, 30bp, 80bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784145913819 — Item 4 — Magnitude / specific-number claim
- Front: “2018 Q4 scenario (Powell pivot lead-up): 2y yields rise 25bp, 10y yields rise 10bp. Classify the regime (yield-anchored, leg assignment).”
- Back: “Regime: Bear flattener. SHORT end (2y) rises more than LONG end (10y) → 2s10s narrows → curve flattens.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2018, 25bp, 10bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784145913841 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Live 2026 YTD: 2y +79bp (3.47→4.26%), 10y +43bp (4.19→4.62%), 2s10s −32bp, T10YIE flat (2.25→2.25%), DFII10 +42bp (1.94→2.36%), HY OAS −11bp. Classify the regime and decompose the driver.”
- Back: “Regime: Bear flattener. SHORT end (2y) rises more than LONG end (10y) → 2s10s narrows → curve flattens. Two-channel YTD 2026 decomposition (verifiable cross-check): short end = Fed-policy repricing; long end = real-yield channel (DFII10 +4…”
- Issue (MED, Item 2 — Atomicity break): The card asks both regime classification and a multi-series driver decomposition.
- Recommended fix: Keep classification and decomposition as separate retrieval paths.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2026, +79bp, 3.47→4.26%, +43bp, 4.19→4.62%, −32bp, 2.25→2.25%, +42bp, 1.94→2.36%, −11bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784145913902 — Item 4 — Magnitude / specific-number claim
- Front: “March–April 2020 scenario: 2y yields fall 130bp, 10y yields fall 75bp. Classify the regime (yield-anchored, leg assignment).”
- Back: “Regime: Bull steepener. SHORT end (2y) falls more than LONG end (10y) → 2s10s widens → curve steepens.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2020, 130bp, 75bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784145913919 — Item 4 — Magnitude / specific-number claim
- Front: “2023 H2 scenario: 2y yields rise 30bp, 10y yields rise 75bp. Classify the regime (yield-anchored, leg assignment).”
- Back: “Regime: Bear steepener. LONG end (10y) rises more than SHORT end (2y) → 2s10s widens → curve steepens.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2023, 30bp, 75bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784148899842 — Item 4 — Magnitude / specific-number claim
- Front: “Scenario: 2y yields rose 30bp, 10y yields rose 10bp over 3 months. Classify the regime (yield-anchored, leg assignment).”
- Back: “Bear flattener. SHORT end (2y) rises more than LONG end (10y) → 2s10s narrows → curve flattens. "Bear" because yields are rising (bond prices falling). Yield-anchored reading: the dominant move is yields up, and short end leads.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 30bp, 10bp, 3 months.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784148899869 — Item 4 — Magnitude / specific-number claim
- Front: “Scenario: 2y yields fell 5bp, 10y yields fell 30bp over 3 months. Classify the regime (yield-anchored, leg assignment).”
- Back: “Bull flattener. LONG end (10y) falls more than SHORT end (2y) → 2s10s narrows → curve flattens. "Bull" because yields are falling (bond prices rising). Yield-anchored reading: the dominant move is yields down, and long end leads.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 5bp, 30bp, 3 months.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- 1784145913870 inherits stale SOFR-OIS naming from Block 016.
- Canonical Fed-pivot bull-steepener driver conflicts with Block 016 note 1784149437417.

# BLOCK 020 — Pass 1 Audit Report

## Summary
- Cards surveyed: 18
- Flags: 4 HIGH, 8 MED, 0 LOW
- Cluster integrity: 1 disagreement
- Surveyed note IDs: 1784201356442, 1784201356618, 1784201356800, 1784201356967, 1784289831942, 1784289831967, 1784289831993, 1784289832027, 1784289832044, 1784289832077, 1784289832094, 1784289832127, 1784289832144, 1784289832177, 1784289832193, 1784289832276, 1784631449041, 1784631449067

