1% ============================================================================2\begin{appendices}3% ============================================================================45\section{Pre-registered design, review, and changes}6\label{app:design}78The analysis plan (research question, data, construction, hypotheses H1--H5, inference, outputs and the re-scoping rule) was written9and frozen in the project repository (tag \texttt{design-frozen}) before any intraday result was computed. The daily factors and the10out-of-sample fidelity of the mimicking portfolios (H1) were, by construction, the first results inspected. A referee-style review of11the frozen design was then obtained before the event-study, periodicity, covariation and forecasting results were examined. The review12and the point-by-point response are archived with the code. The changes made to the plan are the following.1314\begin{enumerate}15 \item \emph{Short-end coverage (after H1, prompted by the review).} The CMT target with eleven maturities remains primary, as planned.16 Because the slope and curvature fidelity fell short of the H1 thresholds, we added (i) the cash-yield ceiling---the same rolling17 regressions with the 2-, 5-, 10- and 30-year cash yield changes as regressors---to separate the bill segment from the futures basis;18 (ii) two alternative targets, the GSW zero curve (1--30 years) and CMT factors from maturities of one year and above; (iii) the19 front three-month SOFR future as a seventh instrument from 2022. A fourth target, CMT factors from maturities of two years and20 above, was tested and discarded because with $\lambda$ fixed the slope and curvature are poorly identified from seven points21 (daily-change standard deviations of 15.5 and 28 basis points and a correlation of $-0.75$).22 \item \emph{Minute-level validation (review).} The plan's fidelity test compares daily objects. Two minute-level checks were added:23 an independent construction of the factors from Treasury ETFs by duration inversion and loading regression, with no daily step,24 and a leave-one-contract-out spanning test of the futures returns at one-, five- and thirty-minute sampling.25 \item \emph{Sampling frequency (review).} Five-minute sampling is used for the main covariation and forecasting results; one-minute26 measures are reported as a signature. The tick-size noise benchmark for the level--slope correlation was added.27 \item \emph{Event windows (review).} Placebo windows at the same clock time on matched non-announcement days replace the uniform28 30/1380 benchmark as the main comparison; the benchmark is still reported. Windows of $[-5,+15]$ and $[-5,+90]$ minutes were added for29 FOMC statements, the second to cover the press conference. Confidence intervals resample events rather than days.30 \item \emph{Multiple testing (review).} The nine Diebold--Mariano comparisons of HAR against GARCH are reported with a Holm adjustment.31 \item \emph{Coverage facts.} The plan stated five contracts for 2008--2015; the correct count is four in 2008--2009 (the ultra bond32 starts in 2010) and five from 2010 to 2015. The plan's forecasting section said weights were re-estimated monthly; the weights are33 re-estimated quarterly throughout and the forecasting models monthly.34 \item \emph{Contract inclusion rule (after the first complete draft).} The first draft kept a contract in a quarter's regression if35 it had at least 300 minute returns on 95 percent of the window's days. Applied to the vendor's continuous series, whose bars are36 sparse around rolls, the rule excluded the 2-year note, the ultra 10-year and the ultra bond and left three contracts. The rule37 was relaxed to 100 minutes on 85 percent of days and all results were recomputed.38 \item \emph{Return panel rebuilt from individual contracts (after three referee-style reviews of the first draft).} The reviews39 showed that the vendor's continuous series dropped a third of the 08:30 releases in roll months since 2018 and that the cumulated40 minute series was not the object validated by H1. The panel was rebuilt from the bars of every individual contract, using the41 most-traded contract of each session (Section~\ref{sec:data-futures}); the fidelity of the cumulated minute series itself and of42 the implied yields was added (Section~\ref{sec:results-fidelity}); the short rate was dropped from the headline results because the43 futures do not identify it; the local projections, the five-minute VAR and the volatility connectedness analysis were added;44 and every claim flagged by the reviews as unsupported or inconsistent with the metric files was either computed and documented45 (boundary shift, expanding window, five-minute denominators, release-time check, SOFR liquidity, bounce filter counts, in-sample46 weights) or removed. H5 is now reported separately under QLIKE and MSE.47\end{enumerate}4849Not implemented from the reviews: a regression of FOMC-window factor changes on a published monetary-policy surprise series50(the mapping to the target and path factors in Section~\ref{sec:results} is qualitative); Giacomini--White tests and model51confidence sets; noise-robust covariance estimators; historical tick-size changes in the noise benchmark. The design review,52the three referee reports and the point-by-point responses are archived with the code.5354\section{Data availability and reproducibility}55\label{app:data}5657The one-minute futures and ETF bars are licensed from FirstRate Data for private use and cannot be redistributed; all bar-level58computations run on a single machine and only aggregates (daily factor changes, realized measures, event-window sums, forecast59losses, figure data) leave it. The public inputs---FRED H.15 constant-maturity yields and the effective federal funds rate, the60Federal Reserve Board's GSW parameter file, the FOMC calendars and the ALFRED release-date lists---were downloaded on 9 November612026 and are stored with the code. The code (Python 3.12; numpy, pandas, polars, scipy, statsmodels, arch) regenerates every62table, figure and number in this paper from the metric files, and the pre-registered design, the design review, the three63referee reports and the responses are archived in the same repository. A researcher with access to the same vendor data can64rerun the pipeline end to end in under fifteen minutes on an Apple Silicon workstation.6566\section{Additional tables}67\label{app:tables}6869\input{tables/tab_weights}70\input{tables/tab_spanning}71\input{tables/tab_etf}7273\end{appendices}74