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" Seminar slides — 13 slides, full screenHow 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.