{
  "accepted_actions": 0,
  "actions_summary": "FAILED before submission: zero accepted actions and zero settled days.",
  "as_of": "2027-09-02",
  "client": {
    "delivered": "990009000",
    "inherited": true,
    "legal_form": "issued_security_pledge",
    "party": "Brackenford Trade Bank [FUND_01 series 1]"
  },
  "cost": {
    "charge": "36.84427500",
    "reason": "request_timeout"
  },
  "cost_summary": "18 completed calls total $7.522275 in conservative usage charges. One unresolved call retains a $29.322 reserve. Total episode liability is $36.844275; this is not an invoice.",
  "day": 0,
  "deals": [
    {
      "amount": "990009000",
      "amount_label": "Notional / principal",
      "execution_date": "2027-06-05",
      "id": "DEP_LOAN",
      "maturity_date": "2032-06-05",
      "name": "Client deployment loan",
      "party": "Brackenford Trade Bank [FUND_01 series 1]",
      "status": "active",
      "terms": {
        "borrower_id": "BORROWER",
        "coupon_spread": "0.0455411592",
        "notional": "990009000",
        "ois": "0.0356420304",
        "principal": "990009000",
        "quarter": "0.25",
        "security_contract_id": "DEP_SECURITY"
      }
    },
    {
      "amount": "990009000",
      "amount_label": "Collateral market value",
      "execution_date": "2027-06-05",
      "id": "DEP_SECURITY",
      "maturity_date": "2032-06-05",
      "name": "Issued-security pledge",
      "party": "Brackenford Trade Bank [FUND_01 series 1]",
      "status": "active",
      "terms": {
        "asset_id": "DEPSEC",
        "borrower_id": "BORROWER",
        "collateral_issuer_id": "CELADON",
        "collateral_relation": "independent",
        "contract_id": "DEP_SECURITY",
        "coupon_spread": "0.0455411592",
        "currency": "USD",
        "enforceability": "effective",
        "face_per_unit": "1",
        "facility": {
          "cash_account_id": "CASH_BRANCH",
          "lender_id": "FACILITY_LENDER",
          "limit": "257402340",
          "spread": "0.0108903245",
          "unconditional_by_selected_cutoff": true
        },
        "initial_operating_cash": "123751125",
        "issued": true,
        "legal_form": "issued_security_pledge",
        "market_funding_spread": "0.0108903245",
        "market_haircut": "0.08910333",
        "opening_total_cash": "123751125",
        "operating_call": "17820162",
        "ownership_basis": "pledge",
        "quantity": "990009000",
        "restricted_cash": "0",
        "return_obligation": "identical",
        "reuse_permitted": false,
        "scope": "actual_daily_book",
        "source_evidence": [
          {
            "file": "worker/legal-terms.txt",
            "locator": "actual-deployment-terms"
          },
          {
            "file": "worker/docs/desk-runtime-contract.md",
            "locator": "## Clock and settlement order"
          }
        ]
      }
    },
    {
      "amount": "257402340",
      "amount_label": "Committed limit",
      "execution_date": "2027-06-05",
      "id": "FACILITY",
      "maturity_date": "2047-06-05",
      "name": "Committed cash facility",
      "party": "Ternwell Liquidity Bank [FUND_01 series 1]",
      "status": "active",
      "terms": {
        "cash_account_id": "CASH_BRANCH",
        "day_count": "ACT/365F",
        "fee": "0",
        "initial_own_bond_spread": "0.0064352412",
        "lender_id": "FACILITY_LENDER",
        "limit": "257402340",
        "ois": "0.0356420304",
        "spread": "0.0108903245",
        "unconditional_by_selected_cutoff": true,
        "year_days": "365"
      }
    },
    {
      "amount": "990009000",
      "amount_label": "Notional / principal",
      "execution_date": "2027-06-05",
      "id": "FUND_TRS",
      "maturity_date": "2047-06-05",
      "name": "Funding total-return swap",
      "party": "Alderwick Funding Trust [FUND_01 series 1]",
      "status": "active",
      "terms": {
        "NICA": "0",
        "SA_CVA_approval": false,
        "classification_evidence": {
          "file": "docs/exhibit-fields.md",
          "locator": "fictional-classification"
        },
        "contract_id": "FUND_TRS",
        "currency": "USD",
        "full_value_reset": false,
        "last_reset_price": "1",
        "locked_financing_spread": "0.0069303218",
        "minimum_transfer_amount": "0",
        "mpor_floor": {
          "illiquid_or_hard_to_replace": true,
          "non_centrally_cleared": true,
          "over_5000_transactions": false,
          "remargin_interval_days": "1",
          "repeated_disputes": false,
          "source_evidence": {
            "file": "docs/reference-input-contract.md",
            "locator": "mpor-floor-facts"
          }
        },
        "netting_set_id": "FUNDING_P",
        "next_price_settlement_years": "0.25",
        "notional": "990009000",
        "ois": "0.0356420304",
        "ordinary_BA_maturity_floor_applies": true,
        "original_reference_rating": "AAA",
        "provider_ECRA_rating": "A",
        "provider_bank_eligible": true,
        "provider_credit_quality": "IG",
        "provider_due_diligence_uplift": false,
        "provider_id": "P",
        "provider_recovery": "0.4",
        "provider_sector": "financial",
        "quantity": "990009000",
        "quarter": "0.25",
        "ratings_permitted": true,
        "reference_coupon_spread": "0.009900578",
        "reference_evidence": {
          "file": "docs/exhibit-fields.md",
          "locator": "fictional-executed-agreements"
        },
        "reference_id": "U",
        "reference_issuer_kind": "other",
        "reference_price_basis": "USD per unit of original principal; final ex-distribution price zero",
        "regulatory_classification": "Credit-only SA-CCR plus LEV30 written credit under fictional classification letter; failed-sale IFRS retention reconciled separately",
        "remaining_years": "20",
        "replacement_quote": {
          "closeout_basis": "Full financing and return obligations under matched replacement terms, no own-spread-linked termination payment",
          "contract_id": "FUND_TRS",
          "conversion": "remaining_quarterly_annuity",
          "conversion_rate": "0.0356420304",
          "currency": "USD",
          "executable": true,
          "id": "SYN-REPL-FUND-FUND_01-S1",
          "includes_old_reference_adjustment": false,
          "locked_financing_spread": "0.0069303218",
          "notional": "990009000",
          "off_quarter_convention": "fractional_remaining_annuity_clean_quote",
          "old_reference_adjustment_upfront": "0",
          "provider_id": "P",
          "quantity": "990009000",
          "quarter": "0.25",
          "quote_basis": "reset_to_today",
          "quoted_at": "2027-06-05",
          "quoted_base_financing_spread": "0.009900825",
          "reference_id": "U",
          "remaining_years": "20",
          "reset_basis": "Quarterly reference-price return settlement; future financing advantage survives",
          "reset_price_convention": "Current reference price; old reference-price return is excluded from quoted margin",
          "roll_convention": "Same surviving contract, remaining maturity rolls down without renewal; margin beta applies only to stated synthetic parallel scenarios",
          "scenario_margin_beta": "1",
          "source_evidence": {
            "file": "docs/exhibit-fields.md",
            "locator": "fictional-quote-board"
          },
          "status": "Fictional binding quote convention for this educational instance, not an observed market quote"
        },
        "reset_basis": "Quarterly reference-price return settlement; future financing advantage survives",
        "stub": "0",
        "threshold": "0"
      }
    },
    {
      "amount": "990009000",
      "amount_label": "Notional / principal",
      "execution_date": "2027-06-05",
      "id": "LEGACY",
      "maturity_date": "2047-06-05",
      "name": "Legacy funding debt",
      "party": "Desk position",
      "status": "active",
      "terms": {
        "day_count": "ACT/365F",
        "ois": "0.0356420304",
        "principal": "990009000",
        "quarter": "0.25",
        "spread": "0"
      }
    },
    {
      "amount": "118801080",
      "amount_label": "Notional / principal",
      "execution_date": "2027-06-05",
      "id": "inventory:L1",
      "maturity_date": "2032-06-05",
      "name": "Inventory security L1",
      "party": "Desk position",
      "status": "active",
      "terms": {
        "coupon_spread": "0",
        "day_count": "quarter_actual_fraction",
        "instrument_id": "L1",
        "lot_id": "L1",
        "ois": "0.0356420304",
        "principal": "118801080",
        "quarter": "0.25"
      }
    },
    {
      "amount": "108900990",
      "amount_label": "Notional / principal",
      "execution_date": "2027-06-05",
      "id": "inventory:L2",
      "maturity_date": "2032-06-05",
      "name": "Inventory security L2",
      "party": "Desk position",
      "status": "active",
      "terms": {
        "coupon_spread": "0",
        "day_count": "quarter_actual_fraction",
        "instrument_id": "L2",
        "lot_id": "L2",
        "ois": "0.0356420304",
        "principal": "108900990",
        "quarter": "0.25"
      }
    }
  ],
  "documents": [
    {
      "name": "CURRENT_INPUTS.json",
      "sha256": "76856db6f8f135b7fc21ec86623f24a6aaa37040808ffb6cfe233edda6e05722",
      "text": "{\"case\":{\"agreements\":[{\"agreement_id\":\"SALE_U\",\"closeout\":{\"currency\":\"USD\",\"dispute_process\":\"Morrow & Vale documented independent quote process; disputed claims survive maturity until settled\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-executed-agreements\"}],\"setoff\":false,\"stay_business_days\":0,\"valuation_basis\":\"principal_and_accrued_interest\"},\"effectiveness\":{\"conditions\":[{\"assessed_at\":\"2027-06-05T12:00:00Z\",\"condition_id\":\"SALE_U_AUTH\",\"description\":\"Required parties and authority confirmed\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-opinions\"}],\"status\":\"satisfied\"}],\"effective_at\":\"2027-06-05T12:00:00Z\",\"status\":\"effective\"},\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-executed-agreements\"}],\"execution\":{\"authority_evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-opinions\"}],\"executed_at\":\"2027-06-05T12:00:00Z\",\"signatory_party_ids\":[\"MERIDIAN\",\"P\"],\"status\":\"executed\"},\"governing_laws\":[\"Fictional Commonwealth of Orivale / series 1 / Meridia fictional-law division\"],\"kind\":\"asset_sale\",\"opinion_ids\":[\"OP_CORE\"],\"party_ids\":[\"MERIDIAN\",\"P\"],\"principal_terms\":\"sale_consideration\",\"settlement\":{\"calendar_id\":\"CAL\",\"currency\":\"USD\",\"cutoff_utc\":\"12:00:00\",\"delivery_versus_payment\":true,\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-executed-agreements\"}],\"lag_business_days\":0},\"termination\":{\"early_termination_events\":[\"default\",\"nonpayment\",\"illegality\",\"mutual_consent\"],\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-executed-agreements\"}],\"final_maturity\":\"2047-06-05\",\"full_settlement_required\":true,\"unilateral_extension\":false},\"terms\":{\"buyer_id\":\"P\",\"cash_event_id\":\"CF_SALE\",\"instrument_id\":\"U\",\"kind\":\"asset_sale\",\"quantity\":\"990009000\",\"repurchase_obligation\":\"none\",\"sale_price_per_unit\":\"1\",\"seller_id\":\"MERIDIAN\",\"title_event_id\":\"TITLE_SALE\"},\"trade_ids\":[]},{\"agreement_id\":\"FUND_TRS\",\"closeout\":{\"currency\":\"USD\",\"dispute_process\":\"Morrow & Vale documented independent quote process; 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no full future-value reset; dual class remains a named countercase\",\"primary_risk_class\":\"credit\",\"ratings_permitted\":true,\"regulatory_unit\":\"legal_TRS_SA_CCR_with_separate_retained_asset_bridge\",\"trade_id\":\"FUND_TRS\",\"written_credit_notional_treatment\":\"Full legal written-credit notional, explicit LEV30.35 exclusion election only for same notional PFE population\"},\"day_one_policy\":{\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-accounting\"}],\"management_deferral_basis\":\"frozen_initial_annuity\",\"release_triggers\":[\"priced_time\",\"independent_observability\"],\"spread_tightening_is_release_trigger\":false,\"statutory_unit_assessed_first\":true},\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-classification\"},{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-accounting\"}],\"historical_journal\":[{\"entry_id\":\"OPENING\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-ledgers\"}],\"lines\":[{\"account\":\"U\",\"amount\":\"990009000\",\"side\":\"debit\"},{\"account\":\"cash\",\"amount\":\"123751125\",\"side\":\"debit\"},{\"account\":\"legacy_debt\",\"amount\":\"990009000\",\"side\":\"credit\"},{\"account\":\"equity\",\"amount\":\"123751125\",\"side\":\"credit\"}],\"posted_at\":\"2027-06-05T11:59:00Z\",\"purpose\":\"Observed pretransaction opening statutory balances\",\"snapshot_id\":\"BASE_CASH\"}],\"numerical_annex\":{\"file\":\"fixtures/numerical-inputs.json\",\"pointer\":\"/regulatory\"},\"observability\":[{\"assessment_at\":\"2027-06-05\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-quote-board\"}],\"input_id\":\"AAA_MARK\",\"observable\":false,\"significant\":true,\"unit_id\":\"FAILED_SALE_UNIT\"}],\"party_id\":\"MERIDIAN\",\"reserve_policy\":{\"cash_borrowing_source\":\"settled_cash_deficits_only\",\"conditional_prefunding\":{\"file\":\"fixtures/numerical-inputs.json\",\"pointer\":\"/conditional_reserve_facility\"},\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-accounting\"},{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-ledgers\"}],\"expected_theta_in_PnL_once\":true,\"remeasurement\":\"daily\",\"separate_funding_drag_line\":true,\"terminal_requires_all_obligations_settled\":true}},\"base_currency\":\"USD\",\"book\":{\"TRS_has_no_principal_exchange\":true,\"bank_id\":\"MERIDIAN\",\"borrower_id\":\"BORROWER\",\"cash_funding_policy\":\"actual_cash_deficit_not_noncash_reserve\",\"deployment_agreement_id\":\"DEP_LOAN\",\"deployment_maturity_date\":\"2032-06-05\",\"deployment_start_date\":\"2027-06-05\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-executed-agreements\"}],\"funding_agreement_id\":\"FUND_TRS\",\"funding_maturity_date\":\"2047-06-05\",\"funding_principal_source\":\"identified_asset_sale\",\"funding_start_date\":\"2027-06-05\",\"notional\":{\"file\":\"fixtures/numerical-inputs.json\",\"pointer\":\"/notional\"},\"provider_id\":\"P\",\"reference_id\":\"U\",\"reference_quantity\":{\"file\":\"fixtures/numerical-inputs.json\",\"pointer\":\"/funding_contract/quantity\"},\"sale_agreement_id\":\"SALE_U\",\"year5_reinvestment\":\"OIS_cash\"},\"collateral\":[{\"asset\":{\"instrument_id\":\"AAA_SUB\",\"kind\":\"issued_security\",\"liquidity\":{\"daily_capacity_units\":\"990009000\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-security-rights\"}],\"market_haircut\":\"0.08910333\",\"market_id\":\"AAA_SUB_MARKET\",\"repo_settlement_business_days\":1,\"repo_spread\":\"0.0108903245\",\"sale_fee\":\"0\",\"sale_settlement_business_days\":1},\"price_quote_ids\":[\"Q_AAA_SUB\"],\"quantity\":\"990009000\"},\"collateral_id\":\"COLL_AAA\",\"eligibility_attributes\":{\"book\":\"banking\",\"contract_accepted\":true,\"correlation\":{\"as_of\":\"2027-06-05\",\"assessment_basis\":\"Explicit legal identity, control and conditional-state due diligence; independent funding or closure event is separate\",\"common_control\":false,\"counterparty_id\":\"BORROWER\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-collateral-assessments\"}],\"issuer_id\":\"ALPINE\",\"material_positive_correlation\":false,\"same_issuer\":false},\"enforceable\":true,\"framework\":\"comprehensive\",\"issue_rating\":{\"agency\":\"Fictional Atlas Ratings\",\"agency_eligible\":true,\"as_of\":\"2027-06-05\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-instrument-register\"}],\"grade\":\"AAA\",\"implicit_support_excluded\":true,\"scope\":\"issue\",\"status\":\"rated\"},\"issued\":true,\"issuer_kind\":\"bank\",\"market_liquid\":true,\"perfected\":true,\"ratings_permitted\":true,\"residual_years\":\"5\",\"rule_evidence\":[{\"document_id\":\"CAPITAL_RULES\",\"locator\":\"collateral_eligibility\"}],\"same_currency\":true},\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-collateral-assessments\"}],\"purpose\":\"action_inventory\",\"rights\":{\"custodian_id\":\"CLEARVAULT\",\"custody_account_id\":\"CUST_AAA\",\"custody_jurisdiction\":\"Fictional Commonwealth of Orivale / series 1 / Meridia fictional-law division\",\"enforcement_business_days\":0,\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-security-rights\"}],\"opinion_ids\":[\"OP_CORE\"],\"owner_id\":\"BORROWER\",\"ownership_basis\":\"pledge\",\"priority\":\"first_ranking\",\"provider_id\":\"BORROWER\",\"reuse_conditions\":[],\"reuse_right\":\"prohibited\",\"secured_party_id\":\"MERIDIAN\",\"security_agreement_id\":\"AAA_SECURITY\",\"segregated\":true,\"withdrawal_right\":\"prohibited\"},\"secured_trade_ids\":[\"LOAN\"],\"title_event_ids\":[\"TITLE_AAA\"]},{\"asset\":{\"instrument_id\":\"DEPSEC\",\"kind\":\"issued_security\",\"liquidity\":{\"daily_capacity_units\":\"990009000\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-security-rights\"}],\"market_haircut\":\"0.08910333\",\"market_id\":\"CE_MARKET\",\"repo_settlement_business_days\":1,\"repo_spread\":\"0.0108903245\",\"sale_fee\":\"0\",\"sale_settlement_business_days\":1},\"price_quote_ids\":[\"Q_DEPSEC\"],\"quantity\":\"990009000\"},\"collateral_id\":\"COLL_DEP\",\"eligibility_attributes\":{\"book\":\"banking\",\"contract_accepted\":true,\"correlation\":{\"as_of\":\"2027-06-05\",\"assessment_basis\":\"Explicit legal identity, control and conditional-state due diligence; independent funding or closure event is separate\",\"common_control\":false,\"counterparty_id\":\"BORROWER\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-collateral-assessments\"}],\"issuer_id\":\"CELADON\",\"material_positive_correlation\":false,\"same_issuer\":false},\"enforceable\":true,\"framework\":\"comprehensive\",\"issue_rating\":{\"agency\":\"Fictional Atlas Ratings\",\"agency_eligible\":true,\"as_of\":\"2027-06-05\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-instrument-register\"}],\"grade\":\"BB\",\"implicit_support_excluded\":true,\"scope\":\"issue\",\"status\":\"rated\"},\"issued\":true,\"issuer_kind\":\"corporate\",\"market_liquid\":true,\"perfected\":true,\"ratings_permitted\":true,\"residual_years\":\"5\",\"rule_evidence\":[{\"document_id\":\"CAPITAL_RULES\",\"locator\":\"collateral_eligibility\"}],\"same_currency\":true},\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-collateral-assessments\"}],\"purpose\":\"deployment_security\",\"rights\":{\"custodian_id\":\"CLEARVAULT\",\"custody_account_id\":\"CUST_DEP\",\"custody_jurisdiction\":\"Fictional Commonwealth of Orivale / series 1 / Meridia fictional-law division\",\"enforcement_business_days\":0,\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-security-rights\"}],\"opinion_ids\":[\"OP_BRANCH\"],\"owner_id\":\"BORROWER\",\"ownership_basis\":\"pledge\",\"priority\":\"first_ranking\",\"provider_id\":\"BORROWER\",\"reuse_conditions\":[],\"reuse_right\":\"prohibited\",\"secured_party_id\":\"MERIDIAN\",\"security_agreement_id\":\"DEP_SECURITY\",\"segregated\":true,\"withdrawal_right\":\"prohibited\"},\"secured_trade_ids\":[\"LOAN\"],\"title_event_ids\":[\"TITLE_DEP\"]}],\"counterparty_constraints\":[{\"allowed_legal_forms\":[\"issued_security_pledge\"],\"borrowing_ceiling\":\"990009000\",\"classification_by_form\":{\"issued_security_pledge\":\"secured_borrowing\"},\"currency\":\"USD\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-counterparty-constraints\"}],\"funding_deadline\":\"2027-06-05\",\"maximum_spread\":\"0.079202016\",\"party_id\":\"BORROWER\",\"prohibited_legal_forms\":[\"contingent_issuance_promise\",\"payment_rights_assignment\",\"title_transfer_repo\"],\"required_approval_ids\":[],\"required_cash\":\"990009000\",\"required_return\":\"identical\",\"situation\":\"Brackenford Trade Bank [FUND_01 series 1] receives the separately identified five-year deployment loan for its own liquidity need. Its granted security supports that loan only; it is not a second cash advance or a claim that the funding TRS has principal exchange. This is the BOOK mandate, not the separately sized S2 reserve-authority comparison. Joint funding and credit widening coincides with an actual contractual reference-loss payment; its own funding cost has risen and the emerging-market deployment credit has deteriorated, so it is under liquidity stress with a realised market loss, not in default.\",\"situation_kind\":\"liquidity_stress\"},{\"allowed_legal_forms\":[\"sale_funded_total_return_swap\"],\"borrowing_ceiling\":null,\"classification_by_form\":{\"sale_funded_total_return_swap\":\"funded_asset_purchase_and_return_contract\"},\"currency\":\"USD\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-counterparty-constraints\"}],\"funding_deadline\":\"2027-09-05\",\"maximum_spread\":null,\"party_id\":\"P\",\"prohibited_legal_forms\":[\"payment_rights_assignment\",\"contingent_issuance_promise\"],\"required_approval_ids\":[\"DESK_CSA\",\"DESK_OFFSET\"],\"required_cash\":\"0\",\"required_return\":\"none\",\"situation\":\"Alderwick Funding Trust [FUND_01 series 1] purchases U under SALE_U and owes the full total return under FUND_TRS while receiving the financing leg. It supplies the identified sale price once, requires enforceable bilateral close-out, and is not a deployment borrower. These labels do not extinguish its twenty-year surviving return claim. Its own CDS has widened from eighty to one hundred sixty basis points in the joint event and it is under ratings pressure. It requires the funding-CSA cash budget and the offset credit limit to be approved before either route is treated as executed; it does not require netting consolidation in this branch.