## HIGH flags

### Card 1784201356442 — Item 5 — Product/instrument imprecision
- Front: “"Bull steepener" — yield curve steepens in a rally (rates fall overall, short end falls more than long end). Decompose: is this typically an expectations-driven move or a term-premium-driven move? What is the verbal intuition?”
- Back: “Typically expectations-driven. Verbal intuition: Fed cuts (or cuts expected), so the front end prices in lower short rates. Long end falls less because (a) cut cycle is short-dated, (b) duration supply / risk appetite absorbs the move, (c)…”
- Issue (HIGH, Item 5 — Product/instrument imprecision): It proposes paying SOFR-OIS basis as an expression of faster cut transmission, mixing a basis product with a directional policy-path thesis and the wrong balance-sheet label.
- Recommended fix: Use a directional front-end rates instrument for path repricing, or specify the exact basis and relative-value thesis.

### Card 1784201356618 — Item 5 — Product/instrument imprecision; Item 4 — Magnitude / specific-number claim
- Front: “"Bear flattener" — yield curve flattens in a sell-off (rates rise overall, short end rises more than long end). Decompose: is this typically an expectations-driven move or a term-premium-driven move? What is the verbal intuition?”
- Back: “Typically expectations-driven. Verbal intuition: Fed hikes (or hikes expected) / hawkish repricing of the path, so the front end sells off. Long end rises less because (a) hikes slow growth, (b) TP may compress as global duration demand ab…”
- Issue (HIGH, Item 5 — Product/instrument imprecision): “Paying front-end SOFR-OIS basis” is offered as a directional path expression without a defined pair or fixing-basis thesis.
- Recommended fix: Replace with a clearly defined directional rates expression or exact basis-swap legs.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2026, +79bp, +43bp, -32bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784201356800 — Item 3 — Trade-direction error
- Front: “"Bear steepener" — yield curve steepens in a sell-off (rates rise overall, long end rises more than short end). Decompose: is this typically an expectations-driven move or a term-premium-driven move? What is the verbal intuition?”
- Back: “Typically term-premium-driven. Verbal intuition: long end cheapens due to supply (Treasury issuance, fiscal), foreign demand withdrawal (reserve managers stepping back), or term-premium repricing. Front end anchored because near-term Fed p…”
- Issue (HIGH, Item 3 — Trade-direction error): For a term-premium-driven long-end cheapening, the card recommends long 30y/short 10y while describing the duration as cheapening; that position is opposite the stated selloff view.
- Recommended fix: Re-derive the DV01-neutral 10s30s position from the expected relative yield move and rewrite after sign-off.

### Card 1784201356967 — Item 5 — Product/instrument imprecision; Item 4 — Magnitude / specific-number claim
- Front: “"Bull flattener" — yield curve flattens in a rally (rates fall overall, long end falls more than short end). Decompose: is this typically an expectations-driven move or a term-premium-driven move? What is the verbal intuition?”
- Back: “Mixed — both components active, TP dominant. Verbal intuition: flight-to-quality into the long end (TP compression dominant), combined with the front end anchored because the Fed is on hold (expectations component small / near zero). Reces…”
- Issue (HIGH, Item 5 — Product/instrument imprecision): “Paying 30y SOFR-OIS basis” is used as a funding-stress expression without identifying Term SOFR vs EFFR-SOFR substrate.
- Recommended fix: Specify the actual swap legs and use EFFR-SOFR for balance-sheet stress.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2008-2009, 2019, 2024.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## MED flags

