Polish sovereign bond total-return decomposition
Seven-component CC + RP + RD + ERC + TPC + Cnvx + Res framework applied to the BondSpot fixings panel and to the published Treasury BondSpot Poland (TBSP) index. Panel → . bonds in the universe.
Underlying paper: Dec, M. (2026). Does the term premium pay for the duration? Evidence from Polish sovereigns. Research Square preprint v1, 1 June 2026. doi:10.21203/rs.3.rs-9849665/v1
Read the short — "The Polish duration trade pays over cash, except in the 2022 storm"How to read this page (methodology and glossary)
Every row is one Polish Treasury bond. We hold one unit of the bond (per 100 face) and a cumulative cash pool that absorbs every coupon we receive and earns the daily NBP reference rate. The portfolio value is Vt = Pdirty + cash pool. The quarterly log-return r = log(Vte/Vt) is decomposed into seven economically interpretable components, plus a separate one-time bid-ask drag charged once at investment inception and once at exit.
Component glossary (all numbers in basis points)
| CC | Coupon accrual. Daily yield income earned via accrued interest. Smooth across quarters at roughly c · Δt. |
| RP | Reinvestment proceeds. NBP interest on the entire cumulative cash pool plus the within-quarter NBP roll of any coupon received this quarter. Grows over time as the cash pool grows. |
| RD | Roll-down. Clean-price change from holding the bond as it ages along the unchanged NSS curve at date t. |
| ERC | Expected-rate change. First-order P&L from the change in the ACM expected short-rate path between t and t+Δ. |
| TPC | Term-premium change. First-order P&L from the change in the Bauer-Rudebusch-Wu-corrected ACM term premium between t and t+Δ. |
| Cnvx | Convexity. Second-order correction in (Δy)2. |
| Res | Residual. Bond cheapness or richness against the NSS curve and any higher-order Taylor terms. Closes the identity exactly. |
| BAD | Bid-ask drag. Half-spread at inception plus half-spread at exit, on the bond only (one-time round-trip). |
| r_mm | Mid-mid total return. Equals the sum of the seven components above. |
| r_ab | Ask-bid total return. Equals r_mm minus BAD. |
What each tab shows at the slider date D
Last quarter. The single calendar quarter ending at D for every bond with a BondSpot fixing on D. Components are exactly that quarter's contributions (cash pool taken as zero at quarter start in this isolated view). Click a row to see the bond's daily fixing YTM path inside the quarter and the seven-bar waterfall.
Lifetime. The full calendar-quarter walk from each bond's first quarter to the slider date D, with the cumulative cash pool threaded across quarters as in the paper. Click a row to see the bond's YTM history up to D, the lifetime waterfall and the cumulative stacked time series of component contributions.