\",\"situation_kind\":\"ratings_pressure\"},{\"allowed_legal_forms\":[\"gold_pledge\",\"gold_equivalent_title\",\"issued_security_pledge\",\"title_transfer_repo\"],\"borrowing_ceiling\":\"495004500\",\"classification_by_form\":{\"fiscal_advance\":\"fiscal_lending_requires_separate_authority\",\"gold_equivalent_title\":\"secured_financing_with_title_transfer\",\"gold_identical_title\":\"bespoke_title_financing_pending_proprietary_opinion\",\"gold_pledge\":\"secured_borrowing\",\"issued_security_pledge\":\"secured_borrowing\",\"title_transfer_repo\":\"secured_financing_with_title_transfer\"},\"currency\":\"USD\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-counterparty-constraints\"}],\"funding_deadline\":\"2029-09-17\",\"maximum_spread\":null,\"party_id\":\"S2_LRA\",\"prohibited_legal_forms\":[\"fiscal_advance\"],\"required_approval_ids\":[\"S2_IDENTICAL_TITLE\"],\"required_cash\":\"495004500\",\"required_return\":\"equivalent\",\"situation\":\"Separate S2 controlled comparison only: FUND_01 s2_lra series 1 owns allocated bullion and the existing Treasury issue; it is not Fictional Commonwealth of Orivale / series 1 / Lydora fictional-law division Republic, not its Treasury, and not the BOOK borrower. The borrowing ceiling counts the secured cash advance and unsecured top-up together. Fiscal lending to Treasury needs an additional resolution that is absent. The bespoke identical-title route lacks a completed proprietary-return opinion. None of these S2 balances is added to BOOK cash.\",\"situation_kind\":\"fiscal_ceiling\"}],\"instruments\":[{\"case_quantity\":\"990009000\",\"coupon_ois_linked\":true,\"coupon_spread\":\"0.009900578\",\"currency\":\"USD\",\"embedded_options\":\"none\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-instrument-register\"}],\"face_per_unit\":\"1\",\"governing_law\":\"Fictional Commonwealth of Orivale / series 1 / Meridia fictional-law division\",\"initial_legal_owner\":\"MERIDIAN\",\"instrument_id\":\"U\",\"isin\":\"XS1760042371\",\"issue_date\":\"2026-06-05\",\"issued_quantity\":\"1980018000\",\"issuer_kind\":\"bank\",\"issuer_party_id\":\"APEX\",\"maturity_date\":\"2047-06-05\",\"payment_jurisdictions\":[\"Fictional Commonwealth of Orivale / series 1 / Meridia fictional-law division\"],\"price_convention\":\"currency_per_unit_ex_distribution\",\"price_curve_id\":\"U_CREDIT\",\"ranking\":\"senior_unsecured\",\"rating\":{\"agency\":\"Fictional Atlas Ratings\",\"agency_eligible\":true,\"as_of\":\"2027-06-05\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-instrument-register\"}],\"grade\":\"AAA\",\"implicit_support_excluded\":true,\"scope\":\"issue\",\"status\":\"rated\"},\"redemption_per_unit\":\"1\",\"security_type\":\"floating_rate_note\",\"settlement\":{\"calendar_id\":\"CAL\",\"currency\":\"USD\",\"cutoff_utc\":\"12:00:00\",\"delivery_versus_payment\":true,\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-executed-agreements\"}],\"lag_business_days\":1},\"status\":\"issued\"},{\"case_quantity\":\"990009000\",\"coupon_ois_linked\":true,\"coupon_spread\":\"0.009900578\",\"currency\":\"USD\",\"embedded_options\":\"none\",\"evidence\":[{\"document_id\":\"SYNTHETIC_PACKET\",\"locator\":\"fictional-instrument-register\"}],\"face_per_unit\":\"1\",\"governing_law\":\"Fictional Commonwealth of Orivale / series 1 / Meridia fictional-law division\",\"initial_legal_owner\":\"BORROWER\",\"instrument_id\":\"AAA_SUB\",\"isin\":\"XS9726666886\",\"issue_date\":\"2026-06-05\",\"issued_quantity\":\"1980018000\",\"issuer_kind\":\"bank\",\"issuer_party_id\":\"ALPINE\",\"maturity_date\":\"2032-06-05\",\"payment_jurisdictions\":[\"Fictional Commonwealth of Orivale / series 1 / Meridia fictional-law division\"],\"price_convention\":\"currency_per_unit_ex_distribution\",\"price_curve_id\":\"AAA_COLLATERAL\",\"ranking\":\"senior_unsecured\",\"rating\":{\"agency\":\"Fictional Atlas 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1\",\"issuer_kind\":\"other\",\"material_positive_correlation\":false,\"residual_years\":\"0\",\"right_to_return_collateral\":true,\"same_currency\":true,\"source_evidence\":{\"file\":\"docs/exhibit-fields.md\",\"locator\":\"fictional-actions\"},\"value\":\"792007.2\"},{\"asset_class\":\"main_index_equity\",\"available_for_pledge\":true,\"eligible_lenders\":[\"Tol\",\"Div\"],\"enforceable\":true,\"h10\":\"0.20\",\"id\":\"S46\",\"issue_rating\":\"not_applicable_equity\",\"issued\":true,\"issuer\":\"FUND_01 allocation issuer S46 series 1\",\"issuer_kind\":\"other\",\"material_positive_correlation\":false,\"residual_years\":\"0\",\"right_to_return_collateral\":true,\"same_currency\":true,\"source_evidence\":{\"file\":\"docs/exhibit-fields.md\",\"locator\":\"fictional-actions\"},\"value\":\"792007.2\"},{\"asset_class\":\"main_index_equity\",\"available_for_pledge\":true,\"eligible_lenders\":[\"Tol\",\"Div\"],\"enforceable\":true,\"h10\":\"0.20\",\"id\":\"S47\",\"issue_rating\":\"not_applicable_equity\",\"issued\":true,\"issuer\":\"FUND_01 allocation issuer S47 series 1\",\"issuer_kind\":\"other\",\"material_positive_correlation\":false,\"residual_years\":\"0\",\"right_to_return_collateral\":true,\"same_currency\":true,\"source_evidence\":{\"file\":\"docs/exhibit-fields.md\",\"locator\":\"fictional-actions\"},\"value\":\"792007.2\"},{\"asset_class\":\"main_index_equity\",\"available_for_pledge\":true,\"eligible_lenders\":[\"Tol\",\"Div\"],\"enforceable\":true,\"h10\":\"0.20\",\"id\":\"S48\",\"issue_rating\":\"not_applicable_equity\",\"issued\":true,\"issuer\":\"FUND_01 allocation issuer S48 series 1\",\"issuer_kind\":\"other\",\"material_positive_correlation\":false,\"residual_years\":\"0\",\"right_to_return_collateral\":true,\"same_currency\":true,\"source_evidence\":{\"file\":\"docs/exhibit-fields.md\",\"locator\":\"fictional-actions\"},\"value\":\"792007.2\"},{\"asset_class\":\"main_index_equity\",\"available_for_pledge\":true,\"eligible_lenders\":[\"Tol\",\"Div\"],\"enforceable\":true,\"h10\":\"0.20\",\"id\":\"S49\",\"issue_rating\":\"not_applicable_equity\",\"issued\":true,\"issuer\":\"FUND_01 allocation issuer S49 series 1\",\"issuer_kind\":\"other\",\"material_positive_correlation\":false,\"residual_years\":\"0\",\"right_to_return_collateral\":true,\"same_currency\":true,\"source_evidence\":{\"file\":\"docs/exhibit-fields.md\",\"locator\":\"fictional-actions\"},\"value\":\"792007.2\"},{\"asset_class\":\"main_index_equity\",\"available_for_pledge\":true,\"eligible_lenders\":[\"Tol\",\"Div\"],\"enforceable\":true,\"h10\":\"0.20\",\"id\":\"S50\",\"issue_rating\":\"not_applicable_equity\",\"issued\":true,\"issuer\":\"FUND_01 allocation issuer S50 series 1\",\"issuer_kind\":\"other\",\"material_positive_correlation\":false,\"residual_years\":\"0\",\"right_to_return_collateral\":true,\"same_currency\":true,\"source_evidence\":{\"file\":\"docs/exhibit-fields.md\",\"locator\":\"fictional-actions\"},\"value\":\"792007.2\"}],\"normalised_haircut_comparison\":{\"equity_annual_volatility\":\"0.30\",\"equity_market_haircut\":\"0.08\",\"safe_annual_volatility_high\":\"0.05\",\"safe_annual_volatility_low\":\"0.04\",\"safe_market_haircut\":\"0.02\",\"scope\":\"Synthetic ratios illustrating safe haircut per volatility exceeds equity ratio; not a refutation of nominal haircut monotonicity or an empirical five-year calibration\"},\"own_spread\":\"0.0193057236\",\"proof_domain\":\"Exactly two large lots forced to Tol by Div constraints and fifty equal small lots with distinct issuers and identical loan economics. Outside these hypotheses optimize_allocation raises ReferenceError; evaluate_allocation still checks arbitrary complete assignments.\",\"requirement\":\"227702070\",\"risk_weight_basis\":\"Explicit conservative desk election to apply CRE20.18 base ECRA weights 20% and 50%, without optional CRE20.19 short-term relief. Not a mandatory seven-day regulatory minimum. Other eligibility and bank-permission conditions are case assumptions.\",\"short_term_optional_rw\":{\"Div\":\"0.20\",\"Tol\":\"0.20\"},\"status\":\"Synthetic 7-day schedules, not calibrated from the supplied empirical study\",\"year_days\":\"365\"},\"book\":{\"TRS_has_no_principal_exchange\":true,\"funding_principal_source\":\"identified_asset_sale\"},\"currency\":\"USD\",\"day_one_accounting\":{\"base_internal_addon_observable\":false,\"service_fee_treatment\":\"inception_consumed_service_expense\"},\"deployment_coupon_spread\":\"0.0455411592\",\"deployment_years\":\"5\",\"desk\":{\"CSA_closeout_gap_funding_move\":\"0.0024750755\",\"CVA_KVA_survival\":\"default_weighted_cva_contractual_kva\",\"CVA_default_grid\":\"quarter_end_constant_cds_lgd\",\"accounting_scope\":\"Retained U and financing liability under IFRS; management mark and two pots bridged out unless independent unit recognition supplied\",\"action_timing\":\"business_day_event_grid_next_quarter_payment\",\"annual_schedule\":\"Years zero through twenty, plus every quarterly observation and remaining KVA; zero scheduled core exposures are separate from unresolved settlements.\",\"capital_sampling\":\"beginning_interval_end_payment\",\"component_pricing_scope\":\"All K7 NPVs below are standalone component values, not all-in book profit or cash capital releases. Whole-book max constraints are recomputed separately.\",\"day1_deferral_policy\":\"frozen_pricing_annuity_management_deferral\",\"day1_fee\":\"990009\",\"discount_convention\":\"nominal_ois_compounded_contract_quarter\",\"equity_hurdle\":\"0.10\",\"funding_KVA_scope\":\"Standalone CCR+CVA component, not bank max-constraint KVA\"},\"execution_margin\":\"0.004950172\",\"funding_contract\":{\"NICA\":\"0\",\"SA_CVA_approval\":false,\"classification_evidence\":{\"file\":\"docs/exhibit-fields.md\",\"locator\":\"fictional-classification\"},\"contract_id\":\"FUND_TRS\",\"currency\":\"USD\",\"full_value_reset\":false,\"last_reset_price\":\"1\",\"locked_financing_spread\":\"0.0069303218\",\"minimum_transfer_amount\":\"0\",\"mpor_floor\":{\"illiquid_or_hard_to_replace\":true,\"non_centrally_cleared\":true,\"over_5000_transactions\":false,\"remargin_interval_days\":\"1\",\"repeated_disputes\":false,\"source_evidence\":{\"file\":\"docs/reference-input-contract.md\",\"locator\":\"mpor-floor-facts\"}},\"netting_set_id\":\"FUNDING_P\",\"next_price_settlement_years\":\"0.25\",\"notional\":\"990009000\",\"ordinary_BA_maturity_floor_applies\":true,\"original_reference_rating\":\"AAA\",\"provider_ECRA_rating\":\"A\",\"provider_bank_eligible\":true,\"provider_credit_quality\":\"IG\",\"provider_due_diligence_uplift\":false,\"provider_id\":\"P\",\"provider_sector\":\"financial\",\"quantity\":\"990009000\",\"ratings_permitted\":true,\"reference_evidence\":{\"file\":\"docs/exhibit-fields.md\",\"locator\":\"fictional-executed-agreements\"},\"reference_id\":\"U\",\"reference_issuer_kind\":\"other\",\"reference_price_basis\":\"USD per unit of original principal; final ex-distribution price zero\",\"regulatory_classification\":\"Credit-only SA-CCR plus LEV30 written credit under fictional classification letter; failed-sale IFRS retention reconciled separately\",\"remaining_years\":\"20\",\"reset_basis\":\"Quarterly reference-price return settlement; future financing advantage survives\",\"stub\":\"0\",\"threshold\":\"0\"},\"funding_years\":\"20\",\"incurred_CVA\":\"0\",\"internal_AAA_initial\":\"0.0019801498\",\"leverage_snapshot\":{\"use_30_35_PFE_exclusion\":true},\"notional\":\"990009000\",\"ois\":\"0.0356420304\",\"opening_free_cash\":\"123751125\",\"opening_legacy_funding\":\"990009000\",\"opening_legacy_spread\":\"0\",\"own_CDS_spread\":\"0.0029701437\",\"own_bond_spread\":\"0.0064352412\",\"provider_CDS\":\"0.0084151402\",\"provider_recovery\":\"0.4\",\"quarter\":\"0.25\",\"reference_coupon_spread\":\"0.009900578\",\"regulatory\":{\"AAA_other_haircuts\":{\"over_10\":\"0.12\",\"up_to_1\":\"0.01\",\"up_to_10\":\"0.06\",\"up_to_3\":\"0.03\",\"up_to_5\":\"0.04\"},\"AAA_securitisation_haircuts\":{\"over_10\":\"0.16\",\"up_to_1\":\"0.02\",\"up_to_10\":\"0.16\",\"up_to_3\":\"0.08\",\"up_to_5\":\"0.08\"},\"AAA_sovereign_haircuts\":{\"over_10\":\"0.04\",\"up_to_1\":\"0.005\",\"up_to_10\":\"0.04\",\"up_to_3\":\"0.02\",\"up_to_5\":\"0.02\"},\"BA_beta\":\"0.25\",\"BA_discount_decay\":\"0.05\",\"BA_financial_IG_rw\":\"0.05\",\"BA_one_year_floor\":\"1\",\"BA_rho\":\"0.5\",\"BA_scalar\":\"0.65\",\"BA_short_term_exception\":false,\"BA_short_term_exception_evidence\":\"None: original twenty-year TRS and five-year CDS are not a selected short-term exception\",\"BBB_other_haircuts\":{\"over_10\":\"0.20\",\"up_to_1\":\"0.02\",\"up_to_10\":\"0.12\",\"up_to_3\":\"0.04\",\"up_to_5\":\"0.06\"},\"BBB_securitisation_haircuts\":{\"over_10\":\"0.24\",\"up_to_1\":\"0.04\",\"up_to_10\":\"0.24\",\"up_to_3\":\"0.12\",\"up_to_5\":\"0.12\"},\"BBB_sovereign_haircuts\":{\"over_10\":\"0.06\",\"up_to_1\":\"0.01\",\"up_to_10\":\"0.06\",\"up_to_3\":\"0.03\",\"up_to_5\":\"0.03\"},\"BB_sovereign_haircut\":\"0.15\",\"CVA_RWA_multiplier\":\"12.5\",\"FX_haircut\":\"0.08\",\"IR_sf\":\"0.005\",\"alpha\":\"1.4\",\"bespoke_mpor_days\":\"20\",\"business_days\":\"250\",\"credit_protection_original_minimum\":\"1\",\"credit_rho\":\"0.5\",\"deployment_rw\":\"1\",\"gold_haircut\":\"0.20\",\"haircut_revaluation_days\":\"1\",\"haircut_table_days\":\"10\",\"leverage_minimum\":\"0.03\",\"main_index_equity_haircut\":\"0.20\",\"margin_scale\":\"1.5\",\"maturity_cap\":\"5\",\"min_maturity_days\":\"10\",\"minimum_total_capital\":\"0.08\",\"multiplier_floor\":\"0.05\",\"protection_floor\":\"0.25\",\"protection_provider_rw\":\"0.2\",\"provider_rw\":\"0.3\",\"repo_holding_days\":\"5\",\"sd_decay\":\"0.05\",\"secured_lending_holding_days\":\"20\",\"single_name_AAA_sf\":\"0.0038\",\"single_name_A_sf\":\"0.0042\"},\"replacement_margin\":\"0.0079206752\",\"replacement_quote\":{\"closeout_basis\":\"Full financing and return obligations under matched replacement terms, no own-spread-linked termination payment\",\"contract_id\":\"FUND_TRS\",\"conversion\":\"remaining_quarterly_annuity\",\"conversion_rate\":\"0.0356420304\",\"currency\":\"USD\",\"executable\":true,\"id\":\"SYN-REPL-FUND-FUND_01-S1\",\"includes_old_reference_adjustment\":false,\"locked_financing_spread\":\"0.0069303218\",\"notional\":\"990009000\",\"off_quarter_convention\":\"fractional_remaining_annuity_clean_quote\",\"old_reference_adjustment_upfront\":\"0\",\"provider_id\":\"P\",\"quantity\":\"990009000\",\"quarter\":\"0.25\",\"quote_basis\":\"reset_to_today\",\"quoted_at\":\"2027-06-05\",\"quoted_base_financing_spread\":\"0.009900825\",\"reference_id\":\"U\",\"remaining_years\":\"20\",\"reset_basis\":\"Quarterly reference-price return settlement; future financing advantage survives\",\"reset_price_convention\":\"Current reference price; old reference-price return is excluded from quoted margin\",\"roll_convention\":\"Same surviving contract, remaining maturity rolls down without renewal; margin beta applies only to stated synthetic parallel scenarios\",\"scenario_margin_beta\":\"1\",\"source_evidence\":{\"file\":\"docs/exhibit-fields.md\",\"locator\":\"fictional-quote-board\"},\"status\":\"Fictional binding quote convention for this educational instance, not an observed market quote\"},\"schema_version\":\"back_to_back_funding_book.v1r2\",\"whole_book\":{\"AVA\":\"0\",\"capital_gate\":\"minimum_capital_blocks_new_execution\",\"cash_rw\":\"0\",\"deployment_rw\":\"1\",\"other_RWA\":\"0\",\"other_leverage_exposure\":\"0\",\"retained_U_rw\":\"0.20\",\"scope\":\"Specified toy whole book only: retained AAA bank U, B-sovereign deployment, OIS cash, funding CCR and CVA; no inferred production buffers or compliance. Reinvestment is central-bank OIS cash at zero RW.\",\"written_credit_contract\":{\"contract_id\":\"FUND_TRS\",\"reference_id\":\"U\",\"source_evidence\":{\"file\":\"docs/reference-input-contract.md\",\"locator\":\"leverage-recognition-facts\"},\"unoffset\":true},\"written_credit_notional\":\"990009000\"}}}"
    },
    {
      "name": "docs/capital-actions.md",
      "sha256": "b89cc0ab4ebb2da49f50ae0ab44260c9916ab3c45e82e2832c08205467bcac87",
      "text": "# Capital actions, prices and binding constraints\n\nThis is a fictional pricing annex dated 19 September 2026. Its counterparties, contracts, opinions and executable quotes are invented for the educational instance. The public inputs are [numerical-inputs.json](../fixtures/numerical-inputs.json). No quoted price in this annex is represented as an observed market transaction or an IFRS observability conclusion.\n\nThe [capital rulebook](capital-rulebook.md) fixes the dated official factors and the selected applicability conditions. This annex fixes contractual prices and the synthetic equity-pricing convention. The Python module derives every exposure, reserve and action value from those inputs. Actual funding draws, securities title movements and the accounting journal are owned by [reserve_ledger.py](../src/reserve_ledger.py) and [reserve-module.md](reserve-module.md).\n\n## Executable terms and timing\n\nAn action is available at its stated quote, but it is not effective merely because it appears on a menu. The baseline has no new CSA, consolidation or CDS. An action requires the named documents and execution conditions in [exhibit-fields.md](exhibit-fields.md#fictional-actions). The capital gate is separate from availability of a quote.\n\n| Action | Binding fictional price | Earliest effect | Cash and title consequence |\n|---|---|---|---|\n| Two-way funding CSA | USD1m execution fee; USD100,000 facility setup; USD50,000 annual fixed commitment fee; USD25,000 annual administration; another 10bp annually on a USD100m committed line | Two business days after the required CSA and enforceability opinion | Full contractual V exchanged as cash VM. Received cash is reusable. Posted VM consumes liquidity. Facility borrowing arises from the collateral cash deficit, not the reserve mark. |\n| Substitute deployment collateral | USD1m fee plus 90bp annually on USD1bn until deployment maturity | Two business days after perfected independent-issuer collateral delivery | Custodian releases the sovereign's own pledge and receives the issued Westhaven Bank AAA instrument. Client yield falls by the contractual concession. No principal is paid to the desk as a capital release. |\n| Reverse that substitution | USD250,000 fee; the 90bp yield concession ends | Two business days after release/redelivery conditions | Restores the original collateral and yield. Capital rises. The existing full-book capital shortage can block this otherwise positive standalone economic action. |\n| Consolidate netting | USD750,000 legal/novation fee | Thirty business days, only when both covered trades and all named opinions are delivered | `FUND_TRS` and `OFFSET_TRS` become one close-out obligation against the same legal P. Their existing economic cashflows continue. Gross accounting assets do not disappear. |\n| Buy five-year P protection | USD320m notional, 80bp annual premium, USD250,000 fee, USD25,000 annual administration | Two business days after execution and qualification | Premiums are cash expenses. Default payment is due under the executed CDS. H has a separately documented daily cash-VM agreement. The CDS creates no immediate cash principal. |\n| Hold | No transaction fee | Immediate | Existing cash, title and credit exposures continue. The cost is the complete remaining KVA, not zero. |\n\nBusiness-day execution offsets use the published 250-business-day year: two days are 0.008 years and thirty days are 0.12 years. Funding and deployment schedules use the published quarter-year pricing grid. This timing convention is distinct from dated ACT/365F settlement records.\n\nFor capital-action comparisons the first affected quarter is split at execution. Both alternatives are remeasured on the same event grid; there is no relief before execution. The capital charge for each piece is paid at the next original quarter end. CDS expiry and recognition-floor events are additional split points. An action's `without_KVA_on_event_grid` can therefore differ slightly from the unsplit hold profile. Compare it with its own `with_KVA_on_event_grid`, never with a differently sampled path.\n\n`_capital_action(..., events=(), observations=())` separates two clocks. `events` contains genuine additional pricing knots, such as the stated CDS recognition floor and expiry; execution is inserted independently. Together with the original contract quarters, those dates determine beginning-interval capital accrual and its next-original-quarter payment. The keyword-only `observations` supplies reporting dates, not additional accrual knots. `observation_profile` reports sorted unique supplied dates as `elapsed`, `effective`, `without_capital` and `with_capital`, evaluating the actual capital formula and action status at each date without changing any charge, payment or KVA total. Dates outside the priced horizon are rejected.