### Card 1784289831942 — Item 4 — Magnitude / specific-number claim
- Front: “Term premium (10y) = ?”
- Back: “10y nominal yield MINUS the expected average level of short-term Treasury yields over the next 10 years. The residual that pure expectations theory cannot explain — the compensation investors demand for holding duration risk that expectati…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 10 years.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784289831967 — Item 4 — Magnitude / specific-number claim
- Front: “What does a negative term premium imply?”
- Back: “Investors accept LESS yield than pure expectations theory implies they'd require. Happens when safe-asset demand exceeds duration supply (QE-era dealer balance-sheet expansion, foreign reserve asset reallocation, regulatory forced duration…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2010.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784289832027 — Item 4 — Magnitude / specific-number claim
- Front: “When ACM and KW 10y term-premium estimates diverge by 50bp+, what does that tell you?”
- Back: “The curve has repriced faster than surveys updated (or vice versa). The model whose expected-rate-path assumption matches the marginal buyer's view will be closer to the true TP. Wedge widening is a regime-shift indicator: typically associ…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 50bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784289832077 — Item 4 — Magnitude / specific-number claim
- Front: “5y5y forward rate (nominal) = ?”
- Back: “The market-implied average short-term interest rate over the 5-year period starting 5 years from today. Computed as: ((1 + y10)^10 / (1 + y5)^5)^(1/5) − 1. Decomposes into: expected short rate in years 5-10 PLUS the 5y5y term premium.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 5 years.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784289832127 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Market-Fed LR wedge (5y5y forward minus dot plot long-run median) = ?”
- Back: “The gap between where the market prices the long-run short rate (years 5-10 average) and where the Fed's dot plot says it will settle. Positive wedge = market prices higher LR than the Fed signals (Fed dovish on its own LR path). Negative …”
- Issue (MED, Item 2 — Atomicity break): Definition, sign map, two trade directions, and PV sanity check are packed into a 170+ word answer.
- Recommended fix: Split wedge sign from receive/pay-fixed mechanics and from the PV explanation.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2026-07.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784289832144 — Item 4 — Magnitude / specific-number claim
- Front: “In the NY Fed ACM daily dataset, what do these columns represent: ACMY10, ACMTP10, ACMRNY10?”
- Back: “ACMY10 = ACM-fitted 10-year Treasury yield. ACMTP10 = 10y term premium (residual in %). ACMRNY10 = expected average level of short-term Treasury yields over the next 10 years (the 'expected path' leg). Identity: ACMY10 = ACMRNY10 + ACMTP10.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 10 years.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784289832177 — Item 4 — Magnitude / specific-number claim
- Front: “When the 10y nominal yield rises 30bp and ACMTP10 is unchanged, what happened?”
- Back: “ACMRNY10 rose 30bp — the entire move is attributable to the EXPECTED-RATE leg, not the term-premium leg. The market repriced its view of the future Fed path; duration supply/demand (TP) was unchanged. This is the canonical 'policy-channel'…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 30bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784631449067 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “What 3 conditions must all hold for ACM TP to qualify as 'extreme' (vs merely 'elevated') and warrant a fade-the-TP trade?”
- Back: “Three conditions, all three usually need to be present: (i) ACM TP > 95th percentile post-2010 = ~210bp (verified NY Fed monthly, 198 obs post-2010: 75th=63bp, 90th=147bp, 95th=210bp, 99th=253bp, max=257bp Feb 2010). (ii) Cross-asset confi…”
- Issue (MED, Item 2 — Atomicity break): Three gate conditions, full percentile table, interpretation, and sizing rule are bundled.
- Recommended fix: Use one gate card, one threshold card, and one sizing-not-gate card.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 95th percentile, 2010, 210bp, 63bp, 147bp, 253bp, 257bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- SOFR-OIS is repeatedly used as an outright/policy-transmission expression, inconsistent with the naming lock and corrected EFFR-SOFR diagnostics.

# BLOCK 021 — Pass 1 Audit Report

## Summary
- Cards surveyed: 1
- Flags: 0 HIGH, 1 MED, 0 LOW
- Cluster integrity: clean
- Surveyed note IDs: 1784465882317

## HIGH flags

- None.

