Auction concession, pre-FOMC drift, swap-spread dislocation and curve carry include identities that were not observable as pre-registered.
Rates research here concerns mechanisms with a scheduled cause: an auction that must be absorbed, a policy meeting that must be priced, or a swap that must be funded against a deliverable. A known timetable prevents the event date from being discovered after the result.
That advantage is smaller than it looks, because the timetable itself has a history and the history is often reconstructed. A calendar that is scraped today reflects revisions, cancellations and re-scheduling that were not known at the time, and a study anchored on it is anchored on a document that did not exist when the trade would have been placed. Auditing the provenance of the schedule turned out to be a larger piece of work than testing the effect, and it is published in that order.
The treasury auction concession identity is the clearest result in this cluster and it is a negative one: it is not observable as it was pre-registered. That verdict is published in full rather than replaced by a version of the identity that happens to be measurable, because a specification adjusted until it fits the available data is no longer a pre-registration.
The pre-FOMC announcement drift is at the opposite stage. Its universe, window and pass criteria were pre-registered, and its data readiness was audited separately. Curve carry has been tested and killed. The open swap-spread work remains labeled open because the free constant-maturity series was discontinued and the modern curve is licensed.
The rates and treasuries documents
- Author review for approval-gated research protocolsThe merger-announcement and Treasury-auction redesigns have passed their no-return structural tests, but software cannot decide that Arhan understands or…
- Economic-Trend Sleeve, macro-fundamental trend (campaign): a killed candidateTrend on first-release macro vintages (payrolls, CPI, IP, credit spreads, yields, dollar) driving the 17-ETF basket by a pre-committed economic sign matrix.
- Inflation breakeven relative value; literature and claim boundaryBreakeven inflation is the spread between comparable nominal Treasury and inflation-indexed Treasury yields. The literature forbids three flattering shortcuts.
- Point-in-time cash and collateral financing replayAlphaForge can now accrue explicit cash-credit, margin-debit, and short-collateral rates inside the event-driven backtester. This is engineering evidence, not…
- Pre-FOMC announcement drift; no-return feasibility protocolCan the scheduled FOMC decision calendar and exact statement-release clock be reconstructed from official Federal Reserve sources without using market prices…
- PRE-REGISTRATION; post-publication pre-FOMC announcement driftDeclared 2026-08-16 after official schedule-lineage PASS and before opening any market return associated with this identity. A negative result is not inverted.
- Rates-Curve Carry (campaign): a killed candidateRobustly NEGATIVE, not fragile-positive: the signal points the wrong way; steepest curves preceded the worst duration drawdowns (2022). Real decorrelation…
- Treasury auction concession; no-return feasibility protocolThis stage reads only official US Treasury auction metadata. It does not load prices, calculate returns, select an entry window, or spend a return identity.
- Treasury auction concession; published-identity timing auditThe official event manifest passed its metadata gates, but the primary paper's tradable identity starts ten trading days before a 2-year note auction.
- Treasury auction concession: point-in-time schedule state machineThe original literature identity enters a relative-value position ten XNYS sessions before each fixed-rate 2-year Treasury auction, reverses after the…