\n\nDensity checks hold execution and every genuine pricing event fixed while varying only `observations`. They also check the reported current capital against its independent formula; reporting the previously sampled charge basis instead would be wrong. A changed execution, expiry or recognition event can change the charge contract and must be tested separately. This is the disclosed piecewise beginning-interval desk convention, not a claim that quarterly and finer approximations of a continuous capital integral converge within a chosen tolerance. The earlier D4 failure from passing presentation dates through `events` remains failed evidence; it is not relabelled as a successful convergence test.\n\nEconomic funding CVA still defaults only after original funding quarter-end payments. It evaluates the action status at each such date; inserting execution or capital recognition events does not introduce new default dates. Tail CVA and KVA retain that original payment clock, beginning with a first stub after an off-quarter expiry.\n\nThe five-year CDS tenor starts at execution. Its coupons are quarterly from execution, and it expires at book year 5.008 under the two-day case delay. `rolloff.elapsed` is time since CDS execution; `rolloff.book_elapsed` is time since the book decision. The familiar fifteen-year naked tail is the immediate-execution twenty-versus-five comparator. The delayed action leaves 14.992 years after expiry and an unprotected initial two-day interval. The year-one CDS replacement quote is one year after CDS execution, with four years remaining. It is not incorrectly labelled the book's exact first anniversary.\n\n## Matching the funding quote before measuring exposure\n\nThe sale of U supplies the USD1bn principal. The return-receiver TRS does not advance a second principal. The failed sale leaves U and the financing liability in the statutory balance sheet; the management funding opportunity is not another automatically recognised derivative asset.\n\nFor quarter length q, annual nominal OIS r and remaining life h:\n\n```text\nD(h; r) = (1 + r*q)^(-h/q)\nA(h; r) = (1 - D(h; r))/r\nA(h; 0) = h\n\nm = executable base replacement spread + quoted scenario beta * funding move\nk = locked contractual financing spread\nquoted funding component = N * (m-k) * A_quote(h)\nreference price = coupon * A(h; coupon + reference spread move)\n                  + D(h; coupon + reference spread move)\nold reference cash return = quantity * (current price - actual reset price)\nV = quoted funding component + D(next payment) * old reference cash return + stub\n```\n\nThe base quote is reset to today's reference price. The old reference cash return must therefore be added once. An original-reference quote requires its own explicitly quoted old-reference upfront and `quote_basis=original_reference`; that amount is already in the quoted value, so the engine does not add the price return again. Inconsistent flags, a missing quote, or mismatched contract, provider, reference, currency, N, quantity, maturity, locked spread, schedule or reset convention raises `ReferenceError`. Projecting an inclusive quote through future resets without the required post-settlement replacement quotes also raises. It does not silently reuse an inclusive price or default to zero exposure.\n\nThe public quoted annuity uses 4% nominal OIS quarterly. Its required `off_quarter_convention=fractional_remaining_annuity_clean_quote` extends that conversion to fractional remaining quarters. It is an explicit fictional spread-to-upfront quote, not an exact irregular original-coupon valuation or a theorem that all TRSs discount this way. Rolled `funding_mark` observations separately require actual `next_payment_delay` and `unsettled_stub`, including zero; same-day pending settlement is undiscounted. The management opportunity F equals quoted V only in the matched post-reference-settlement base state with consistent margins, rates and zero stub. The source remains fictional and does not by itself pass a day-one accounting observability test.\n\nThe marks section prints normal, funding-mark stress, joint stress, 25bp/100bp reference-price shocks and the negative funding-spread liquidity reversal. It exposes the reference return before settlement and the surviving funding value after settlement. U's final ex-distribution price is zero; final principal belongs in its distribution, not a second redemption or an automatically cancelled funding obligation.\n\n## Funding capital and annual KVA\n\nThe default-risk exposure is `max(SA_CCR_EAD - incurred_CVA, 0)`. The canonical recognised incurred-CVA input is explicitly zero. Management CVA is not deducted as if it were a recognised CRE51.12 write-down. A user-supplied positive recognised-incurred-CVA branch changes default-risk exposure but never the EAD used by CVA capital.\n\nThe engine uses the rulebook's credit-only SA-CCR baseline:\n\n```text\nSD(h) = max((1-exp(-0.05*h))/0.05, 10/250), for h > 0\nMF_unmargined = sqrt(min(max(h, 10/250), 1))\nMF_margined = 1.5 * sqrt(MPOR/250)\nAddOn = reference SF * N * SD * MF\nRC = max(V-C, 0), also subject to TH+MTA-NICA for a margined set\nPFE = multiplier * AddOn\nEAD = 1.4 * (RC+PFE)\n```\n\nFull VM does not set the multiplier to zero. The multiplier is one at `V=C`; the margin benefit comes from RC and the selected 20-business-day maturity factor. The margined EAD is capped by the independently recalculated unmargined comparator for the same terms.\n\nThe supplied MPOR is checked against explicit netting-set facts, not accepted merely because it is positive. The funding and H sets separately attest daily remargining, hard-to-replace terms, fewer than 5,001 transactions and no qualifying repeated disputes. Their 20-business-day inputs satisfy the applicable [CRE52.50\u201351](https://www.bis.org/committees/bcbs/basel-framework/standard/cre/52/inforce/2023-01-01/published/2020-06-05#52.50) floor. Central clearing is not implemented; changed remargining, illiquidity, size or dispute facts must still satisfy their derived floor.\n\nBA-CVA has a different maturity rule:\n\n```text\nM_NS = max(1 year, remaining transaction maturity)\nDF_NS = (1-exp(-0.05*M_NS))/(0.05*M_NS)\nSCVA_P = (5%/1.4) * sum_over_P_netting_sets(M_NS * EAD_NS * DF_NS)\nK_reduced = sqrt((0.5*sum(SCVA))^2 + 0.75*sum(SCVA^2))\nCVA capital = 0.65 * K_reduced\n```\n\nMAR50 removes the ordinary five-year cap for exposure maturity, not CRE32's one-year floor. The floor still applies in the last three quarterly observations of the original twenty-year TRS and five-year CDS. SA-CCR supervisory duration continues to use actual reference h. The single-name hedge term SNH uses actual remaining hedge maturity under MAR50.23, not the exposure floor. The three tenors are not interchangeable.\n\n`funding_profile` publishes each capital observation on the original funding quarter clock and an annual subset including scheduled maturity. An off-quarter remaining tail has a first stub to the next original quarter end. It computes remaining CVA and KVA recursively without supplying an exposure path:\n\n```text\nK_funding(t) = CCR capital(t) + CVA capital(t)\nKVA(t_i) = D(delta_i) * [10% * delta_i * K_funding(t_i) + KVA(t_(i+1))]\n```\n\nThe scalar is a disclosed all-equity desk charge. It is neither an official Basel cost of equity nor the entire bank's incremental capital. The canonical normal, +100bp mark-only, joint-spread, year-one roll, year-one spread stress and margined profiles appear under `funding`. At year five fifteen years of the original funding contract survive. A scheduled terminal zero in this component is not evidence that a disputed settlement claim has been paid.\n\nThe separate `dual_driver_countercase` requires its explicit fictional classification annex. For the same V, C, reference period and maturity factor it adds the credit add-on and the 0.50% IR add-on. The single currency's effective IR notional sits in the residual-maturity bucket; it does not diversify against the credit class. The output prints credit-only and dual EAD in unmargined and margined normal/stress states, plus the isolated V=0 factor comparison. It does not change the credit-only baseline by inference from the product label.\n\n## Net NPV definitions\n\nLet `KVA_without` and `KVA_with` be the two complete paths on the same action event grid, and define:\n\n```text\nS_K = KVA_without - KVA_with\nS_CVA = valuation CVA_without - valuation CVA_with\nPV_fixed = sum D(payment time) * fee\nPV_running = sum D(next quarter end) * annual quoted charge * interval\n```\n\nA positive NPV is a benefit relative to holding the identical opening position or portfolio. Each result retains the individual costs, the full interval capital profile and the exact execution time. A reserve's decline is counted once. An expected KVA roll-down is already priced and is not an extra action profit.\n\n### Two-way CSA\n\n```text\nVM_call = max(-V_at_execution_under_negative100bp_move, 0)\nbuffer_used = min(VM_call, 20m)\nfacility_draw = max(VM_call - buffer_used, 0)\n\nannual fees = 50,000 + 25,000 + 100m * 0.001\nfacility gross interest = draw * (OIS + 0.015) * 30/365\nbuffer opportunity cost = buffer_used * OIS * 30/365\nVM interest received = VM_call * (OIS + collateral remuneration spread) * 30/365\nnet liquidity cost = gross interest + buffer opportunity cost - VM interest received\n\nNPV_CSA = S_K + S_CVA - PV(1m + 100,000) - PV_running - PV(net liquidity cost)\n```\n\nThe deterministic liquidity scenario has weight one, explicitly a stress cost rather than an empirical probability. Its static immediate-execution VM comparator is about USD96.054361m, leaving USD76.054361m beyond the separate USD20m liquidity buffer. The executed action reprices at day two rather than copying those static numbers. The gross facility OIS interest, the cash buffer's lost OIS and VM remuneration are all printed; only their net plus unsecured spread is the economic carry cost. Ignoring them separately would conceal why OIS cancels under equal remuneration.\n\nThe line has a USD100m limit, which the cash call must satisfy. No cash is generated merely by releasing capital. The base book's management reserves created no exposure-prefunding borrowing, so `actual_base_UFVA_released` is zero. The independent opt-in exposure-deposit UFVA experiment must not be added as another CSA cash saving.\n\nThe normal and joint-stress CSA results have separate capital/CVA savings. Both carry the adverse liquidity scenario. Lower capital can therefore coexist with worse cash liquidity. CSA alone need not cure the full book's initial capital shortage.\n\n### Substitute eligible collateral and reverse it\n\nThe before-state is the sovereign's own B-rated security. Recognition fails independently on issuer correlation and issue quality. No haircut can turn that instrument into eligible received collateral for this banking-book exposure.\n\nThe replacement is an issued, independent AAA other-issuer bond with five years remaining and daily valuation. Its ten-day supervisory haircut starts at 4%, scales by the square root of 20/10 for secured lending, then steps to the three-year and one-year rows as the collateral rolls down.\n\n```text\nE_star(t) = max(0, deployment exposure - C_market(t) * (1-H_scaled(t)-H_FX(t)))\nK_deployment(t) = 8% * RW_deployment * E_star(t)\nNPV_substitute = S_K - PV(1m) - PV(0.009 * 1bn per year until year five)\nNPV_reverse = reversed S_K + PV(restored 0.009 * 1bn yield) - PV(250,000)\n```\n\nFor the instantaneous, no-delay comparator, the accepted parameter formulas give unsecured deployment KVA about USD36.091106m and AAA collateral KVA about USD1.559396m. The corresponding capital saving is about USD34.531710m against about USD41.602494m fee-plus-yield cost, a roughly USD7.070784m loss. Reversing an already executed substitution recovers yield and loses that capital saving, giving about USD5.820784m before changing the execution clock. Those values are not the delayed action NPVs. The CLI derives the exact two-day event-grid values under `actions.substitute.net_NPV` and `.reversal.net_NPV`.\n\nThis example establishes the economic distinction without pretending every profitable reversal is currently allowed. Reversal increases the required capital and can fail the bank's capacity gate. The 49-to-50-lot allocation move below supplies a separate feasible capital-up/economics-better action under its own fully stated capital budget.\n\n### Enforceable same-provider netting\n\n`OFFSET_TRS` is an actual opposite return trade, not a negative exposure row supplied to the model. It has USD500m notional, the same reference U, provider P and twenty-year maturity. Its independently fictional matched executable quote is a USD50m negative upfront at inception. The quoted conversion implies a constant spread:\n\n```text\nk_offset = quoted upfront / (N_offset * A20)\nV_offset(t) = N_offset * k_offset * A_remaining(t)\n```\n\nBefore consolidation, the two sets' EADs are calculated separately. Their SCVA terms are summed within P before BA portfolio aggregation. After consolidation, V sums and same-reference signed effective notionals offset, but only after the opinion becomes enforceable. The BA maturity is the netting set's notional-weighted remaining maturity, still subject to its ordinary one-year floor. No P/H cross-counterparty netting is allowed.\n\n```text\nNPV_netting = same-two-trade S_K + same-two-trade S_CVA - PV(750,000 at day 30)\n```\n\nThe instantaneous normal reference calculation has approximately USD137.253451m separate EAD versus USD28.006762m combined EAD. The source result prints both. Its lifetime economic gain includes the thirty-day wait and the fee. Comparing the consolidated two-trade portfolio with a one-trade hold baseline would fabricate relief.\n\nLegal costs are paid; received collateral or trading cashflows are not manufactured. A missing opinion or different provider fails the proposed consolidation instead of selecting cheaper arithmetic.\n\n### Buy P protection, with or without CVA designation\n\nCCR recognition follows its own gates. The eligible, irrevocable, unconditional, same-currency five-year CDS provides guarantee-equivalent protection directly on the identified P funding obligation, with the required credit events, grace periods, no-senior reference obligation and same-obligor cross-default link, enforceable rights and timely robust independently determined cash settlement. The supplied recognition facts are fictional evidence, not conclusions inferred from ratings. Its seller H qualifies independently of U. Only a strictly lower H risk weight receives substitution relief; otherwise protected exposure for default-risk substitution is zero while H's economic and CVA risks remain.\n\n```text\nT = min(5, remaining protected exposure)\nt = min(T, remaining CDS protection)\nP_a = P * (t-0.25)/(T-0.25), when the mismatch qualifications hold\nprotected = min(default exposure, P_a)\nCCR RWA = protected * RW_H + (default exposure-protected) * RW_P\n```\n\nAt CDS inception the factor is one despite the long funding tail. After one year of CDS life, USD320m becomes USD252.631579m recognised P_a; after four years it becomes USD50.526316m. At 4.75 years it becomes zero. This adjustment changes default-risk weighting, not EAD or the contractual protection payout.\n\nFull BA-CVA uses actual designated protection:\n\n```text\nSNH_P = RW_CVA_P * N_CDS * actual_remaining_CDS_M * DF_CDS\nK_hedged = BA_aggregate([SCVA_P-SNH_P, SCVA_H])\nCapital_full = 0.65 * [0.25*K_reduced + 0.75*K_hedged]\n```\n\nThe hedge directly references P, so proxy HMA is zero. Under the explicitly selected `hedge_provider_CVA_method=desk_annex_normal_saccr` desk method, H's normal SA-CCR EAD, including its 20-business-day VM exposure, enters `SCVA_H`. This is a disclosed convention for H's CVA treatment, not a claim that CRE51.16's separate purchased-protection CCR exception by itself prescribes that CVA method. The exception does not authorise silently deleting seller risk. The engine never adds isolated counterparty relief figures as if BA aggregation were linear.\n\nWithout eligible designation, SNH is zero and H remains in the reduced-BA portfolio. The unrecognised hedge also bears the public USD500,000 synthetic trading-book capital allocation, priced at the same 10% hurdle until expiry. That allocation is explicitly a desk stress-capital quote, not an invented MAR10-40 regulatory calculation or proof of market-risk permission.\n\nThe module reports two useful NPVs:\n\n```text\ncapital_only_net_NPV = S_K - full promised premium PV - fee PV\n                       - administration PV - provider CVA - undesignated market-risk KVA\n\nnet_NPV = S_K + expected CDS payout PV - expected premium PV - fee PV\n          - administration PV - provider CVA - undesignated market-risk KVA\n```\n\nThe first asks whether capital savings alone pay for the hedge. The second includes credit protection's economic cashflows under the disclosed flat `hazard=CDS/(1-recovery)` and end-quarter default convention. Premiums accrue for the current interval before a default at its end. Expected cashflows are conditional on survival to the delayed execution. The independent daily-VM seller-risk adjustment prices H's specified spread-gap exposure; no H/P netting or magical provider-risk removal occurs.\n\n`expected_underlying_loss_covered_PV` identifies the portion of expected payout attributable to the funding receivable's loss. `overhedge_payout_PV` exposes the balance from purchasing fixed-notional protection above that loss. Their sum is the CDS payout; the engine does not add the covered-loss reduction again as another CVA benefit. It does not call the fixed-notional CDS a perfect dynamic exposure hedge.\n\nThere is no renewal assumption. The output contains the remaining tail CVA, KVA at expiry, first-two-day gap and every recognition rolloff state. The quoted year-one clean hedge mark is separately available for actual reserve attribution, without pretending it is cash or adding it to expected-payout NPV a second time.\n\n### Hold\n\n`actions.hold.normal_KVA` and `.stress_KVA` are the full twenty-year standalone funding costs. Incremental NPV versus hold is zero by definition, while the charged capital cost is not. Scheduled amortisation and release remain ordinary priced income under the reserve policy. No capital redemption receipt appears in the cash ledger.\n\n## Collateral and the client price\n\nThe collateral curve chain is computed rather than represented by labels:\n\n```text\nreference credit move\n  -> coupon/yield bond price\n  -> quantity * price\n  -> separately observed rating and residual-maturity haircut row\n  -> eligibility/correlation/rights gate\n  -> haircut-adjusted mitigation * applicable collateral maturity factor\n  -> E_star -> RWA -> capital -> discounted KVA\n  -> required client capital spread = KVA / (N * deployment annuity)\n```\n\nA curve move does not mechanically produce a rating action. The fixture deliberately supplies separate rating events. `AAA_widening` changes market price; `BBB_same_price` changes the haircut at the identical market price; `BB_eligibility_cliff` removes banking-book eligibility at that same price. The market value can remain continuous while the capital output jumps.\n\nCollateral pricing and haircut buckets use the collateral's own remaining maturity, rolled down from its separately supplied initial residual life. CRE22.47 then applies the CRE22.10\u201314 maturity-mismatch adjustment to haircut-adjusted eligible value. Neither substitution nor the comparison inherits the loan's maturity as a replacement for its own terms. An explicit live claim at scheduled loan maturity retains its unsecured exposure; this capital routine does not invent repayment or collateral reinvestment.\n\n`collateral_chain.states` prints all links, each full quarterly capital profile, and the capital-cost spread in both decimal and basis points. The market haircut and market financing spread are independent public quotes. They are not set equal to the supervisory haircut and do not borrow seven-day empirical levels for the five-year transaction.\n\nOn the funding leg, an AAA reference spread increase reduces the pending total-return value while the jointly quoted replacement funding margin can increase funding value. `marks.reference25bp` and `marks.reference100bp` expose the partial natural offset and its failure to be exact. On deployment, the EM curve is independent of that AAA/funding process; `deployment_fair_value_loss` comes from the EM credit-price equation, not an own-funding sensitivity imposed on the loan.\n\n## Whole-book capital and leverage\n\nThe same public opening book is used before and after an action. U is retained at USD1bn with the explicitly selected AAA-bank default RW of 20%. The B-sovereign deployment is USD1bn at RW 100% before recognised mitigation. OIS reinvestment is cash with the selected zero RW. The initial USD100m cash/equity falls to USD99m after the separate USD1m day-one service fee. There is no automatic equity top-up.