## MED flags

### Card 1784465882317 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Levered-investor margin-call cascade: what is the mechanism, and how does it act as the accelerant in a TP expansion / curve repricing event?”
- Back: “Mechanism: levered-investor strategies (LDI pensions, basis trades, levered hedge funds) buy duration funded by short-term repo / derivatives. When asset prices fall (yields rise), the levered position suffers MTM losses, triggering margin…”
- Issue (MED, Item 2 — Atomicity break): A 200+ word answer bundles mechanism, accelerant, four cases, speed/magnitude, and central-bank response.
- Recommended fix: Split mechanism, speed signature, and case anchors into separate cards.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2-5x, 2018, 2020, 10 days, 2022, 250bp, 3 days, 2023, 50bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- No internal disagreement found against the reviewed vault substrate.

# BLOCK 022 — Pass 1 Audit Report

## Summary
- Cards surveyed: 8
- Flags: 0 HIGH, 6 MED, 0 LOW
- Cluster integrity: clean
- Surveyed note IDs: 1784631778917, 1784631778941, 1784631778967, 1784632327592, 1784633381092, 1784633381127, 1784633381143, 1784633381171

## HIGH flags

- None.

## MED flags

### Card 1784631778941 — Item 4 — Magnitude / specific-number claim
- Front: “Why do LDI pensions, insurers, and similar structural duration buyers contribute to NEGATIVE term premium?”
- Back: “Structural buyers (LDI pensions matching long-dated liabilities, insurers matching actuarial duration, foreign reserve managers, post-2009 bank regulatory forced duration buying) have inelastic demand for duration that EXCEEDS duration sup…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2009, 2010, -100bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784631778967 — Item 4 — Magnitude / specific-number claim
- Front: “What was the canonical post-2010 term-premium-extreme episode, and what does the data show?”
- Back: “2010-Q1 (post-QE1 unwind), not 2018 Q4. Verified NY Fed ACM monthly data: ACMTP10 = 253bp (Jan 2010) → 257bp peak (Feb 2010) → 253bp (Mar 2010) → 215bp (Dec 2010) → 242bp (Jan 2011). TP crossed 200bp+ multiple times across 2010-2011. The '…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2010, 2018, 253bp, 257bp, 215bp, 242bp, 2011, 200bp, 2010-2011, 210bp, -22bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784633381092 — Item 4 — Magnitude / specific-number claim
- Front: “TP is rising AND risk is ON (equities up, HY OAS tightening). What is the typical cause interpretation?”
- Back: “Duration supply/demand repricing, idiosyncratic. The TP move is being absorbed without broader market signaling fear — proof: equities up + HY tightening. Anchor: 2010-Q1 post-QE1 unwind (ACMTP10 rose from 100bp+ to 257bp peak Feb 2010 whi…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2010, 100bp, 257bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784633381127 — Item 4 — Magnitude / specific-number claim
- Front: “TP is rising AND risk is OFF (equities down, HY OAS widening). What is the typical cause interpretation?”
- Back: “Real regime signal: recession/fear, often with a levered-investor margin-call cascade. The TP expansion is being driven by forced selling + risk-off demand for safety — proof: equities down + HY widening. Anchor: March 2020 dash-for-cash (…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2020, -40bp, +60bp, -35%, +400bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784633381143 — Item 4 — Magnitude / specific-number claim
- Front: “TP is compressing AND risk is ON (equities up, HY OAS stable). What is the typical cause interpretation?”
- Back: “Background regime, normalization. Demand absorbing duration without yield compensation. Anchor: 2014-2019 post-QE era (ACMTP10 trended toward zero, equities up, low cross-asset vol). No signal, no action — but worth knowing it is the struc…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2014-2019.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1784633381171 — Item 4 — Magnitude / specific-number claim
- Front: “TP is compressing AND risk is OFF (equities down, HY OAS widening). What is the typical cause interpretation?”
- Back: “Flight-to-quality bid, structural duration demand. TP compression with risk-off = the FTQ flow is the dominant cross-asset move. Anchor: March 2020 early-March FTQ phase (TP compressed as Treasuries rallied into the crisis), or 2022 UK LDI…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2020, 2022.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- No internal disagreement found against the reviewed vault substrate.

