σ is modified duration × the 60-month rolling volatility of monthly par-yield changes, scaled by √h; excess ÷ σ is the conditional Sharpe ratio. Cushion is expected excess ÷ modified duration: the parallel yield rise, in bp, that would erase it. Δ columns are changes in expected excess. Coupons received are held as cash, not reinvested, which understates 12-month figures by roughly 5 bp at current short rates.
The rate-gap term averages, with equal weights, the 10-year zero yield minus trend inflation τ (EWMA of core CPI yoy, ν = 0.987) and each tenor's own zero yield minus current core CPI yoy π.