\n\n```text\nrisk requirement = K_retained_U + K_deployment + K_cash\n                   + funding CCR capital + funding CVA capital + specified other capital\nL = continuing accounting assets + derivative leverage exposure + written credit notional\nrequired desk equity = max(risk requirement, 3% * L)\navailable = explicitly supplied Tier1_before_AVA - explicitly supplied AVA\ncapital shortfall = max(required - available, 0)\n```\n\nThe baseline written-credit notional is USD1bn under the fictional classification letter. The stated LEV30.35 election excludes that same unoffset written-protection portion from PFE, not from RC or written notional. A five-year P CDS cannot offset the twenty-year written exposure on U. Neither the reference name nor the full-tenor condition matches.\n\n`wholebook_capital(parameters, balances, funding_row)` requires all actual balance fields, the remaining funding row, recognised deployment E_star, Tier1 and AVA. It does not read or generate a cash ledger. ReserveLedger can apply it to each actual beginning/closing balance and integrate a full-book max path without duplicating capital formulas.\n\nThe actual base field `leverage.actual_base_after_day1_fee` uses zero AVA because the separate USD0.6m valuation-uncertainty example is not automatically an AVA on U. The controlled leverage snapshots deliberately apply that stated USD0.6m AVA to the same named comparison and show their scope. No unexplained USD90m whole-book risk requirement remains.\n\nThe unmitigated base is capital deficient under this minimum-only desk allocation. It is a calculable existing-book/counterfactual cash path, not an approved new booking. CSA can reduce capital without curing the shortage. Eligible substitution reduces the deployment requirement enough for the leverage denominator to bind in the controlled snapshot. Its standalone NPV and its difference in whole-book maxima are different quantities.\n\nThe repo comparator keeps U, deployment and the same cash uses. As cash borrower posting par U for a par advance, its current SFT gap is zero; it does not invent a reverse-repo loan asset. The separate repo contract is not assigned the legal TRS's written-credit amount. This explicit classification comparison is not a universal claim that one form always dominates the other.\n\n## Allocation certificate and feasible capital increase\n\nS3 is a seven-day funding episode with all 52 indivisible lots. `L1` and `L2` are USD120m and USD110m. `S01` through `S50` are USD0.8m each, each with a distinct issuer. Each lot names its issuer kind, issue rating or equity status, residual maturity, currency, correlation, rights, liquidity availability and ten-day regulatory haircut. The engine checks the haircut against those attributes; omission does not trigger a default AAA rating.\n\nThe objective is independently recalculated for each actual assignment:\n\n```text\ncash_i = V_i * (1 - market_haircut_lender)\nborrower_E_star_i = max(V_i * (1 + regulatory_haircut_i) - cash_i, 0)\ncapital_i = 8% * lender_RW * borrower_E_star_i\ncost_i = 7/365 * [cash_i * lender_spread\n                 + (V_i-cash_i) * own_unsecured_spread\n                 + capital_i * equity_hurdle]\n```\n\nThe two market quotes and each issuer-concentration rule are separate. Div requires at least forty issuers, at most 5% per issuer and no more than USD40m in the pool. Both large positions are therefore forced to Tol. The optimizer verifies that all small lots have equal economics and distinct issuers before reducing the search to counts. It then evaluates complete 52-row assignments for every count from zero to fifty, including funding, concentration, available-title and capital constraints.\n\nThe resulting exact feasible optimum is all fifty small lots at Div and both large lots at Tol. Under the conservative base-weight election its formula values are USD232.3m cash, approximately USD1.010360288m capital and USD45,953.293703 cost. The forty-nine-small-lot alternative raises USD232.244m, consumes about USD1.007004998m and costs USD46,003.779448. It remains within the USD2m budget and funding minimum. Moving the last small lot to Div therefore increases required capital by about USD3,355.29 but reduces cost by about USD50.485745. The evaluator does not accept an `optimal` flag or candidate totals as proof.\n\nThe 20% Tol and 50% Div RWs are an explicit conservative election to use CRE20.18 base weights without optional CRE20.19 short-term relief. They are not asserted to be mandatory seven-day minimums. `allocation.short_term_countercase` recomputes the same full assignments with the published optional 20%/20% weights.\n\nIf a lot ceases to be identical, an issuer repeats, or the large-lot-forced premise fails, the specialized optimizer raises `ReferenceError` rather than claiming a false certificate. `evaluate_allocation` still checks submitted complete assignments directly. Missing/duplicate/unknown IDs, partial assignment, lender constraints and double pledges are rejected independently of the objective. The safe-versus-equity haircut/volatility ratios are disclosed separately and do not claim to disprove nominal haircut monotonicity.\n\n## Public module API and diagnostics\n\nAll functions take the parameter dictionary explicitly. Importing `src/numerical_fixture.py` performs no fixture-file read and keeps no global parameter object. Decimal results become exact decimal strings only at the CLI boundary.\n\n```python\ncompute_core(parameters) -> dict\nfunding_mark(parameters, h, funding_move, reference_credit_move, last_reset_price) -> dict\nfunding_profile(parameters, h, funding_move, provider_cds,\n                margined=False, cds_notional=Decimal(0), designated=False,\n                *, cds_remaining=None) -> dict\nfunding_capital(parameters, h, funding_move, margined, provider_cds,\n                cds_notional=Decimal(0), cds_remaining=Decimal(0), designated=False) -> dict\nwholebook_capital(parameters, balances, funding_row) -> dict\nevaluate_allocation(parameters, assignment) -> dict\noptimize_allocation(parameters) -> dict\n```\n\n`discount`, `annuity`, `reference_price`, `deployment_price`, `saccr`, `ba_scva`, `protection_factor`, `collateral_state`, `deployment_profile` and `conditional_ufva` are reusable parameter-first helpers. A surviving CDS profile can pass its actual residual tenor with `cds_remaining`; it must not restart a five-year hedge at a later observation.\n\n| Output path under `compute_core` | Meaning |\n|---|---|\n| `funding.normal`, `.mark_stress`, `.joint_stress`, `.year1_roll`, `.year1_stress`, `.CSA` | `CVA`, `KVA`, `initial`, full `quarterly` and `annual` profiles. Each row includes V, EAD, CCR/CVA capital, BA M/DF, and `KVA_remaining`. These are post-reference-settlement funding profiles. |\n| `marks.<scenario>` | Full pre-price-settlement V, funding opportunity F, quoted funding component, pending reference return, pre-settlement SA-CCR and EM price loss. |\n| `sensitivities` | Quarterly/continuous annuity comparison, funding and five-year allocation FDV01, mismatch FDV01, same-scenario marginal KVA and conditional-UFVA ratios. |\n| `conditional_UFVA.UFVA` | Opt-in external OIS-deposit funding cost, not actual borrowing from a noncash reserve. |\n| `actions.CSA.normal` and `.stress` | Execution-grid KVA/CVA savings, all facility/VM costs, liquidity feasibility and net NPVs. |\n| `actions.substitute` and `.reversal` | Execution-grid collateral changes, yield price and net NPVs. |\n| `actions.netting.normal` and `.stress` | Identical two-trade P portfolio, legal delay, CVA/KVA savings and net NPV. |\n| `actions.CDS.normal_designated`, `.stress_designated`, `.stress_undesignated` | Full CDS economics, normal H exposure, protection rolloff, tail and designation consequences. CDS stress here is the same +100bp funding-mark scenario with the initial P hazard, so designation comparisons hold credit calibration fixed. |\n| `actions.CDS.hedge_mark_year1` | `quote_id`, `base`, `stressed` at one year after CDS execution. |\n| `collateral_chain` | Complete collateral-credit-price-rating-recognition-capital-client-spread chain. |\n| `leverage` | Full-book risk/leverage maxima, fee-reduced available equity, failed base booking gate and eligible-substitution binding-leverage comparison. |\n| `allocation` | `optimum`, `feasible49`, every count's full-constraint frontier, lower-bound proof and optional short-term RW countercase. |\n| `dual_driver_countercase` | Explicit classified credit-plus-IR comparison, not the default allocation. |\n| `year5_reset` | Reference-only reset versus a separately paid full-value re-strike; surviving fifteen-year reference duration remains visible. |\n\nRun the CLI from R, the organized bundle root containing `requirements.txt`:\n\n```text\npython3 src/numerical_fixture.py\npython3 src/numerical_fixture.py --parameters fixtures/numerical-inputs.json --section actions\n```\n\nFrom another working directory, use `python3 \"$R/src/numerical_fixture.py\" --parameters \"$R/fixtures/numerical-inputs.json\" --section actions`, with R set to the absolute bundle path. The numerical CLI does not accept `--root`.\n\nIt emits JSON diagnostics and exits zero when computation completes. Missing or inconsistent reference data emits a `reference_error` to stderr and exits two. It is not a report grader or a JSON-schema validator. `validate_bundle` and the independent report grader retain those jobs.\n\nThe model's conditional +100bp exposure-prefunding experiment uses the exact beginning-quarter target integral `I=sum D(end)*delta*N*A(remaining_start)`. Its UFVA is `I*x*(0.005+x)`, approximately USD17.958836372m at x=1%, rather than the prompt's USD14.5m order-of-magnitude estimate. The actual book still needs cash-ledger evidence before reporting borrowing. The normal and stressed standalone KVA values, their marginal difference, and their ratios to that conditional UFVA all print from the same scenario; no obsolete incurred-CVA-deducted KVA anchor is reused here.\n\n## Source boundary\n\nThe official formulas are CRE51.12 for incurred CVA, CRE52 for SA-CCR and driver allocation, CRE22 for collateral and protection, MAR50 for CVA capital, CRE20 for bank RWs, and LEV30 for leverage treatment. Use the precise effective/update versions in [capital-rulebook.md](capital-rulebook.md#1-dated-official-source-register), including its current links to [CRE52](https://www.bis.org/committees/bcbs/basel-framework/standard/cre/52/inforce/2023-01-01/published/2020-06-05), [CRE22](https://www.bis.org/committees/bcbs/basel-framework/standard/cre/22/inforce/2023-01-01/published/2020-11-26), [MAR50](https://www.bis.org/committees/bcbs/basel-framework/standard/mar/50/inforce/2023-01-01/published/2020-07-08), [CRE20](https://www.bis.org/committees/bcbs/basel-framework/standard/cre/20/inforce/2023-01-01/published/2025-06-10) and [LEV30](https://www.bis.org/committees/bcbs/basel-framework/standard/lev/30/inforce/2023-01-01/published/2020-03-27).\n\nQuote margins, fees, execution calendars, hazard illustrations, reference bond pricing, risk-neutral versus deterministic scope, the 10% equity charge and capital-quality allocation are named fictional assumptions. No national regulatory permission, complete bank compliance result, executable real-world trade or production evaluator installation is claimed. Workers did not run validations or experiments; Main owns the numerical and integration evidence for this completed source artifact.\n"
    },
    {
      "name": "docs/capital-rulebook.md",
      "sha256": "e41e897bb0f859af89299499433324884cd157819b8d49257d7d07d0d577ad7a",
      "text": "# Capital rulebook for the back-to-back funding capstone\n\nAs-of date: 19 September 2026. Amounts are USD unless stated otherwise. This is an educational comparator using the dated, current global Basel text below. It is not an opinion on implementation in any particular jurisdiction, regulatory permission, an accounting election, or evidence that a transaction is executable.\n\nThe rulebook contains the formulas, parameters, applicability decisions and rejection gates needed by the case. A verifier may compare reported results with these rules; it may not supply missing legal facts, undisclosed ratings, capital-allocation choices or additional rules. Labels have the following meanings:\n\n- **Official rule** identifies a requirement in the cited source and paragraph.\n- **Case assumption** identifies a fictional contractual, institutional or operational fact selected for this capstone. Its source is the case annex, not Basel.\n- **Calculated illustration** applies stated assumptions to the official formula. It is neither a new regulatory parameter nor an observed transaction result.\n\n## 1. Dated official source register\n\nAll Basel versions below were retrieved as current on 19 September 2026. The effective and update dates identify the precise version used. Announced 2028 versions are not used.\n\n| Source key and official link | Effective date | Last update or edition | Use in this rulebook |\n|---|---|---|---|\n| [CRE50][CRE50] | 2019-12-15 | 2024-07-05 | CCR, netting, MPOR and current-exposure definitions |\n| [CRE51][CRE51] | 2023-01-01 | 2020-03-27 | Method selection, EAD, incurred CVA, protection exceptions |\n| [CRE52][CRE52] | 2023-01-01 | 2020-06-05 | SA-CCR formulas, classification, tenors, factors and aggregation |\n| [CRE20][CRE20] | 2023-01-01 | 2025-06-10 | Bank counterparty risk weights and due diligence |\n| [CRE22][CRE22] | 2023-01-01 | 2020-11-26 | Collateral, haircuts, netting, guarantees and credit derivatives |\n| [CRE32][CRE32] | 2023-01-01 | 2020-03-27 | Effective-maturity rules incorporated by BA-CVA |\n| [CRE55][CRE55] | 2023-01-01 | 2023-12-14 | Trading-book CCR and repo-collateral exception |\n| [CRE56][CRE56] | 2023-01-01 | 2021-07-01 | Separately scoped SFT minimum-haircut floors |\n| [MAR50][MAR50] | 2023-01-01 | 2020-07-08 | Reduced/full BA-CVA, SA-CVA approval and hedge treatment |\n| [RBC25][RBC25] | 2023-01-01 | 2020-03-27 | CVA hedge designation, internal transfers and CCR recognition |\n| [RBC20][RBC20] | 2023-01-01 | 2020-11-26 | Risk-based minimum capital ratios |\n| [LEV20][LEV20] | 2023-01-01 | 2020-03-27 | Whole-bank leverage ratio and minimum |\n| [LEV30][LEV30] | 2023-01-01 | 2020-03-27 | On-balance-sheet, derivative, written-credit and SFT exposure |\n| [LEV40][LEV40] | 2023-01-01 | 2020-03-27 | G-SIB leverage buffer |\n| [CAP50][CAP50] | 2019-12-15 | 2019-12-15 | Prudent-valuation boundary; not a universal KVA formula |\n| [IFRS9][IFRS9] | Applicability must be established separately | Public 2026 issued edition | Failed derecognition and prevention of duplicate derivative recognition |\n\nMAR50 equations use the adopted current text. The [official July 2020 CVA amendment][CVA2020] corroborates them, but its tracked deletions are not operative equations. A generated chapter PDF can be stale; the dated current chapter and adopted amendments control this exhibit.\n\n## 2. Case annex: facts required before applying a formula\n\nThese assumptions select a runnable case. They do not assert that every bond TRS receives the same treatment.\n\n1. Meridian is the reporting bank. Its reporting currency is USD. It owns an already-issued financial floating-rate note, U, with USD1,000,000,000 current principal/reference notional and exactly 20 years remaining at inception. The ordinary, unlevered single-name reference entity is AAA under the case's eligible-rating evidence. The issue's own rating and legal structure are recorded separately. A pricing curve labelled `AAA` does not establish either rating.\n2. Meridian sells legal title to U to bank P for USD1,000,000,000 and receives U's total return under a 20-year TRS against financing payments. The sale advances the cash. The derivative does not advance a second principal. The five-year deployment uses those proceeds; its repayment does not terminate the separate remaining TRS obligations.\n3. P is an eligible prudentially supervised bank in a jurisdiction permitting eligible external ratings. Its A-category ECRA rating excludes unsupported implicit government support; due diligence does not require an uplift. Its long-term bank default-risk weight is therefore 30%, under CRE20.16\u201320.20. This is P's risk weight, not U's supervisory factor.\n4. The same-transferee sale plus full return retention fails IFRS9 derecognition in this case. Meridian retains U as an accounting asset and recognises the financing liability. IFRS9.3.2.15 and B3.2.16(o) govern this fact pattern; B3.2.14 prevents recognition of a second derivative for the same rights when that would double-count them. A management fair-value subledger is reconciled to the statutory accounts rather than relabelled as a statutory receivable.\n5. A separate, explicitly fictional institutional/regulatory classification letter directs the capstone to measure the legal TRS under SA-CCR, with full contractual V, and under the derivative/written-credit leverage rules, while retaining the statutory asset/liability bridge. This is a case convention. IFRS9 by itself neither establishes nor prohibits that regulatory combination. Without that classification letter, the agent must determine whether the arrangement is financing/SFT, a separately measured derivative, or another exposure before claiming regulatory results.\n6. The letter selects credit as the primary driver after an explicit sensitivity/volatility assessment. The plain return-receiver loses value when the reference spread widens, so its credit supervisory delta is -1. A required countercase allocates the same position to both credit and interest rate and adds the class add-ons. Credit-only is not inferred from the words `funding TRS`, and dual allocation is not claimed to be mandatory for every bond TRS.\n7. The fixed-notional, spot-starting reference has S=0, E=20 and contractual M=20 initially. At year five, if unchanged, E=15 and M=15. There is no assumption that a quarterly coupon reset, VM exchange or settlement of the last quarter's return extinguishes the full future TRS value. The contractual financing advantage and any other surviving obligations must also reset to zero before the special full-reset maturity rule can apply.\n8. The uncollateralised baseline has no CSA collateral. U, now legally held by P, is not collateral received by Meridian against P's TRS default. Accounting retention of U does not turn it into C or NICA. The margined countercase assumes enforceable bilateral daily cash VM against the full contractual mark, TH=0, MTA=0 and NICA=0. These are disclosed countercase assumptions, not attributes implied by a AAA reference.\n9. The bespoke trade is assumed hard to replace under stress. Its selected MPOR is 20 business days, with no larger estimate or dispute-driven floor in the illustrated state. The case uses 250 business days per year. CRE52 requires an appropriate market convention and a floor/estimate assessment; it does not universally prescribe 250 days or infer MPOR solely from a 20-year tenor.\n10. The baseline uses reduced BA-CVA. Full BA-CVA is a separate eligible-CDS branch. SA-CVA approval is absent. No bank-wide small-portfolio alternative is assumed.\n11. A proposed five-year CDS references P, not U, and is supplied by a separately identified eligible protection seller H. Every recognition condition in section 6 must be evidenced. A separate MAR50 method annex uses H's normal SA-CCR exposure to measure hedge-provider CVA; it does not turn a CRE51.16 CCR exemption into zero CVA. H's rating, sector, netting, margin and exposure inputs are independent case data.\n12. The secured-deployment collateral comparison is a banking-book secured loan under the comprehensive approach, with daily revaluation and a 20-business-day minimum holding period. It is not silently relabelled as a five-day trading-book repo to obtain smaller haircuts.\n13. The pricing annex uses an explicit quarter-year illustration, beginning-of-quarter capital held during the interval, an end-quarter capital charge, a 10% annual all-equity hurdle, and 4% nominal annual OIS compounded quarterly. The dated transaction cash-flow schedule uses ACT/365F separately. These are desk assumptions, not Basel parameters. The full obligations extend to year 20; proceeds recovered from the deployment at year five are parked at OIS in the base economic action rather than assumed reinvested in EM risk.\n14. For the pure-credit baseline, the fictional classification annex includes full effective written-credit notional W and elects the LEV30.35 exclusion of that same unoffset written-protection amount from the PFE population. It assumes no qualifying purchased-protection notional offset. RC, collateral adjustments, retained U and the deployment remain measured. Any result without the election or under dual allocation is a separately labelled countercase.\n\n## 3. SA-CCR\n\n### 3.1 Measurement order and legal netting\n\nOfficial rule: CRE51.8 assigns non-CCP derivatives to SA-CCR when IMM approval is absent, and SFTs to their applicable collateral approaches. A derivative's notional is not a cash-loan exposure to insert directly into the comprehensive collateral formula. CRE51.3 also recognises the collateral poster's possible loss if a cash lender defaults and fails to return collateral.