# Block 000 / untagged — Pass 1 Audit Report

## Summary
- Cards surveyed: 30
- Flags: 7 HIGH, 16 MED, 0 LOW
- Cluster integrity: 2 disagreements
- Surveyed note IDs: 1782159679162, 1782159679186, 1782159679207, 1782159679229, 1782159679252, 1782159679290, 1782159679315, 1782159679336, 1782159679359, 1782248557179, 1782248557204, 1782248557255, 1782248557289, 1782248557312, 1782387710005, 1782387710031, 1782387710058, 1782387710079, 1782387710100, 1782387710130, 1782420776232, 1782420776259, 1782549551843, 1782550130854, 1782552503381, 1782552516010, 1782552516034, 1782552516056, 1782552864179, 1782818841968

## HIGH flags

### Card 1782159679162 — Items 6 & 8 — Vault/source and decomposition mismatch
- Front: “Decompose the 10y UST nominal yield into its three components.”
- Back: “10y nominal = 10y real yield + 10y breakeven inflation + term premium. Real yield: real borrowing cost (TIPS yield). Breakeven: market-implied avg inflation over 10y. Term premium: extra yield investors demand for holding duration risk (su…”
- Issue (HIGH, Items 6 & 8 — Vault/source and decomposition mismatch): It adds term premium on top of observed TIPS real yield plus breakeven, even though nominal = TIPS real yield + breakeven mechanically; Block 020 uses the separate expected-short-rate + TP decomposition.
- Recommended fix: Keep the two decompositions separate and do not double-count TP.

### Card 1782159679290 — Items 6 & 8 — Vault/source and decomposition mismatch
- Front: “What is the difference between the Fisher equation and the nominal yield decomposition used in markets?”
- Back: “Fisher (ex-ante, theoretical): nominal ≈ real + expected inflation. Market decomposition (empirical): nominal = real (TIPS) + breakeven (Fisher) + term premium. The term premium piece is the gap between Fisher and reality — it captures dur…”
- Issue (HIGH, Items 6 & 8 — Vault/source and decomposition mismatch): It again states market nominal = observed real + breakeven + term premium, double-counting TP relative to the observed-yield identity.
- Recommended fix: Rewrite as either Fisher/observed identity or expectations+TP decomposition, not a hybrid.

### Card 1782248557289 — Items 6 & 8 — Vault-source/cross-card disagreement; Item 4 — Magnitude / specific-number claim
- Front: “Taper Tantrum (May–June 2013): 2y rose 24bp, 5y 70bp, 10y 88bp, 30y 60bp. Per L-S PCA, what KIND of move is this dominantly — level, slope, or curvature? Why?”
- Back: “Dominantly PC1 (LEVEL) because ALL yields rose substantially (24-88bp). Secondary PC2 (slope) because the belly (10y) moved more than the wings (2y/30y), a steepening pattern. NOT primarily PC3 (curvature) — for curvature the wings must mo…”
- Issue (HIGH, Items 6 & 8 — Vault-source/cross-card disagreement): It says Taper Tantrum’s dominant driver was term-premium expansion, while note 1782387710100 and the competence map lock Fed-policy expectations as dominant.
- Recommended fix: Use the competence-map driver and retain TP only as the stated secondary contribution.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2013, 24bp, 70bp, 88bp, 60bp, 24-88bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782387710079 — Item 3 — Sign/direction error
- Front: “CFTC T-note positioning: dealer short + asset mgr long + speculators length as marginal buyer — asymmetry of next 10y move?”
- Back: “Dealers short (growing) = client demand flowing through, dealers hedging. Asset mgrs long = sticky real-money base. Marginal buyer = hedge fund / speculator length. Asymmetry: the LONG side is more fragile than dealer-short alone suggests.…”
- Issue (HIGH, Item 3 — Sign/direction error): It says dealer short covering amplifies a Treasury selloff, although covering a short requires buying and offsets the selloff; the same back later calls it a rally squeeze.
- Recommended fix: Separate speculator liquidation from dealer covering and assign each the correct price direction.

### Card 1782550130854 — Item 1 — Broken/empty card substrate
- Front: “”
- Back: “”
- Issue (HIGH, Item 1 — Broken/empty card substrate): The Image Occlusion note has occlusion coordinates but empty Image, Header, and Back Extra fields, so no card content is reviewable.
- Recommended fix: Restore the missing image or retire the broken note after user sign-off.

### Card 1782552516056 — Items 3 & 8 — Direction/internal inconsistency; Item 4 — Magnitude / specific-number claim
- Front: “For a view 'Fed pivots dovish within 6 months on labor-market slowdown', what 2s10s trade, and what regime-shift invalidates it?”
- Back: “Steepener: long 2y bond / short 10y bond (DV01-neutral). Dovish surprise -> 2y yields fall more than 10y (front-end more policy-sensitive) -> 2y rallies more -> trade profits. Regime-shift invalidation: if 10y yields fall MORE than 2y yiel…”
- Issue (HIGH, Items 3 & 8 — Direction/internal inconsistency): The invalidation case has both yields falling with 10y falling more, yet calls it PC3 “wings opposite to body” and says the trade bleeds on both legs; the long-2y leg would rally.
- Recommended fix: Remove the PC3 label unless an actual opposite-sign belly/wings move exists and restate leg P&L separately.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 6 months.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782818841968 — Items 3 & 6 — DV01/sign mechanics mismatch; Item 4 — Magnitude / specific-number claim
- Front: “In a 2s10s steepener (long 2y / short 10y, DV01-neutral) on an upward-sloping curve, what is the rolldown sign on EACH leg, and why is the net trade rolldown negative?”
- Back: “Long 2y leg: POSITIVE rolldown. As 2y becomes 1.75y, the yield on the now-1.75y point is LOWER (curve is rising toward 5y). Yield drops → price rises → long gains. Short 10y leg: NEGATIVE rolldown. As 10y becomes 9.75y, the yield on the no…”
- Issue (HIGH, Items 3 & 6 — DV01/sign mechanics mismatch): The card says the short-10y rolldown dominates because 10y duration is 4.5x, despite explicitly calling the trade DV01-neutral; face scaling is meant to neutralize that duration difference.
- Recommended fix: Recompute net carry/rolldown using matched DV01 and local curve slopes, not unscaled duration.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 4.5x, 2026-06.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## MED flags