\n\nUse the legal reporting-bank perspective throughout. Identify each enforceable netting set before calculating RC or add-ons. CRE50.15 and CRE52.1 require recognised legal netting; common purpose, common ownership or an economic hedge does not suffice. Trades without recognised netting are separate netting sets. Do not net P against H. An enforceable derivative MNA is not automatically an SFT netting permission or permission to net accounting assets.\n\nV is the current value of all derivative transactions in the netting set under their actual contractual settlement and close-out terms. It includes both reference return and financing obligations. Authority: CRE50.26 and CRE52.10. An internal funding-opportunity mark is not a substitute for full V unless the enforceable contract and the case classification letter establish that valuation basis. Exposure measurement does not establish statutory recognition or day-one income.\n\n### 3.2 Expanded exposure formulas\n\nAll collateral quantities below are after the applicable eligibility, valuation and haircut treatment. Received collateral is positive; posted collateral is negative in net C.\n\n```text\nalpha = 1.4\n\nRC_unmargined = max(V - C, 0)\nRC_margined   = max(V - C, TH + MTA - NICA, 0)\n\nAddOn_aggregate = sum_over_allocated_asset_classes(AddOn_class)\n\nif AddOn_aggregate > 0:\n    multiplier = min(1,\n                     0.05 + 0.95 * exp((V - C) /\n                                      (2 * 0.95 * AddOn_aggregate)))\n    PFE = multiplier * AddOn_aggregate\nif AddOn_aggregate = 0:\n    PFE = 0\n\nEAD_unmargined = 1.4 * (RC_unmargined + PFE_unmargined)\nEAD_margined_raw = 1.4 * (RC_margined + PFE_margined)\nEAD_margined = min(EAD_margined_raw,\n                  EAD_of_same_netting_set_calculated_as_unmargined)\n```\n\nAuthority: CRE52.1\u201352.2, 52.10, 52.18\u201352.23 and 52.25. The zero-add-on branch is the algebraic PFE limit and avoids division by zero; it is not a separate capital exemption. Recalculate the unmargined comparator with its own maturity and collateral treatment before applying the cap.\n\n| Input | Required meaning | Authority |\n|---|---|---|\n| TH | Positive threshold before P must provide VM to Meridian | CRE52.18\u201352.19 |\n| MTA | Minimum transfer amount applicable to P | CRE52.18\u201352.19 |\n| C | Net eligible haircut-valued collateral, including signed VM for a margined set | CRE52.10\u201352.11, 52.16\u201352.18 |\n| NICA | Eligible independent collateral received, less independent collateral Meridian posted without bankruptcy-remote segregation | CRE52.16\u201352.17 |\n| multiplier floor | 5%, when the aggregate add-on is positive | CRE52.22\u201352.23 |\n\nCollateral Meridian posted into a segregated bankruptcy-remote account is excluded from NICA under CRE52.17. Noncash received collateral is haircut down and posted noncash collateral is haircut up under CRE52.11. Eligibility, legal seizure rights and the applicable holding period must be established before a number enters C.\n\nA set is margined for SA-CCR only when the counterparty must post VM to the bank. An agreement under which only Meridian posts VM is unmargined for this purpose. Authority: CRE52.2.\n\nExact VM coverage does not generally eliminate exposure. RC is zero only if both `V-C <= 0` and `TH+MTA-NICA <= 0`. At `V=C` and positive add-on, the multiplier is exactly 1, not 0. Margin can shorten the PFE risk horizon while PFE remains positive. Excess eligible collateral can reduce the multiplier but not below 5%.\n\n### 3.3 Primary driver, reference tenor and supervisory delta\n\nCRE52.26\u201352.29 allocates a derivative by its primary driver, using sensitivities and underlying volatility for complex trades. Supervisors may require allocation to more than one class. Each allocated class needs its own appropriate sign and delta. CRE52.25 adds the class add-ons without cross-class diversification. CRE52.1 FAQ3 does not permit decomposing linear products into invented component trades merely to obtain a preferred treatment.\n\nFor interest-rate and credit positions:\n\n```text\nS_i = time in years until the referenced period starts, floored at 0\nE_i = time in years until the referenced period ends\nM_i = time in years until the latest date the derivative can remain active\n\nSD_raw_i = (exp(-0.05*S_i) - exp(-0.05*E_i)) / 0.05\nSD_i = max(SD_raw_i, ten_business_days_expressed_in_years)\nd_i = domestic_currency_notional_i * SD_i\nD_i = d_i * MF_i * delta_i\n```\n\nAuthority: CRE52.30\u201352.34. S and E follow the underlying instrument when the derivative references another interest-rate or credit instrument. M is the derivative's maturity. For an already-started reference period S=0. The supervisory 5% decay is not OIS, a funding spread, a hazard rate or a rating inference.\n\nA contract that genuinely settles all outstanding exposure and resets its terms so its entire fair value is zero can use time to that reset for the specified maturity treatment under CRE52.37(5). Daily VM or a floating-coupon reset does not establish that condition. The reference period used for supervisory duration is not shortened by margining or daily settlement, under CRE52.32 FAQ1.\n\nFor plain linear positions that are neither options nor CDO tranches, CRE52.39 prescribes delta +1 when value increases with the primary factor and -1 when it decreases. The factor for the credit branch is the spread, not the bond price. Thus the case's return-receiver delta is -1 for credit. Option volatility is used in an option-delta calculation, not multiplied into the linear add-on. An optional, tranched, leveraged, amortising or market-dependent-notional contract requires its actual CRE52 treatment; this case does not silently approximate it as the plain trade. Notional modifications are addressed by CRE52.37.\n\n### 3.4 Maturity factor and MPOR\n\n```text\nM_floored_i = max(M_i, ten_business_days_in_years)\nMF_unmargined_i = sqrt(min(M_floored_i, 1 year) / (1 year))\nMF_margined_i   = 1.5 * sqrt(MPOR_i / (1 year))\n```\n\nAuthority: CRE52.48\u201352.53. Use consistent time units. The one-year cap belongs to the unmargined maturity factor, not to reference supervisory duration, economic exposure, BA-CVA maturity or purchased-protection qualification.\n\n| Bilateral condition | Official MPOR floor or adjustment | Authority |\n|---|---|---|\n| Non-centrally-cleared, daily margin | 10 business days | CRE52.50 |\n| Non-daily margin | 9 business days plus the remargining period | CRE52.50 |\n| More than 5,000 transactions in the relevant non-CCP set | 20 business days | CRE52.51(1) |\n| Any illiquid collateral or OTC derivative not easily replaced | 20 business days | CRE52.51(2) |\n| More than two qualifying long margin disputes in the previous two quarters | Double the otherwise applicable supervisory floor for the subsequent two quarters | CRE52.51(3) |\n| Estimated MPOR exceeds the applicable floor | Use the estimate | CRE52.50 |\n\nStressed replaceability and dispute evidence are required. Centrally cleared exposures have separate CRE54 rules and are not this bilateral case. MPOR is the period from the market-observation date for the last answered collateral call through close-out and rehedging, under CRE50.19.\n\nCalculated under the disclosed 250-business-day convention:\n\n```text\nMF_unmargined at M=20 years = 1\nMF_margined at MPOR=20 BD  = 1.5*sqrt(20/250) = 0.4242640687\nMF_margined at MPOR=10 BD  = 1.5*sqrt(10/250) = 0.3000000000\n```\n\nThe 10-day value is a comparison only. It is not allowed for this hard-to-replace trade merely because its VM frequency is daily.\n\n### 3.5 Supervisory factors and aggregation\n\nThe credit SF uses the reference entity's rating, while the eventual CCR risk weight uses the derivative counterparty's exposure class and rating. The two are separate inputs. An issue-specific guarantee or structure can make an issue rating differ from its reference entity rating. Authority: CRE52.61(3), CRE52.72 and CRE51.13.\n\n| Class/subclass | SF | Correlation used in credit aggregation | Supervisory option volatility |\n|---|---:|---:|---:|\n| Interest rate | 0.50% | Not applicable | 50% |\n| Credit single name AAA | 0.38% | 50% | 100% |\n| Credit single name AA | 0.38% | 50% | 100% |\n| Credit single name A | 0.42% | 50% | 100% |\n| Credit single name BBB | 0.54% | 50% | 100% |\n| Credit single name BB | 1.06% | 50% | 100% |\n| Credit single name B | 1.60% | 50% | 100% |\n| Credit single name CCC | 6.00% | 50% | 100% |\n| Credit index investment grade | 0.38% | 80% | 80% |\n| Credit index speculative grade | 1.06% | 80% | 80% |\n\nAuthority for every table entry: CRE52.72 Table 2. The plain trade uses only its SF and delta, not the option-volatility column.\n\nCredit aggregation, under CRE52.60\u201352.64:\n\n```text\nEN_k = sum_of_D_i_for_reference_entity_k\n a_k = SF_k * EN_k\n\nAddOn_credit = sqrt((sum_k(rho_k*a_k))^2\n                    + sum_k((1-rho_k^2)*a_k^2))\n```\n\nEach index is a separate reference entity for aggregation. Trades on the same entity can offset through their signed effective notionals. Different entities retain idiosyncratic risk. For one entity, `AddOn_credit = abs(a_k)`: the 50% correlation is not a 50% discount on a standalone trade.\n\nIf the position is also allocated to interest rate, use one hedging set per currency. E assigns it to buckets less than one year, one to five years, or more than five years. Let DB1, DB2 and DB3 be the signed effective notionals summed within those buckets.\n\n```text\nEN_currency = sqrt(DB1^2 + DB2^2 + DB3^2\n                   + 1.4*DB1*DB2 + 1.4*DB2*DB3 + 0.6*DB1*DB3)\n\nAlternative when cross-bucket offsets are not recognised:\nEN_currency = abs(DB1) + abs(DB2) + abs(DB3)\n\nAddOn_IR = 0.005 * sum_currency(EN_currency)\nAddOn_dual = AddOn_credit + AddOn_IR\n```\n\nAuthority: CRE52.57 and 52.25. Driver-specific delta still matters for a portfolio even when the absolute value removes its sign for a single trade. A financing spread alone does not qualify for the special basis-transaction half-factor in CRE52.46/52.73.\n\n### 3.6 Numbers that isolate the regulatory mechanics\n\nThis illustration uses a single plain AAA-reference USD1bn trade, S=0, E=M=20, credit-only allocation, no recognised incurred CVA loss, and **V=0**. The margined column additionally has C=TH=MTA=NICA=0 at that observation, so both columns have RC=0 and multiplier=1. V=0 is a deliberately isolated arithmetic state, not the capstone's assumed initial legal mark.\n\n```text\nSD_20 = (1-exp(-0.05*20))/0.05 = 12.6424111766 years\nSD_15 = (1-exp(-0.05*15))/0.05 = 10.5526689452 years\n```\n\n| Calculated item | Unmargined | Margined, 20 BD |\n|---|---:|---:|\n| Credit add-on | 48,041,162.47 | 20,382,139.06 |\n| SA-CCR EAD, 1.4 times add-on | 67,257,627.46 | 28,534,994.68 |\n| CCR RWA at P's 30% weight | 20,177,288.24 | 8,560,498.40 |\n| Minimum total-capital component, 8% of that RWA | 1,614,183.06 | 684,839.87 |\n| IR add-on if separately allocated | 63,212,055.88 | 26,818,604.02 |\n| Credit plus IR add-on in dual-allocation countercase | 111,253,218.35 | 47,200,743.08 |\n\nThese are calculations from CRE52 and the disclosed case inputs. The last two rows show how a different supported driver allocation changes the result. They are not a permission to choose whichever treatment is cheaper. Positive V, changed reference price, different CSA terms or additional trades require recalculation.\n\n## 4. Default-risk weighting after SA-CCR\n\nCRE51.11 aggregates EAD across P's netting sets. CRE51.12 permits only the recognised incurred CVA write-down, excluding offsetting DVA, to reduce default-risk exposure:\n\n```text\nE_default_P = max(0, sum_NS_of_P(EAD_NS) - incurred_CVA_loss_P)\nCCR_RWA_P_without_protection = E_default_P * RW_P\n```\n\nThat incurred-CVA deduction does not apply to the CVA-risk capital calculation. A management reserve or a projected CVA loss is not automatically the incurred write-down specified by CRE51.12.\n\nCRE20.18 Table 6 supplies these bank ECRA weights:\n\n| Eligible external bank rating | Base RW | Qualifying short-term RW |\n|---|---:|---:|\n| AAA to AA- | 20% | 20% |\n| A+ to A- | 30% | 20% |\n| BBB+ to BBB- | 50% | 20% |\n| BB+ to B- | 100% | 50% |\n| Below B- | 150% | 150% |\n\nCRE20.16\u201320.20 requires eligible bank status, permitted/recognised external rating use, the appropriate support-adjusted rating and due diligence. Due diligence can move the exposure to a higher bucket, not a lower one. The short-term branch requires original maturity at most three months, or the specified goods-movement exposure at most six months, under CRE20.19. Daily VM or a short MPOR does not turn the 20-year TRS into that exposure.\n\nWhen external ratings are unavailable or prohibited, use the applicable SCRA process rather than equating SCRA Grade A with external A. CRE20.21 gives base weights of 40%, 75% and 150% for SCRA Grades A, B and C. Its footnote 15 permits 30% for an unrated bank only if all Grade A requirements hold and CET1 is at least 14% and Tier 1 leverage at least 5%. CRE20.40 requires equivalent prudential supervision before a securities firm or other financial institution receives bank treatment. These are alternative applicability branches, not undisclosed fallbacks for missing case facts.\n\n### 4.1 Source-elected other MDB treatment\n\n[CRE20.13][CRE20] defines a multilateral development bank as an institution created by a group of countries to provide financing and professional advice for economic and social development projects. CRE20.14 grants a zero risk weight only to MDBs meeting the Committee's eligibility criteria. Treaty status, a high rating or a reconstruction mandate alone does not establish that eligibility. CRE20.10's separate zero-weight treatment names specific institutions; it is not a general exemption for supranational borrowers.\n\nFor other MDBs in jurisdictions permitting external ratings for regulatory purposes, CRE20.15 Table 5 supplies the following base weights:\n\n| External rating of the MDB counterparty | Base RW |\n|---|---:|\n| AAA to AA- | 20% |\n| A+ to A- | 30% |\n| BBB+ to BBB- | 50% |\n| BB+ to B- | 100% |\n| Below B- | 150% |\n| Unrated | 50% |\n\nCRE20.15 also assigns 50% where the bank's jurisdiction does not permit external ratings. The current desk implements only the explicitly elected, rated branch. The published unrated row does not change the runtime's missing or unknown rating rejection. Its existing defaulted-unsecured treatment takes precedence over the performing-exposure table.\n\nSUP_01 explicitly assumes that the fictional Veylan Basin Reconstruction Community is an other MDB under CRE20.13, with multiple sovereign members and an economic and social reconstruction financing and advisory mandate. The fictional reporting jurisdiction permits eligible external ratings. The Community's own current eligible rating applies; the source expressly denies CRE20.14 zero-weight eligibility. This classification is a disclosed fictional case assumption, not a finding of real regulatory permission, a member-state guarantee or recourse to member-state assets. It changes no borrowing authority, immunity waiver, collateral right or desk mandate.\n\nThe authored `institutional_terms.borrower_capital_treatment` compiles into the actual `case.parties` borrower's `capital_treatment`. The closed record contains `exposure_class: \"other_mdb\"`, `external_ratings_permitted: true`, `zero_weight_eligible: false` and resolvable `evidence` at the existing `fictional-institutional-authority` locator. The party remains `kind: \"supranational\"` and `regulated_bank: false`. Missing or unsupported treatment facts, treatment attached to a non-supranational party, or unresolved evidence must fail rather than select a fallback. A rating event changes the rating, not these classification facts.\n\nThe separate `capital.other_mdb_risk_weights` policy table is selected only after that actual party's treatment is validated. Borrower loans and claims use the current borrower rating. An issued lot uses its actual issuer's classification and its own current instrument rating; it cannot inherit an unrelated borrower's treatment. The original sovereign, corporate and bank mappings, the original thirty-two families and static numerical baselines remain unchanged. P's bank treatment and SA-CCR exposure are unaffected.\n\n## 5. Comprehensive banking-book collateral\n\n### 5.1 Eligibility before haircut\n\nCRE22.2 governs banking-book standardised exposures. CRE22.9 and 22.26\u201322.29 require binding, enforceable documents in all relevant jurisdictions, necessary perfected rights, timely possession/liquidation, collateral operations and appropriate custody segregation. CRE22.7 requires that counterparty credit quality not have a material positive correlation with the CRM or its residual risks. Counterparty-issued or counterparty-related securities are ineligible collateral under that rule even if their rating looks strong.\n\nFor the rating-permitted branch, CRE22.34(3) and 22.45 require:\n\n| Debt category | Eligibility threshold or conditions |\n|---|---|\n| Sovereign or PSE treated as sovereign | At least BB- |\n| Other issuer, including banks and prudentially regulated financial institutions | At least BBB- |\n| Short-term debt | At least A-3/P-3 |\n| Unrated bank debt | Bank issue; recognised-exchange listing; senior debt; all equally senior rated issues at least BBB- or A-3/P-3; no information warranting a lower rating; supervisor satisfied with market liquidity |\n\nCRE22.49's table uses **issue rating**. CRE22.34 footnote 5 permits the specified sovereign issuer-rating substitution when no issue rating exists. It does not supply a general spread-curve-to-rating mapping. Store price, issue rating, reference-entity rating, counterparty rating and their effective dates separately.\n\nA B-rated sovereign security fails the BB- minimum. An ordinary non-sovereign security falling from BBB- to BB+ loses banking-book eligibility. The counterparty-related-issuer restriction is a separate failure regardless of either threshold. Material correlation analysis is required before using an otherwise eligible third-party issue.\n\nIn jurisdictions prohibiting ratings, CRE22.34(4) instead supplies sovereign/PSE, SCRA Grade A bank debt, investment-grade other-entity debt and qualifying securitisation conditions, with supervisory liquidity requirements. The table below gives that branch's haircuts separately. It is not legitimate to import the rating-permitted eligibility cliff into it without checking the applicable condition.\n\nEligible cash under CRE22.34(1) is cash, or the specified deposit/comparable instrument issued by the exposed lending bank, on deposit with that bank. This is not an exception allowing the borrowing counterparty's own bond. Third-party-bank non-custodial deposits assigned as unconditional, irrevocable security have their own third-party-bank-risk-weight treatment in footnote 4. A credit-linked-note exception does not mean an unfunded swap provides cash collateral. Resecuritisations are excluded under CRE22.35.\n\n### 5.2 Exposure formula\n\nFor a single comprehensive-approach collateralised exposure without a recognised netting calculation:\n\n```text\nE_star = max(0, E_current*(1+H_e) - C_current*(1-H_c-H_fx))\nRWA_collateralised = E_star * RW_counterparty\n```\n\nAuthority: CRE22.46 and 22.48. `H_e`, `H_c` and `H_fx` are decimal fractions. The collateral and FX haircuts are additive inside the formula. E is the bank's current exposure, C is eligible collateral it receives; their roles follow the transaction direction. In a cash loan E is the cash exposure, including relevant accrued amounts. In a repo cash-borrower CCR calculation, the securities posted and cash received must be mapped from the borrower's perspective.\n\nIf protection has a maturity mismatch, apply CRE22.10\u201322.14 to the already haircut-adjusted collateral amount under CRE22.47. The comprehensive approach reduces exposure; it does not replace the counterparty's RW with the collateral issuer's RW. Risk-weight substitution belongs to guarantees/credit derivatives, or the separately selected simple collateral approach.\n\nThe simple approach is not used by the case. CRE22.18 and 22.32\u201322.33 generally impose a 20% RW floor, require collateral for the life of the exposure and revaluation at least every six months; CRE22.11 prohibits a maturity mismatch there. Importing a simple-approach risk weight into the comprehensive formula mixes methods.\n\n### 5.3 Ten-business-day supervisory haircuts\n\nThe following percentages are the current CRE22.49 table, expanded so no row-spanning value is hidden. The basis is daily marking/remargining and a ten-business-day holding period. A security's residual maturity determines its row.\n\n| Issue-rating band | Residual maturity | Sovereign | Other issuer | Securitisation |\n|---|---|---:|---:|---:|\n| AAA to AA- / A-1 | At most 1 year | 0.5% | 1% | 2% |\n| AAA to AA- / A-1 | More than 1, at most 3 years | 2% | 3% | 8% |\n| AAA to AA- / A-1 | More than 3, at most 5 years | 2% | 4% | 8% |\n| AAA to AA- / A-1 | More than 5, at most 10 years | 4% | 6% | 16% |\n| AAA to AA- / A-1 | More than 10 years | 4% | 12% | 16% |\n| A+ to BBB- / A-2/A-3/P-3, including qualifying unrated bank debt | At most 1 year | 1% | 2% | 4% |\n| Same band | More than 1, at most 3 years | 3% | 4% | 12% |\n| Same band | More than 3, at most 5 years | 3% | 6% | 12% |\n| Same band | More than 5, at most 10 years | 6% | 12% | 24% |\n| Same band | More than 10 years | 6% | 20% | 24% |\n| BB+ to BB- | All maturities | 15% | Ineligible | Ineligible |\n\nFor the rating-prohibited branch, CRE22.50 prescribes these ten-day percentages:\n\n| Residual maturity | Sovereign RW 0% | Sovereign RW 20% or 50% | Sovereign RW 100% | Other investment-grade, non-securitisation | Senior securitisation, SA RW below 100% |\n|---|---:|---:|---:|---:|---:|\n| At most 1 year | 0.5% | 1% | 15% | 2% | 4% |\n| More than 1, at most 3 years | 2% | 3% | 15% | 4% | 12% |\n| More than 3, at most 5 years | 2% | 3% | 15% | 6% | 12% |\n| More than 5, at most 10 years | 4% | 6% | 15% | 12% | 24% |\n| More than 10 years | 4% | 6% | 15% | 20% | 24% |\n\nFurther CRE22.49\u201322.52 parameters:\n\n| Item | Ten-day haircut/treatment |\n|---|---|\n| Main-index equity/convertible and gold | 20% |\n| Other recognised-exchange equity/convertible | 30% |\n| Eligible same-currency cash | 0% |\n| Eligible fund | Highest haircut of a permitted holding unless the applicable look-through treatment permits a weighted average |\n| Other exposure types in CRE22.50 | 30% |\n| Exposure/collateral currency mismatch | 8%, under CRE22.52 |\n\nCRE22.51 includes sovereign-treated PSEs and zero-RW MDBs in the sovereign column; other PSEs use the other-issuer column. Eligibility is not created merely because an instrument can be assigned a table haircut.\n\n### 5.4 Scaling and stressed holding periods\n\n```text\nH_scaled = H_10 * sqrt((N_R + T_M - 1) / 10)\n```\n\nAuthority: CRE22.59. N_R is business days between remargining for capital-market transactions or revaluation for secured transactions. T_M is the applicable minimum holding period in business days. Daily means N_R=1. Scale the applicable FX haircut too.\n\n| Transaction | T_M | Required frequency basis | Authority |\n|---|---:|---|---|\n| Repo-style | 5 BD | Daily remargining | CRE22.57 |\n| Other capital-market transaction | 10 BD | Daily remargining | CRE22.57 |\n| Secured lending | 20 BD | Daily revaluation | CRE22.57 |\n\nCRE22.58 requires 10 days for the specified mixed repo/other-capital-market netting sets, 20 days for the specified more-than-5,000-trade condition and illiquid collateral, and doubles the otherwise applicable minimum after qualifying persistent disputes. Apply the condition and observation period, not a chosen favourable label.\n\nCalculated examples for a more-than-ten-year eligible AAA other-issuer security:\n\n```text\nDaily secured-loan haircut = 12%*sqrt(20/10) = 16.9705627485%\nDaily ordinary repo haircut = 12%*sqrt(5/10) = 8.4852813742%\nDaily secured-loan FX haircut = 8%*sqrt(20/10) = 11.3137084990%\n```\n\nThese are prudential haircuts, not negotiated commercial financing haircuts. Record an executable lender quote or a labelled commercial-term assumption separately. These rules do not derive that market quote mechanically from collateral volatility, a rating label or the lender's credit spread. If commercial terms use a different haircut, record both. A margin call, collateral shortfall and capital requirement are different outputs.\n\nFor unmargined derivative collateral, CRE52.5 and CRE52.10 FAQ apply the relevant one-year horizon: use CRE22.59 with N_R equal to the longest remaining transaction maturity capped at 250 days and cap the resulting haircut at 100%. For margined derivative collateral, use the applicable MPOR treatment. A five-day repo haircut must not be copied unchanged into either derivative branch.\n\nCRE22.60 permits zero-haircut repo treatment only at supervisory discretion and with all CRE22.36\u201322.37 conditions. These include core-market-participant status, eligible cash/zero-RW sovereign or PSE instruments on both sides, same currency, overnight or daily marks/margins, the four-business-day liquidation condition, proven settlement, standard documentation and enforceable immediate termination/seizure rights. AAA alone never establishes this exception.\n\n### 5.5 The eligibility cliff and the trading-book repo exception\n\nHolding E, collateral price, quantity, currency and counterparty RW fixed isolates the banking-book eligibility effect. For a cash exposure F with H_e=0 and no maturity mismatch:\n\n```text\nE_star_before = max(0, F - C*(1-H_c-H_fx))\nE_star_after_loss_of_eligibility = F\nDelta_RWA_eligibility_only = RW_counterparty*(F-E_star_before)\n```\n\nThis is a calculated consequence of CRE22.34, 22.46 and 22.48. It is not merely a move to a larger eligible haircut. Repricing, extra collateral, margin failures and changed counterparty RW are separate scenario changes.\n\nCRE22.54 applies a 30% exposure haircut when the bank lends or posts non-eligible instruments in an SFT. When it borrows non-eligible instruments, CRM may not be applied. Direction matters.\n\nKnown exception: CRE55.2 allows instruments included in the trading book to serve as collateral for trading-book repo-style transactions, subject to its rules. Conventional instruments outside banking-book collateral eligibility receive the haircut for non-main-index listed equities, currently 30%. Thus the banking-book BBB- cliff is not a universal trading-book repo cliff. CRE22.63 requires banking-book-eligible collateral for cross-book netting. This conventional-bond case does not invoke the separate cryptoasset exception.\n\nCRE56.1\u201356.7 defines a different minimum-haircut-floor regime for specified non-centrally-cleared financing of non-prudentially-supervised counterparties against non-government collateral and specified collateral upgrades. Its exemptions and scope must be checked; an in-scope floor breach receives unsecured-loan treatment. Those floors are not the valuation haircuts above.\n\n### 5.6 Recognised comprehensive SFT netting\n\nIf the case selects the supervisory-haircut MNA calculation, CRE22.62\u201322.65 requires enforceable default close-out, a single net amount and collateral liquidation/setoff rights. Otherwise calculate the transactions separately. CRE22.44 permits not recognising an MNA's netting benefit.\n\n```text\nnetexposure   = abs(sum_s(E_s*H_s))\ngrossexposure = sum_s(E_s*abs(H_s))\n\nE_star = max(0,\n             sum_i(E_i) - sum_j(C_j)\n             + 0.4*netexposure\n             + 0.6*grossexposure/sqrt(N)\n             + sum_fx(E_fx*H_fx))\n```\n\nAuthority: CRE22.65. E_i and C_j are current cash/securities lent or posted versus received or borrowed under the agreement. E_s is the positive net current value for a security issuance; H_s is positive for the net-lent/repo-like direction and negative for the net-borrowed/reverse-repo-like direction. N counts issues except those with E_s below one tenth of the largest E_s. E_fx is the absolute net position in each non-settlement currency. The formula is not the leverage SFT current-exposure formula in section 8.4. A missing or invalid netting inventory does not justify evaluating the square-root denominator with an invented N.\n\n## 6. Guarantees and CDS against P's default risk\n\n### 6.1 Recognition requires contract and provider qualification\n\nCRE22.9 and 22.71 require enforceable documentation, a direct claim on the protection provider, explicit exposure identification, irrevocability subject to the stated premium-payment exception, and unconditional timely payment. The seller cannot unilaterally cancel, shorten cover or increase its effective cost because the protected credit deteriorates.\n\nGuarantees must meet CRE22.73, including pursuit of the guarantor without first suing the original obligor, an explicitly documented obligation and coverage of the relevant payment types. Uncovered interest, margin or other obligations remain uncovered.\n\nA CDS must also satisfy CRE22.74:\n\n- Covered events include failure to pay with an appropriate grace period, bankruptcy/insolvency and the required restructuring event.\n- Protection persists through the relevant failure-to-pay grace period, subject to maturity treatment.\n- Cash settlement has a reliable loss-valuation process and specified post-event valuation period.\n- Any necessary consent to transfer the underlying obligation cannot be unreasonably withheld.\n- Credit-event determination is clearly assigned and is not solely controlled by the protection seller; the buyer can notify/request determination.\n- If the reference, deliverable or cash-settlement obligation differs from the protected obligation, CRE22.74(7) requires the permitted seniority relationship, the same legal obligor, and enforceable cross-default or cross-acceleration clauses. CRE22.74(8) imposes the parallel conditions for mismatched credit-event-trigger obligations.\n\nA standard bond CDS referencing P may meet the CVA-name test while failing a required derivative-obligation, reference, cross-default or settlement test for CCR protection. A CDS referencing U hedges U's issuer default, not P's failure to perform the TRS.\n\nIf restructuring is omitted, CRE22.75 recognises only `0.60 * min(hedge amount, underlying obligation amount)` when all its other conditions hold. CRE22.74 footnote 9 contains a narrower exception for qualifying corporate obligations with the specified unanimous-amendment and insolvency-law conditions. The 60% amount must not be used if other eligibility requirements fail.\n\nCRE22.76 separately governs eligible providers. Lower-risk-weight sovereigns, PSEs, MDBs, banks, securities firms and qualifying prudentially regulated financial institutions can qualify; other entities have the specified rating or investment-grade routes. The securitisation-provider case has additional conditions. Do not reuse the collateral BBB- eligibility rule as a universal provider test.\n\nOnly CDS and TRS providing guarantee-equivalent protection qualify under CRE22.77. That paragraph denies protection recognition where purchased-TRS receipts enter income without the offsetting deterioration in the protected asset. CRE22.78 denies CRM recognition for first-/nth-to-default basket protection. A tranche, retained first-loss amount or materiality threshold requires the specific treatment, not the simple proportional formula below. CRE22.79(2) assigns 1250% RW to the specified retained first-loss amount; CRE22.81 routes tranched seniority to securitisation rules.\n\n### 6.2 Currency, maturity and substitution\n\nFor protection G in a different currency, CRE22.82\u201322.83 prescribes:\n\n```text\nG_after_FX = G * (1-H_FX)\n```\n\nThe base H_FX is 8% on the ten-business-day/daily-marking basis, scaled under CRE22.59 as applicable. Do not apply a bond-price haircut to an unfunded CDS as if it were posted securities.\n\nFor a maturity mismatch, CRE22.10\u201322.14 and 22.72 prescribe:\n\n```text\nP = eligible protection after applicable haircuts/coverage adjustments\nT = min(5, residual maturity of protected exposure in years)\nt = min(T, residual effective maturity of protection in years)\nP_a = P * (t-0.25)/(T-0.25)\n```\n\nWhen a mismatch exists, original protection maturity must be at least one year and residual maturity at least three months under CRE22.12. These conditions are not a blanket ban on every short, maturity-matched hedge. Use the longest possible exposure maturity, including grace periods, and the shortest effective hedge maturity after calls/incentives under CRE22.14. A seller call or strongly incentivised buyer termination can shorten recognised cover.\n\nFor current default-risk exposure E_default, with ordinary proportional cover and an eligible lower-risk-weight provider H:\n\n```text\nE_protected = min(E_default, P_a)\nE_uncovered = E_default - E_protected\nCCR_RWA_after = E_protected*RW_H + E_uncovered*RW_P\n```\n\nAuthority: CRE22.23 and 22.79\u201322.80. This substitutes the protection provider's risk weight on the recognised covered part. It does not put CDS notional into C, set EAD to zero, or use U's AAA risk weight for P. CRE22.3 prevents a higher CRM capital requirement than the otherwise identical unmitigated exposure; CRE22.5 prevents double recognition of protection already reflected in the risk weight. Split different mitigation techniques and maturities under CRE22.8.\n\n### 6.3 Five-year protection against the continuing twenty-year exposure\n\nCalculated at inception, assuming all other conditions pass:\n\n```text\nExposure residual maturity = 20 years\nProtection residual maturity = 5 years\nT = 5; t = 5\nP_a/P = (5-0.25)/(5-0.25) = 1\n```\n\nThe correct initial maturity factor is 1, not 5/20. That result means no initial **maturity haircut** under CRE22.13. It does not mean the hedge pays for defaults after its contractual expiry, covers every future EAD, qualifies under every framework or is available to roll at the same price.\n\nFor a fixed five-year hedge with no renewal, elapsed u years and continuing exposure longer than five years:\n\n```text\nP_a(u) = P(u) * (4.75-u)/4.75, for 0 <= u <= 4.75\n```\n\n| Elapsed time | Remaining hedge term | Maturity factor |\n|---|---:|---:|\n| Inception | 5 years | 1.0000000000 |\n| Year 1 | 4 years | 0.7894736842 |\n| Year 4 | 1 year | 0.1578947368 |\n| Year 4.5 | 0.5 year | 0.0526315789 |\n| Year 4.75 | 0.25 year | 0 |\n| After year 4.75 while mismatch continues | Less than 0.25 year | No recognition |\n\nAt year five, the original twenty-year transaction still has a fifteen-year tail. Any renewal is a new, separately priced and executable action with new provider, eligibility and liquidity tests. A CDS sized to today's EAD may under-cover tomorrow's EAD. EAD includes PFE and is not itself a contractual amount payable on today's default.\n\n### 6.4 CCR, CVA and market-risk eligibility are separate decisions\n\nCRE51.16(1) gives zero separate CCR EAD to qualifying credit protection purchased against a banking-book or CCR exposure, while the protected exposure follows the applicable substitution rules. Do not extend that exception to every CVA hedge or every return-receiver TRS. The sold-banking-book-CDS exception in CRE51.16(2) has its own full-notional guarantee treatment and is not a generic TRS exemption.\n\nThere is no universal rule that a hedge must choose between CVA eligibility and CCR protection. RBC25.34 expressly permits the specified internal CVA/trading-book risk transfers also to hedge CCR when RBC25.21 is satisfied. That includes an exactly matched external hedge with an eligible third party and the referenced CRE22 conditions. An external hedge requires its own applicable CRM evidence. CVA acceptance of a same-sector/same-region proxy is not proof of default-risk CRM eligibility.\n\nMaintain separate records for CVA designation, CCR protection, market-risk treatment and the hedge provider's own exposures. Recalculate the combined portfolio; do not add isolated relief figures or count one protection payoff twice against the same loss. CRE51.12's incurred-CVA deduction remains inapplicable to CVA capital.\n\n## 7. Regulatory CVA capital\n\n### 7.1 Scope, default method and units\n\nMAR50.5 covers derivatives in both books except its QCCP/qualifying client-clearing exceptions. Fair-valued SFTs are included where the supervisor considers CVA exposure material. Zero accounting CVA does not itself remove an SFT from scope. MAR50.6 uses the bank's entire covered CVA portfolio plus eligible hedges.\n\nMAR50.7 requires BA-CVA absent supervisory SA-CVA approval. MAR50.13 allows reduced or full BA at the bank's discretion, but every BA bank calculates reduced BA. The case baseline is reduced BA and recognises no hedge benefit within that formula.\n\nMAR50.9 permits a separately elected whole-bank alternative for aggregate non-centrally-cleared derivative notional at most EUR100bn: CVA capital equals 100% of CCR capital, with no CVA hedge recognition and supervisory withdrawal rights. The USD1bn size of this trade does not establish the bank-wide threshold. This option is inactive in the case.\n\nMAR50 capital is a capital requirement. It is not an accounting CVA reserve, a derivative asset or an annual expense. MAR50.1 converts it to RWA with factor 12.5. Regulatory CVA excludes Meridian's own default under MAR50.3.\n\n### 7.2 Reduced BA-CVA, fully expanded\n\nFor each counterparty c and its netting sets NS:\n\n```text\nalpha = 1.4\nrho_BA = 0.50\nDS_BA = 0.65\n\nFor non-IMM:\n    DF_NS = (1-exp(-0.05*M_NS))/(0.05*M_NS)\nFor approved IMM:\n    DF_NS = 1\n\nSCVA_c = (RW_CVA_c/1.4) * sum_NS_of_c(M_NS*EAD_NS*DF_NS)\n\nK_reduced = sqrt((0.50*sum_c(SCVA_c))^2\n                 + 0.75*sum_c(SCVA_c^2))\n\nCapital_reduced = 0.65*K_reduced\nRWA_CVA = 12.5*Capital_CVA\n```\n\nAuthority: MAR50.14\u201350.15 and 50.1. The 0.65 scalar is outside K and applied once. The 50% correlation parameter has square 25%; the idiosyncratic coefficient is therefore 75%. Counterparty amounts are not simply added to obtain the portfolio requirement. All EADs are non-negative and use the specified CCR exposure method, not derivative notionals or the post-substitution risk-weighted amount. Do not subtract the CRE51.12 incurred CVA loss when determining CVA capital.\n\nM_NS uses CRE32.46\u201332.54 for the non-IMM bank, explicitly **without the five-year cap**, under MAR50.15(2). For derivatives under an MNA, CRE32.49 specifies notional-weighted transaction maturity. The ordinary one-year floor and applicable short-term exceptions are not silently removed along with the cap. In the single twenty-year case M_NS=20 at inception, not 5, 1, the next VM date or the deployment horizon. For a surviving single unchanged contract it is 15 at year five.\n\nThe supervisory discounting rate in DF is 5%, under MAR50.15 footnote 3. It is independent of the case's 4% OIS and any funding or hazard curve. Simulation maturity in an approved SA-CVA branch likewise extends to the longest contract under MAR50.32(6); a risk-grid endpoint is not contractual truncation.\n\nMAR50.16 Table 1 supplies every BA weight below:\n\n| Counterparty sector | IG | HY or NR |\n|---|---:|---:|\n| Sovereigns, central banks and MDBs | 0.5% | 2.0% |\n| Local government, government-backed non-financials, education and public administration | 1.0% | 4.0% |\n| Financials, including government-backed financials | 5.0% | 12.0% |\n| Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying | 3.0% | 7.0% |\n| Consumer goods/services, transportation/storage, administrative/support services | 3.0% | 8.5% |\n| Technology and telecommunications | 2.0% | 5.5% |\n| Health care, utilities, professional and technical activities | 1.5% | 5.0% |\n| Other | 5.0% | 12.0% |\n\nThese reflect the counterparty's spread volatility. P's financial-IG CVA weight is 5%, not its 30% default-risk weight and not U's 0.38% SF. When ratings are absent or not recognised, MAR50.16 permits internal-to-external mapping only with supervisory approval; otherwise the NR column applies. Market-implied spread curves do not automatically provide that approval or a rating.\n\nCalculated for the single-counterparty V=0 illustration in section 3.6:\n\n```text\nDF_20 = (1-exp(-0.05*20))/(0.05*20) = 0.6321205588\n```\n\n| Calculated CVA item | Unmargined | Margined, 20 BD |\n|---|---:|---:|\n| SCVA_P, using 5% financial-IG weight and M=20 | 30,367,806.47 | 12,883,969.13 |\n| Reduced BA capital, 0.65 times SCVA_P for one counterparty | 19,739,074.20 | 8,374,579.93 |\n\nThose are standalone CVA-capital illustrations. They are not total bank capital, reserve amounts or incremental portfolio KVA.\n\n### 7.3 Full BA-CVA hedge eligibility and formula\n\nMAR50.17\u201350.19 requires an actual counterparty-credit-spread CVA mitigation purpose and management as such. Eligible instruments are single-name CDS, single-name contingent CDS and index CDS. A single-name hedge may reference c, a legally related entity, or an entity in the same sector **and** region. Legal relation means parent/subsidiary or common-parent subsidiaries. General P&L correlation or a hedge of the deployment loan is insufficient.\n\nMAR50.26 prescribes the following r_hc, distinct from rho_BA:\n\n| Relation of single-name hedge h to c | r_hc |\n|---|---:|\n| Directly references c | 1.00 |\n| Legal relation | 0.80 |\n| Same sector and region | 0.50 |\n\nFor the bought-protection hedges used in the case, B_h and B_i below are hedge notionals and M_h and M_i are actual remaining hedge maturities. RW_h is the MAR50.16 weight of the hedge's reference name, not the protection seller H. A contingent single-name CDS uses the current market value of its reference portfolio/instrument as notional under MAR50.23(3).\n\n```text\nDF_h = (1-exp(-0.05*M_h))/(0.05*M_h)\nDF_i = (1-exp(-0.05*M_i))/(0.05*M_i)\n\nSNH_c = sum_single_name_h_for_c(r_hc*RW_h*M_h*B_h*DF_h)\nIH    = sum_index_i(RW_i*M_i*B_i*DF_i)\nHMA_c = sum_single_name_h_for_c(\n          (1-r_hc^2)*(RW_h*M_h*B_h*DF_h)^2)\n\nK_hedged = sqrt((0.50*sum_c(SCVA_c-SNH_c)-IH)^2\n                + 0.75*sum_c((SCVA_c-SNH_c)^2)\n                + sum_c(HMA_c))\n\nbeta = 0.25\nK_full = 0.25*K_reduced + 0.75*K_hedged\nCapital_full = 0.65*K_full\nRWA_CVA_full = 12.5*Capital_full\n```\n\nAuthority: MAR50.20\u201350.25. The index term reduces the systematic component, not each counterparty's idiosyncratic component. HMA capitalises proxy mismatch. Beta creates a floor relative to reduced BA for the covered portfolio, not a promise of a 75% saving in bank capital. Over-hedging can increase risk; do not clip signed residuals or replace the formula with an assumed saving.