### Card 1782159679186 — Item 4 — Magnitude / specific-number claim
- Front: “What is the empirical range of 10y UST term premium since 2008, and what's the total swing from pre-GFC peak to 2020 trough?”
- Back: “Range approximately −50bp (2020 trough) to +250bp (pre-GFC peak). Total swing ~300bp. Implication: term premium is mean-reverting around zero, has moved through a full standard deviation multiple times. The magnitude of the move is compara…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2008, 2020, −50bp, +250bp, 300bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782159679207 — Item 4 — Magnitude / specific-number claim
- Front: “Decompose 10y nominal yield swings since 2009: which component — breakeven inflation or term premium — has moved more, and why does the answer change the trader's primary read?”
- Back: “Term premium has moved more (~300bp swing from pre-GFC peak to 2020 trough). Breakeven has moved less (~150bp). Trader implication: nominal yield moves since 2009 are dominated by term premium dynamics, not by changes in inflation expectat…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2009, 300bp, 2020, 150bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782159679229 — Item 4 — Magnitude / specific-number claim
- Front: “If 10y nominal UST = 4.50% and 10y TIPS = 2.00%, what is the 10y breakeven inflation?”
- Back: “Breakeven = nominal − real = 4.50% − 2.00% = 2.50%.”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 4.50%, 2.00%, 2.50%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782159679252 — Item 4 — Magnitude / specific-number claim
- Front: “The 10y nominal yield drops from 4.50% to 4.00% (−50 bp). The 10y TIPS drops from 2.00% to 1.80% (−20 bp). Did the breakeven rise or fall, and by how much?”
- Back: “Breakeven FELL by 30 bp. Breakeven = nominal − real. Δ breakeven = Δ nominal − Δ real = −50 − (−20) = −30 bp. Trap: people intuit 'yields fell a lot so inflation expectations must have risen' — wrong, because nominal fell MORE than real, s…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 4.50%, 4.00%, −50 bp, 2.00%, 1.80%, −20 bp, 30 bp, −30 bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782159679315 — Item 4 — Magnitude / specific-number claim
- Front: “Is a parallel shift of +25 bp a duration bet or a curve bet? Is a 5s30s steepener a duration bet or a curve bet?”
- Back: “Parallel shift = DURATION bet (one number moves across the whole curve; DV01 is the exposure). 5s30s steepener = CURVE bet (two points on the curve move relative to each other; the spread — not the level — drives P&L). Why it matters: with…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): +25 bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782248557179 — Item 4 — Magnitude / specific-number claim
- Front: “Per Litterman-Scheinkman (1991), what fraction of yield-curve variance is explained by the single PC1 (level) factor? And by PC1+PC2+PC3 together?”
- Back: “PC1 (level) alone: ~85% of yield variance. PC1+PC2 (level + slope): ~95%. PC1+PC2+PC3 (level + slope + curvature): >99%. The implication: a buy-and-hold position on the 10y captures almost all available curve risk premia — adding curve tra…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 1991, 85%, 95%, 99%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782248557204 — Item 4 — Magnitude / specific-number claim
- Front: “What are the three common factors in Litterman-Scheinkman's PCA decomposition of yield-curve moves, and what does each represent?”
- Back: “PC1 = level (parallel shift in all yields, dominant factor ~85%). PC2 = slope (steepener/flattener — short-end and long-end move opposite). PC3 = curvature / butterfly (wings move opposite to belly — 2y/30y vs 10y). Almost all yield-curve …”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 85%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782248557255 — Item 4 — Magnitude / specific-number claim
- Front: “Why is a butterfly DV01-neutral, and where does its P&L come from mechanically?”
- Back: “DV01-neutral because the parallel-shift exposure nets to zero (typical 2x body / 1x wings weighting). P&L comes from *twists* in the curve, not level changes. A long butterfly expresses 'body maturity underpriced relative to wings' — colle…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2x, 1x.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782387710031 — Item 4 — Magnitude / specific-number claim
- Front: “Bernanke (2015) three explanations for low long-end yields — name them. Which does Bernanke argue is dominant?”
- Back: “(1) Secular stagnation (Summers) — low neutral real rate. (2) Global savings glut (Bernanke 2005) — savings chasing limited safe assets. (3) Lower term premium — compression of excess yield for holding duration. Bernanke's 2015 argument: T…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2015, 2005, 2010-2015.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782387710100 — Item 4 — Magnitude / specific-number claim