\n\nFor an index with one sector and one credit-quality group, `RW_i = 0.7*Table1_RW`. For a mixed index, `RW_i = 0.7*name_weighted_average(Table1_RW)`. Authority: MAR50.24(4). The complete hedge inventory, allocation, signs and remaining terms must be recorded; offsetting or sold positions cannot be silently converted to positive bought-protection notionals.\n\nThere is no five-year exposure cap here. The five-year CDS enters its own hedge term at M_h=5 while SCVA for the twenty-year exposure uses M_NS=20. CRE22's initial P_a/P=1 does not set `SNH_c=SCVA_c`. Hedge roll-down, changed EAD and the hedge provider's exposure all remain in the recalculation.\n\n### 7.4 Designation, hedge-provider charge and non-additive relief\n\nMAR50.11 requires every external CVA hedge that is a covered transaction, whether eligible or ineligible as a hedge, to enter the CVA calculation for its own provider H. The hedge on P creates another counterparty relationship. H is not removed because the trade was purchased for risk reduction.\n\nThe case's explicit method annex calculates H's normal SA-CCR netting-set exposure for this MAR50 purpose and includes `SCVA_H` in the full and reduced portfolio calculations. It separately records any CRE51.16(1) exemption from a CCR charge. That case treatment is disclosed to avoid treating a default-risk exemption as automatic zero hedge-provider CVA. If the actual jurisdiction/supervisor requires a different method interaction, replace the annex with an evidenced treatment before reporting legal compliance.\n\nAll eligible external CVA hedges are excluded from the MAR10\u2013MAR40 market-risk calculation under MAR50.11(2). Ineligible external CVA hedges remain trading-book instruments subject to that calculation under MAR50.11(3). Ineligibility removes a hedge benefit, not the underlying hedge risk. RBC25.30\u201325.33 corroborates the CVA/market-risk boundary.\n\nFor internal hedges, record the CVA-side position and opposite trading-book position and the risk/source documentation. MAR50.11(4)\u2013(5) and RBC25.30\u201325.33 impose the specified external exact-match requirements, including for the identified curvature/default/residual-risk cases. Regulatory CVA designation is not an IFRS hedge-accounting designation.\n\nThe measured capital change is the difference between full portfolio results before and after the action, including H. Sum neither standalone counterparty reductions nor separate CCR/CVA relief estimates as though diversification, netting, provider risk and the capital constraint were linear.\n\n### 7.5 SA-CVA is an approval-gated branch\n\nThe case has no SA-CVA approval and therefore does not produce an SA-CVA number. A hedge designation, convenient sensitivity model or market-risk SA permission cannot substitute for MAR50.7 approval.\n\nTo enable a different case, publish the approval, permitted scope, exposure models, monthly calculation/reporting capability, dedicated CVA risk-management function, validation and controls required by MAR50.28, 50.30 and 50.36. MAR50.32 requires market-implied PD term structures, market-consensus ELGD and simulated discounted exposures, including significant exposure/credit dependence and enforceable actual margin terms. Historical PD alone is insufficient; illiquid-name proxies must distinguish at least credit quality, industry and region. Its MPOR floors are `4+N` business days for the specified SFT/client-cleared transactions and `9+N` otherwise, where N is the remargining period.\n\nMAR50.37 permits only whole transactions used and managed to mitigate CVA risk; an agent cannot split a trade into convenient eligible fragments. MAR50.38 permits counterparty-spread and exposure-component hedges. MAR50.39 excludes instruments ineligible for market-risk IMA, with tranched credit derivatives as an example. MAR50.44 assigns an eligible credit-spread delta hedge wholly to counterparty-spread or reference-spread risk, not both.\n\nFor clarity, the current aggregation kernel is reproduced below. It does not enable an SA-CVA calculation without the approved sensitivities and all applicable risk-class weight/correlation tables.\n\n```text\nWS_k_CVA = RW_k*s_k_CVA\nWS_k_Hdg = RW_k*s_k_Hdg\nWS_k = WS_k_CVA - WS_k_Hdg\n\nR = 0.01\nK_b = sqrt(sum_k_in_b(WS_k^2)\n           + sum_k_in_b(sum_l_in_b_l_not_k(rho_kl*WS_k*WS_l))\n           + 0.01*sum_k_in_b(WS_k_Hdg^2))\n\nS_b = max(-K_b, min(sum_k_in_b(WS_k), K_b))\n\nm_CVA = 1, unless increased by the supervisor\nK_risk_class = m_CVA*sqrt(sum_b(K_b^2)\n                         + sum_b(sum_c_not_b(gamma_bc*S_b*S_c)))\n\nCapital_SA = sum_of_delta_risk_class_capital\n             + sum_of_vega_risk_class_capital\nRWA_CVA_SA = 12.5*Capital_SA\n```\n\nAuthority: MAR50.41\u201350.45 and 50.51\u201350.53. The 1% hedge-disallowance term is inside the square root and applies to squared hedge sensitivities. Cross-bucket aggregation uses clipped S_b, not K_b in its place. Delta has IR, FX, counterparty credit spread, reference credit spread, equity and commodity classes; vega excludes counterparty credit spread. MAR50.48 requires vega even without options; MAR50.27 excludes default and curvature from SA-CVA. Risk weights and correlations absent from an approved annex are missing inputs, not zeros or values borrowed from SA-CCR.\n\n## 8. Leverage: whole-book measurement\n\n### 8.1 Accounting mapping and minimum\n\n```text\nL_bank = L_on_balance_excluding_separately_measured_derivatives_and_SFTs\n         + L_derivatives + L_SFTs + L_off_balance_sheet\n\nLeverage_ratio = Tier1_available / L_bank\nMinimum_Tier1_for_leverage = 0.03*L_bank\n```\n\nAuthority: LEV20.3\u201320.7. The 3% minimum applies at all times, not only when a quarter-end report is taken. LEV40.1\u201340.2 adds a G-SIB Tier 1 leverage buffer equal to 50% of its risk-based higher-loss-absorbency requirement. National/Pillar 2 constraints and actual applicability must be separately supplied.\n\nLEV30.1\u201330.4 and 30.8\u201330.9 generally use gross accounting assets, with the specified separate derivative/SFT and provisions adjustments. A funding liability does not cancel a deployment asset. Collateral, guarantees and other CRM do not generally reduce leverage exposure unless the specific LEV rule allows it. LEV30.6 also addresses structures that inadequately capture leverage.\n\nCompare identical opening books and cash uses:\n\n| Funding structure | Owned U | Cash and deployment | Other required components |\n|---|---|---|---|\n| Repo borrowing | Retained, mapped once | Actual cash proceeds until spent, then deployment asset | Applicable adjusted SFT assets/current CCR, margin and other entries |\n| Sale plus return-receiver TRS, failed derecognition | Retained under the case accounting conclusion | Same proceeds/deployment; recognised liability does not offset assets | Treatment in the explicit fictional regulatory classification letter, including derivative and written-credit components |\n| Hypothetical valid derecognition | Remove only the asset actually derecognised | Actual sale proceeds/deployment still included | Derivative, applicable written-credit notional, collateral assets/gross-ups and other entries |\n\nThe repo cash borrower's liability is not an invented reverse-repo cash-loan asset. Conversely, a small current SFT counterparty gap does not remove the retained bond or the funded deployment. Reconcile each accounting asset once to its proper reporting component, then add any separately required regulatory exposure such as written-credit notional. Economic similarity is not authority to remove a required component.\n\nCalculated implication: at U=USD1bn and deployment=USD1bn, those two continuing assets alone contribute USD2bn and require USD60m at the 3% minimum, before the rest of the bank and additional adjustments. Omitting U removes USD30m of that minimum erroneously. If the case classification also includes a full additional USD1bn written-credit amount, that amount alone adds another USD30m before any permitted offset. This is not a claim that Basel universally requires that combined treatment for every failed sale; the case classification controls.\n\n### 8.2 Derivative exposure differs from risk-based SA-CCR\n\nFor proprietary bilateral derivatives under LEV30.14\u201330.16:\n\n```text\nRC_LEV = max(V - CVM_received + CVM_provided, 0)\nPFE_LEV = AddOn_aggregate\nD_LEV = 1.4*(RC_LEV + PFE_LEV)\n```\n\nCalculate per transaction unless bilateral netting qualifies under LEV30.17\u201330.20. CVM_received is qualifying cash VM not already reflected as a reduction of V in the accounts; CVM_provided is qualifying posted cash VM. Prevent duplicate accounting/RC deductions.\n\nThe leverage multiplier is fixed at 1 under LEV30.16(3)(a). Alpha remains 1.4, as in SA-CCR. The permitted margined maturity factor can still reduce the aggregate add-on. Ordinary noncash collateral or IM does not generally reduce leverage RC or its PFE multiplier. Written options remain included even if a risk-based exception would otherwise produce zero EAD. The specified client-clearing exception in LEV30.27 is not this proprietary TRS.\n\nLEV30.22\u201330.25 requires all cash-VM conditions before deduction:\n\n1. Received non-QCCP cash VM is not segregated and is available for use as the recipient's own cash.\n2. Daily valuation and at least daily transfer, including the permitted next-trading-morning settlement against the previous close.\n3. VM currency is specified by the derivative contract, MNA, CSA or CCP netting agreement.\n4. The exchanged amount extinguishes full MTM exposure subject to the applicable threshold/MTA; non-disputed exchanged amounts have the stated recognition treatment during a dispute.\n5. Derivatives and VM sit under a single enforceable MNA between the legal counterparties with explicit net settlement on a credit event and the required insolvency-law enforceability.\n\nReceived qualifying VM reduces RC, not PFE. The specified receivable for qualifying VM posted may be deducted while CVM_provided enters RC. LEV30.23 requires a gross-up if posting derivative collateral reduced accounting assets. LEV30.17\u201330.20 requires reasoned legal opinions, a single net legal obligation, supervisory acceptance and continuing review; walkaway clauses disqualify netting.\n\n### 8.3 Written-credit effective notional and full-tenor offset\n\nLEV30.30\u201330.32 adds the effective notional of written credit derivatives to derivative/collateral exposure because they provide credit protection on a reference entity. The definition includes arrangements beyond CDS and TRS. A bond total-return receiver can bear the issuer's credit loss and therefore write protection despite being called a receiver.\n\nFor the case's unlevered, no-offset, no-recognised-negative-FV-reduction state:\n\n```text\nW_LEV = effective_written_credit_notional = USD1,000,000,000\nL_legal_TRS_components = D_LEV + W_LEV + applicable_collateral_adjustments\n```\n\nThe legal classification must establish W, and effective notional must reflect any leverage/enhancement. LEV30.31 permits reduction for the specified negative fair value already reflected in Tier 1 and for purchased protection only when all its conditions hold. Do not assume either reduction from a management value alone.\n\nA purchased-protection offset requires the same reference name, terms at least as conservative as the written protection, the specified seniority/optionality/events/reference conditions, no prohibited highly correlated provider, consistent Tier 1 fair-value adjustments, and no excluded client-clearing purchased leg. LEV30.33 adds same-legal-entity and pool/subordination restrictions. LEV30.34 prevents a TRS-protection offset where receipts enter income without the required deterioration reflected in Tier 1.\n\nMost important tenor condition, LEV30.31(2): purchased protection's remaining maturity must be at least the written derivative's remaining maturity. There is **no five-year cap**. A five-year CDS cannot offset a twenty-year written-credit amount merely because its CRE22 maturity factor initially equals 1. A CDS on P also does not offset a written exposure referencing U's issuer.\n\nLEV30.35 permits exclusion from the PFE netting set of the unoffset written-protection portion whose effective notional is included in leverage exposure. Record the election and recompute PFE on the permitted remaining population. Do not mechanically add full written notional and an avoidable full PFE charge; do not remove RC, collateral adjustments, unrelated trades or written notional under the guise of this exception.\n\nThe baseline election is stated in section 2, item 14. For its single pure credit position entirely represented by included, unoffset W, the selected exclusion removes that position's PFE contribution. In a dual-risk allocation, the classification/implementation annex must specify the permitted exclusion without assuming unrelated risk positions vanish. The comparison publishes both the included W and the recalculated PFE, not an undocumented net total.\n\n### 8.4 SFT leverage\n\nFor a bank acting as principal, LEV30.37 requires adjusted gross accounting SFT assets plus current counterparty exposure. It does not apply SA-CCR alpha, a PFE add-on or CRE22 valuation haircuts to that current-exposure component.\n\n```text\nWith qualifying SFT MNA:\n    E_SFT_LEV = max(0, sum_i(E_i)-sum_i(C_i))\nWithout qualifying SFT MNA:\n    E_SFT_LEV = sum_i(max(0, E_i-C_i))\n\nL_SFT = adjusted_gross_accounting_SFT_assets + E_SFT_LEV\n```\n\nE_i/C_i are fair values of cash or securities lent/posted versus received. LEV30.37(2)(c) permits the specified cash-lent, own-netting-set exposure term to be zero where its gross cash receivable cannot net; the gross receivable itself remains. Received securities and triparty collateral follow the specific paragraph adjustments, not an assumption of unrestricted reuse.\n\nGross SFT cash receivable/payable netting under LEV30.37(1) requires the same counterparty, the same explicit final settlement date, enforceable normal-course and default setoff, and net/simultaneous or functionally equivalent settlement with the specified settlement-system and intraday funding arrangements. Open trades are not given a matching final date by assumption. Failed securities trades and matching cash legs must be separated when required.\n\nDefault close-out MNA netting under LEV30.38 is a separate permission for the **current CCR component only**. Its footnote 23 does not authorise netting gross accounting assets. Cross-book netting under LEV30.39 needs daily marking and banking-book-eligible collateral. LEV30.40 reverses the effect of SFT sale accounting and treats the SFT as financing for leverage. The limited agent/indemnity rules in LEV30.41\u201330.44 are not substituted for Meridian's principal funding position.\n\n## 9. Capital ratios and the desk KVA annex\n\n### 9.1 Official capital quantities\n\nRBC20.1 prescribes simultaneous minimum ratios:\n\n```text\nCET1_available / RWA_bank >= 0.045\nTier1_available / RWA_bank >= 0.06\nTotal_capital_available / RWA_bank >= 0.08\n```\n\nIts footnote adds the 2.5% CET1 conservation buffer and possible countercyclical/systemic buffers. The leverage requirement separately uses Tier 1 and the leverage denominator. These different eligible-capital definitions and buffers cannot be replaced by one ratio to certify compliance.\n\nRWA_bank must include all applicable credit, CCR, CVA, market and operational components and applicable constraints. Retained U and the deployment remain relevant; do not call their omission a portfolio allocation. CRE55.1 requires trading-book CCR separately from market risk. MAR50.1's `12.5*Capital_CVA` converts CVA capital into its RWA component. Consequently `0.08*RWA_CVA = Capital_CVA` for that minimum-total-capital arithmetic, not an extra second CVA charge.\n\n### 9.2 Explicit synthetic pricing convention\n\nBasel supplies exposure and minimum-capital requirements, not a universal KVA pricing formula. CAP50.1 distinguishes prudential valuation guidance from financial-reporting procedures; CAP50.10 calls for consideration of specified valuation adjustments but does not supply the following 10% capital-price rule.\n\nFor the capstone only, suppose the desk treats all allocated capital as equity and uses this minimum-only comparison:\n\n```text\nK_desk_book(t) = max(0.08*RWA_book(t), 0.03*L_book(t))\n\nDeltaK_j = K_desk_with_action(t_(j-1))\n           - K_desk_without_action(t_(j-1))\n\nDelta_t = 0.25 year\nt_j = j/4 years\nD_OIS(0,t_j) = (1+0.04/4)^(-j)\nh = 0.10 per year\n\nIncremental_KVA_0 = h * sum_j(\n                         Delta_t * D_OIS(0,t_j) * E[DeltaK_j])\n```\n\nCapital is sampled at the beginning of the quarter and held during that interval; the charge is paid at its end. Positive DeltaK is a cost, negative DeltaK an economic credit. The 10% is the desk's stated annual capital charge; the formula does not silently subtract OIS from it or reinterpret it as a Basel hurdle. The expectation requires published scenario weights or an explicitly deterministic path. It is not a hidden probability model.\n\nThe `max` is a fictional all-equity desk allocation comparing capital **levels**. It is not a Basel formula, does not replace simultaneous capital-quality tests and does not include undisclosed buffers. Compute with and without the action on the same opening portfolio; `max` of incremental standalone charges need not equal the difference of bank-level maxima.\n\nA funding-only quantity such as\n\n```text\nK_funding_CCR_CVA_component(t)\n    = 0.08*RWA_funding_CCR(t) + Capital_funding_CVA(t)\n```\n\nmay be priced with the same disclosed interval/discount convention as a component illustration. Label it `standalone funding CCR+CVA component`, not all-in KVA, portfolio incremental capital or leverage-constrained capital. It omits other assets, portfolio aggregation and possibly a binding leverage constraint.\n\nProject the selected obligations through year 20. A year-five deployment repayment changes the asset/cash portfolio but does not set the remaining funding exposure or KVA to zero. Capital can fall to zero for a closed position only after its contractual exposures, settlement receivables, written protection and collateral obligations have actually ended. A scheduled maturity date alone is insufficient if settlement or close-out remains unresolved.\n\nCVA/CCR diversification, the hedge provider, collateral calls, written-credit notional and binding-constraint switches make action benefits non-additive. Each feasible action needs its own price, execution rights, margin/cash effects and recomputed capital path. A lower capital requirement frees capacity. It does not itself create a cash receipt, repay borrowing or realise a trading profit.\n\nExpected KVA roll-down and any reserve release belong to the integrated reserve/P&L annex. They are not a second profit booking on top of the same change in the reserve. Structural action relief is the before/after path difference with market/time held as specified, not an expected release relabelled as a new trade gain.\n\n## 10. AVA boundary\n\nThe separately dated [EU-style valuation-capital annex](valuation-capital-annex.md) supplies the selected core-method model-risk example and its applicability gates. It computes residual same-source uncertainty, applies Method 1 with the current 50% aggregation parameter and shows an incremental USD0.600m AVA component. The 90% prudent-value criterion, CET1 deduction and separately assumed replacement-equity KVA are stated there. This is not the bank's total AVA, a simplified-method calculation or a claim that the global Basel comparator automatically adopts EU law.\n\nThe design keeps prudent capital adjustments separate from management CVA/FVA/KVA reserves and deferred day-one amounts. The companion annex shows the deduction in available CET1 and prices replacement equity under the same disclosed 10% hurdle and 4% quarterly OIS convention. It does not automatically create P&L or a cash borrowing need. Same-source accounting prudence is credited only under the annex's applicable rule; unsupported management funding value or a duplicate failed-sale derivative is not made an in-scope accounting asset by this calculation.\n\n## 11. Fail-closed input and decision gates\n\nA missing input is reported as missing. It is never inferred from a curve label, trade nickname, optimistic tenor reset, prior verifier output or desired capital result. Where the official rule supplies a conservative non-recognition consequence, calculate that branch and label it; otherwise do not certify a numerical or legal conclusion.