- Front: “Taper Tantrum (May-Jun 2013) curve path: 2y +24bp, 5y +70bp, 10y +88bp, 30y +60bp. L-S decomposition and dominant driver?”
- Back: “L-S decomposition: dominantly PC1 (level, all tenors +24 to +88bp), secondary PC2 (slope, long-end +60-88bp vs front-end +24bp), essentially no PC3. Dominant driver: Fed-policy EXPECTATIONS repricing (taper = earlier exit, delayed liftoff)…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2013, +24bp, +70bp, +88bp, +60bp, +60-88bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782387710130 — Item 2 — Atomicity break; Item 4 — Magnitude / specific-number claim
- Front: “Taper Tantrum trade: 10y rich vs 30y on cyclical vs secular Fed uncertainty — what instrument? Two-trigger rule? Invalidation?”
- Back: “INSTRUMENT: 10s30s flattener (short 10y, long 30y, DV01-neutral). NOT a butterfly (Taper Tantrum was PC1/PC2, no PC3 to trade). Thesis: 10y richly priced on cyclical Fed uncertainty vs 30y's secular anchor. Two-trigger rule: Trigger 1 = po…”
- Issue (MED, Item 2 — Atomicity break): Instrument, thesis, two triggers, invalidation, and tail scenario are bundled.
- Recommended fix: Split construction, trigger gate, and invalidation into separate recall paths.
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2010.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782420776232 — Item 4 — Magnitude / specific-number claim
- Front: “Bernanke 2015 'Why Are Interest Rates So Low?' — which of the three standard explanations does he argue is dominant for the 2010-2015 long-end yield compression: (a) secular stagnation, (b) global savings glut, or (c) term premium compress…”
- Back: “(c) Term premium compression. Per Bernanke, term premium compressed from ~+250bp pre-GFC to ~-50bp by 2014-2015 — that compression explains the bulk of the long-end yield decline. Drivers: low perceived long-term inflation risk + Fed QE di…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 2015, 2010-2015, +250bp, -50bp, 2014-2015, 2005.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782420776259 — Item 4 — Magnitude / specific-number claim
- Front: “Taper Tantrum curve decomposition (2y +24bp / 5y +70bp / 10y +88bp / 30y +60bp) — which PCs are nonzero, and which instrument trades this pattern?”
- Back: “PC1 dominant (level shift, all yields rose 24-88bp) + PC2 secondary (slope, belly +70/+88bp moved more than wings +24/+60bp). PC3 = ZERO (wings same direction as belly). Trade instrument: 10s30s FLATTENER (DV01-neutral), NOT butterfly. But…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): +24bp, +70bp, +88bp, +60bp, 24-88bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782552503381 — Item 4 — Magnitude / specific-number claim
- Front: “Is the on-the-run 10y US Treasury bond a zero-coupon bond? What does it actually pay?”
- Back: “No. T-Notes (2/3/5/7/10y) and T-Bonds (30y) pay semi-annual coupons. The 10y currently pays ~4.25% coupon semi-annually. Zero-coupon Treasury exposure is via STRIPS, not the on-the-run deliverable. (Trap from Block 008 — calling the 10y ze…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 4.25%.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782552516010 — Item 4 — Magnitude / specific-number claim
- Front: “On the same upward-sloping curve, the carry-and-rolldown profile of a 2s10s steepener vs a 2s10s flattener (both DV01-neutral) — and what does the asymmetry imply for trade selection?”
- Back: “Steepener: ~-13bp/quarter on unchanged curve (paying for the trade, needs the view to land). Flattener: ~+13bp/quarter on unchanged curve (market pays you, view is mean-reversion). Asymmetry: steepener = high-conviction asymmetric long-vol…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): -13bp, +13bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

### Card 1782552516034 — Item 4 — Magnitude / specific-number claim
- Front: “For a 2s10s DV01-neutral trade, what's the rough face-value ratio of the 2y leg to the 10y leg, and why isn't it the yield ratio?”
- Back: “Face(2y)/Face(10y) ~= duration(10y)/duration(2y). With mod-dur 2y ~= 1.9y and 10y ~= 8.5y, the ratio is roughly 4.5x — the 2y leg is LARGER in face terms. The yield ratio (4.51/4.24 ~= 1.06) has nothing to do with DV01; DV01 = modified dur…”
- Issue (MED, Item 4 — Magnitude / specific-number claim): Pass-2 trigger(s): 4.5x, 1bp.
- Recommended fix: Verify the exact figures/dates against the appropriate canonical series/source in Pass 2; keep only durable anchors.

## LOW flags (nits)

- None.

## Cross-block consistency notes

- Taper Tantrum driver conflict: 1782248557289 says term premium dominant; 1782387710100 and competence map say policy expectations dominant.
- Observed-yield decomposition cards 1782159679162/9290 conflict with Block 020’s expectations+TP decomposition by double-counting TP.