\n\n| Gate | Required evidence/input | Treatment when absent or failed |\n|---|---|---|\n| Rules/version | As-of date, jurisdiction/comparator, dated sources, bank permissions | Use this dated global comparator only; no national-compliance claim or future-text substitution |\n| Principal funding | Executed or explicitly fictional cash/title/principal obligations | No assumption that the derivative alone advances N; no financing result without cash mapping |\n| Accounting/regulatory unit | Derecognition conclusion, statutory balance-sheet bridge, separate regulatory classification | Retain the established failed-sale accounting result; do not invent a separately recognised statutory derivative or unapproved regulatory mapping |\n| Full legal V | Entire confirmation, financing/return terms, reset base, close-out/accrual/termination conventions, market inputs | No substitution of funding-only management benefit and no default V=0 |\n| Reference and classification | Exact U and legal issuer, eligible rating evidence, S/E/M, fixed/variable notional, driver sensitivities/volatility, supervisory allocation | No assumed AAA SF, credit-only allocation, shortened tenor or plain-linear approximation |\n| Counterparty RW | P/H legal identity, bank eligibility, ECRA/SCRA regime, rating/grade, due diligence/support treatment | No reference-rating substitution or automatic letter-rating conversion |\n| Netting | Legal sets, eligible MNA, jurisdictional enforceability and legal opinions | No netting benefit; measure separate transactions under the applicable method |\n| CSA/margin | VM direction, frequency, TH, MTA, collateral inventory, custody/segregation, NICA, full-mark coverage | No assumed margined treatment or zero RC; one-way bank-posting remains unmargined for SA-CCR |\n| MPOR/holding period | Replaceability/liquidity, trade count, estimates, dispute history, business-day convention | No use of a lower daily-margin or repo floor without the facts; missing estimate blocks a claimed final exposure |\n| Collateral recognition | Issue category/rating, legal rights, liquidity, correlation, current value, currency, residual maturity and actual marking frequency | Deny unsupported CRM; counterparty/related securities and ineligible issues give no received-collateral relief in the banking-book branch |\n| MNA SFT route | Posted/received direction, issue-level positions, signed haircuts, N, currencies and agreement coverage | No invented netting count or derivative/SFT formula substitution |\n| Credit protection | Specific protected exposure, events, grace periods, same-obligor/reference/trigger tests, cross-default, settlement, provider qualification, currency, notional and options | Deny unsupported CCR protection; tenor alone does not establish qualification |\n| Protection roll-down | Actual original/residual maturity and future executed replacements | Apply the declining existing protection only; no assumed twenty-year roll or post-expiry payoff |\n| CVA method | Bank-wide coverage, reduced/full election, supervisor approvals, sector/quality mapping | BA baseline; no SA-CVA or small-portfolio alternative by trade-level inference; MAR50 NR weights apply where its stated conditions require them |\n| CVA hedge | Eligible instrument, actual managed purpose/designation, reference relation/region, complete hedge terms, provider H exposure and method annex | No full-BA hedge credit without evidence; retain the covered hedge's provider exposure and applicable market-risk treatment |\n| Simultaneous hedge recognition | Separate CCR/CVA/market-risk tests and allocation | No blanket exclusivity ban, but no unsupported additive relief or duplicated payoff |\n| Whole-book leverage | Opening accounts, retained U, cash/deployment mapping, funding liabilities, derivative/SFT components, margin assets/gross-ups, W and offset records | No RC/PFE-only comparison, automatic asset removal or claim that TRS dominates repo |\n| LEV reductions | Qualifying cash-VM/netting evidence, Tier 1 negative-FV adjustment, same-name full-tenor purchased protection, explicit 30.35 election | No collateral/IM multiplier reduction, five-year notional offset or undocumented PFE exclusion |\n| Capital and KVA | Whole-book RWA/L, available CET1/Tier1/total capital, buffers, with/without baseline, timing, hurdle, discounting, scenarios, terminal settlement | No compliance claim from minimum-only arithmetic; label standalone components; no assumed capital-as-cash or zero tail |\n| AVA | [Valuation-capital annex](valuation-capital-annex.md), identified in-scope accounting unit, CET1 sensitivity, uncertainty inputs, same-source overlap and category scope | No AVA on a management-only mark, no simplified/core mixing, no whole-reserve offset or unqualified total-bank claim; missing applicability is not zero |\n\n## 12. Minimum report required from an agent using this exhibit\n\nThe report must expose enough intermediate values to recompute each used branch without consulting a verifier:\n\n1. The selected source date, jurisdiction/comparator, case classification and all departures from section 2, each labelled official rule or case assumption.\n2. For each derivative netting set: full V, recognised collateral and haircuts, TH/MTA/NICA, S/E/M, notional/delta/SD/MF/SF, driver allocation, class add-ons, multiplier, RC, PFE and EAD. Show the unmargined cap comparator when used.\n3. For collateralised lending/SFTs: direction, eligibility/correlation result, independent price and rating state, haircut table row, scaled haircut/FX, maturity adjustment, E_star, counterparty RW and RWA. Keep any trading-book exception separate.\n4. For protection: qualifying exposure/events/reference/provider decision, adjusted P, T/t/P_a, protected/uncovered amounts and their RWs, plus residual-life and roll-down results. Record rejected protection rather than silently crediting it elsewhere.\n5. For CVA: all counterparties including H, EAD/M/DF/sector weights, SCVA values, reduced BA, eligible hedge inventory, SNH/IH/HMA, full BA where selected, final capital and RWA. Identify the provider-CVA method annex and distinguish capital from the valuation reserve.\n6. For leverage: an accounting-to-regulatory bridge, retained U, deployment/cash, derivative RC/PFE, written-credit W and every reduction, the 30.35 election, collateral gross-ups, SFT gross-assets/current-exposure treatment, other book components, L and Tier 1. Identify what actually changes between funding structures.\n7. For KVA: official capital outputs first, then the separately labelled desk allocation, beginning-of-interval with/without capital path, discount factors, scenario convention, paid-at-end charge, horizon and terminal-settlement evidence. Separate standalone components, expected roll-down and priced structural action relief.\n8. An explicit list of failed or missing gates, the application of [valuation-capital-annex.md](valuation-capital-annex.md) and the consequences for any claimed relief. Show its incremental-category boundary, CET1 impact and replacement-equity pricing separately. A plausible result is not a substitute for an unmet applicability condition.\n\n[CRE50]: https://www.bis.org/committees/bcbs/basel-framework/standard/cre/50/inforce/2019-12-15/published/2024-07-05\n[CRE51]: https://www.bis.org/committees/bcbs/basel-framework/standard/cre/51/inforce/2023-01-01/published/2020-03-27\n[CRE52]: https://www.bis.org/committees/bcbs/basel-framework/standard/cre/52/inforce/2023-01-01/published/2020-06-05\n[CRE20]: https://www.bis.org/committees/bcbs/basel-framework/standard/cre/20/inforce/2023-01-01/published/2025-06-10\n[CRE22]: https://www.bis.org/committees/bcbs/basel-framework/standard/cre/22/inforce/2023-01-01/published/2020-11-26\n[CRE32]: https://www.bis.org/committees/bcbs/basel-framework/standard/cre/32/inforce/2023-01-01/published/2020-03-27\n[CRE55]: https://www.bis.org/committees/bcbs/basel-framework/standard/cre/55/inforce/2023-01-01/published/2023-12-14\n[CRE56]: https://www.bis.org/committees/bcbs/basel-framework/standard/cre/56/inforce/2023-01-01/published/2021-07-01\n[MAR50]: https://www.bis.org/committees/bcbs/basel-framework/standard/mar/50/inforce/2023-01-01/published/2020-07-08\n[RBC25]: https://www.bis.org/committees/bcbs/basel-framework/standard/rbc/25/inforce/2023-01-01/published/2020-03-27\n[RBC20]: https://www.bis.org/committees/bcbs/basel-framework/standard/rbc/20/inforce/2023-01-01/published/2020-11-26\n[LEV20]: https://www.bis.org/committees/bcbs/basel-framework/standard/lev/20/inforce/2023-01-01/published/2020-03-27\n[LEV30]: https://www.bis.org/committees/bcbs/basel-framework/standard/lev/30/inforce/2023-01-01/published/2020-03-27\n[LEV40]: https://www.bis.org/committees/bcbs/basel-framework/standard/lev/40/inforce/2023-01-01/published/2020-03-27\n[CAP50]: https://www.bis.org/committees/bcbs/basel-framework/standard/cap/50/inforce/2019-12-15/published/2019-12-15\n[IFRS9]: https://www.ifrs.org/content/dam/ifrs/publications/html-standards/english/2026/issued/ifrs9.html\n[CVA2020]: https://www.bis.org/publications/202007-standards-targeted-revisions-credit-valuation-adjustment-risk-framework.pdf\n"
    },
    {
      "name": "docs/desk-runtime-contract.md",
      "sha256": "9c70cf772762ca0845b4d6b107d1ef948ebc557d397564566f74109e7fb16a3a",
      "text": "# Settled desk contract\n\nThis contract specifies the actual daily book, not the seventeen controlled financial report panels. It is a named synthetic desk convention supplementing the dated rulebook. The versions exported by `desk_contract.py` are `desk-state.v3`, `desk-envelope.v2` and `desk-policy.v3`, with no v1 aliases. Report labels remain `daily-book.v2` and `daily-grade.v1`; `worker-packet.v1` is unchanged. The active contract has nine report sections and twelve owners. Implementation and executed evidence are separate. The unchanged build-and-prove protocol records historical methodology, not a practitioner-first block on engineering or model execution.\n\n## Authority and module ownership\n\nThe evaluator owns the family, market path, state, immutable receipts and grading. A protected worker receives the current packet, public conventions and a writable work directory. Calculations are bounded data, never executable artifacts, and cannot change the book. Current `counterparty_constraints`, mandate rules and relevant legal source objects belong in the packet. Generated `accepted_positions`, gold, future external events and private evaluator history do not. The canonical base case and `FUND_01` seed 1 are deliberately declassified public practice, a separate publication boundary.\n\n`desk_ledger.py` owns economic state and accepted transitions. `desk_valuation.py` produces the independently valued book, including actual client outcome. `institutional.py` checks sourced legal findings, mandate decisions, client structure and recommendations for both report paths. `daily_grader.py` reads the submitted report and valued book. `desk_replay.py` independently folds receipt postings and state operations without calling the transition function. `desk_runtime.py` owns SQLite persistence, revisions, receipt chains, packets and CLI. `worker_boundary.py` owns worker launches, restart supervision and boundary probes. These are implementation boundaries, not claims that their acceptance runs passed.\n\n## Public function boundaries\n\n- `desk_ledger.initial_state(parameters, family) -> {state, receipts}`: generate explicit inception and pre-window contractual receipts, then the servicing-window state. Only this function interprets the disclosed opening endowment.\n- `desk_ledger.quote_board(parameters, family, state) -> list[quote]`: current executable actions, terms, capacity and legal prerequisites; quote ID includes market/legal versions and effective date. No future path.\n- `desk_ledger.settle_day(parameters, family, state, actions) -> {state, receipts, blockers}`: pure transition on a copy. An invalid action batch returns no economic mutation. A successfully settled day increments the calendar once and releases only events now available.\n- `desk_valuation.value_book(parameters, family, state) -> book`: deterministic Decimal financial output. No candidate data, future events, gold or prior candidate ledger. State contains received event effects, not a supplied exposure path.\n- `daily_grader.expected_daily_report(parameters, family, state, book, previous_book=None) -> report`: evaluator-only bounded daily assertions.\n- `daily_grader.grade_daily(parameters, family, state, report, previous_book=None) -> grade`: grade the submitted parent checkpoint before applying its actions or revealing tomorrow. Qualification is separate from twelve fixed-denominator owners. No accepted worker action anywhere in the run means `not_scoreable`, with no score. A first accepted day may retain the opening report for later scoring without comparing it to the post-action book. Invalid candidates receive `candidate_error`; reference or verifier failures receive `UNSCORABLE`; neither has a score. An accurate report of an unsuccessful client outcome can lose O11.\n- `desk_replay.replay_receipts(parameters, family, genesis, receipts) -> state`: independently recompute permitted amounts, paid-obligation identities, titles and capacity from immutable contract/quote/event terms before applying each receipt. Verify sequence, parent hash, balanced postings and unique IDs. It must not call `settle_day`, trust candidate assertions or accept a declared final balance. A balanced duplicate coupon with a fresh receipt ID must fail because its contract-period obligation is already paid.\n\nInternal state and receipts use exact decimal strings at serialization boundaries. Python computation uses Decimal. Hashes cover canonical sorted-key JSON; omit only the hash field itself. State is an economic object, not a report log: submitting a different calculation, an invalid envelope or an atomic rejected action cannot alter its hash.\n\n## Clock and settlement order\n\nThe family supplies `funding_start_date` and `window_start_date`. Event `day`/`available_at` is an integer calendar-day offset from the window start. Original funding and deployment coupons fall on calendar three-month anniversaries of funding inception, preserving end-of-month. Each whole coupon accrues 0.25 contractual years. Within a period, financial time is completed quarters times 0.25 plus 0.25 times elapsed actual days divided by the actual days in that period. This keeps twenty-year/five-year maturities and actual payment dates without treating every observation as a payment. Every later CDS, repo, facility, offset or reinvestment contract stores its own execution/effective date, payment schedule, maturity, accrued stub and business-day convention. Its age and premium dates are not the original funding clock; protection bought midquarter starts its five-year term and accrual at its own execution.\n\nThe evaluator derives opening accrual and any paid contractual history from inception; it does not move inception to the servicing window. Newly available dated news and the current day's ordered cash milestones are disclosed in the packet. Authored same-day order is preserved through explicit phases under `desk-event-bindings.md`; coupon-first and debit-first are different histories. A candidate action plan specifies a public phase. Envelope versions are checked once, but live cash, title, obligation balances, legal rights and quote capacity are checked against the staged state at every phase. A failed prior draw cannot fund a later action. A coupon announcement, invoice collection into a restricted correspondent account, licence, market opening or facility permission is not free cash. A missed earlier cutoff cannot be repaired by a later same-day coupon. Due obligations arise from contracts/events independently of candidate rejection; a rejected action cannot invent a payable. No future-day news is used to grade the current parent checkpoint.\n\nThe clock cannot be advanced by a worker request other than committing that day's accepted actions. `hold_capital` is an explicit risk decision; it changes no cash and carries the capital profile. An empty action list does not create an accepted worker action. The observation horizon is evaluator configuration, not a worker-visible completion signal. Restarted workers retain the same work volume and current authoritative packet.\n\n## State and receipts\n\nState fields are closed and versioned: `schema_version`, `family_id`, `day`, `as_of`, `financial_time`, `revision`, `market_version`, `legal_version`, `market`, `legal`, `accounts`, `lots`, `contracts`, `pending`, `obligations`, `accepted_action_ids`, `accepted_action_count`, `applied_event_ids`, `last_receipt_hash`, `last_receipt_sequence`. A public view includes the current state hash. The protected event path and evaluator outputs never enter it.\n\nAccounts are debit-positive trial-balance amounts with an explicit account-kind registry: unrestricted cash, restricted opening cash, restricted collections, retained U, deployment principal and accrued coupons, reinvestment principal, owned inventory, posted VM, unpaid receivables, repo debt, external unsecured debt, sale financing, legacy debt, received VM, return obligations, unpaid payables, claim allowances, contributed equity and named income/expense accounts. Total debits equal total credits. Each financial receipt identifies source/destination, contract, amount, asset/lot identity, economic purpose, available date and settled status.\n\nThe management ledger is a separate overlay journal with `funding_mark`, `hedge_asset`, `deferred_management_gain`, `management_XVA` and corresponding mark, deferral, reserve and hedge income accounts. It is posted at each valued checkpoint from old-market roll, current-market remeasurement and accepted-action effects. The statutory journal never acquires these management-only funding assets or liabilities. Independent overlay equity plus the explicit statutory bridge must reproduce statutory equity; no balancing plug is permitted.\n\nLots carry `id`, `instrument_id`, `quantity`, `owner`, `location`, `encumbrance`, `issued`, `return_obligation`, `reuse_permitted`, `enforceability`, `source_evidence`. Economic recognition does not imply legal title. U is statutorily retained but legally at the funding provider and cannot be sold or pledged again. A contingent issuance promise is not a security; a later issuance has a new identifier and no assumed liquidity.\n\nThe actual runtime starts with the source book's cash and paid opening trades, plus the separately disclosed allocation inventory as an owner contribution in kind. The contributed value equals the sum of those source lots' values. It is neither cash nor P&L. Every lot and the equity contribution appear in genesis receipts. This makes the allocation exercise an actual owned inventory rather than spending assets from an unrelated controlled panel. `initial_operating_cash` is a subset of total opening cash; the remainder is restricted under a named mandate. Neither a certificate nor a capital release adds cash.\n\nReceipts contain `id`, `sequence`, `day`, `action_id`, `event_id`, `kind`, `source_evidence`, `terms`, `postings`, `operations`, `previous_receipt_hash`, `hash`. Both identity fields are present and nullable; an action receipt and an event receipt cannot claim each other's identity. `terms` preserves the authenticated immutable input record. `postings` are balanced account deltas. Operations are closed economic changes to lots, contractual states, current market/legal facts and obligations, never a wholesale replacement state. Historical fills, locked financing spread and previous receipts are immutable. Replay validates legal title and cash conservation independently of declared report totals.\n\n`legal.decisions` and `legal.approvals` begin empty and retain accepted institutional history. A decision is `{id,kind,rule_id,subject_id,reason_code,submitted_at,status,source_evidence}`. Its ID is `decision:<action_id>`, kind is `escalate` or `decline`, and status is `escalated` or `declined`. An approval is `{id,rule_id,subject_id,approver_id,requested_at,effective_at,expires_at,status,used_by,source_evidence}`, with ID `approval:<action_id>` and status `pending`, `approved`, `declined`, `consumed` or `expired`. `used_by` is null except for the consuming accepted action ID. Dates are ISO strings and evidence retains the authored rule shape.\n\nDecision records are immutable. Pending approvals can become approved, declined or expired; approved approvals can become consumed or expired, not declined. Later changes create new receipts rather than rewriting requests. A pending approval resolves in one of two ways: an authored `approval_response` event for the same rule, subject and approver dated on or after the request moves it to the authored outcome on that event's day under an `event:approval_response` receipt; the scheduled review keeps it pending until then even past `effective_at`, and only catches up, from the following day, a request accepted after that event's phase; with no such event the review applies the rule's constant `approval_outcome` once `effective_at` arrives. Either way `expires_at` is fixed by the request and expiry wins. Approvers are parties; a rule may name the bank or an `internal_function` party (role `credit_committee`, `legal`, `compliance` or `desk_head`), and a rule naming a party absent from the case is a reference error at load. Creating a decision or approval, or changing an approval's status, increments `legal_version`; an identical re-put is a no-op. Approval dates satisfy `requested_at <= effective_at < expires_at`. Source action IDs must be accepted, and replay verifies identities and transitions.\n\nGenesis binds parameter, family, public-policy and event-binding hashes. Closed `accept_action` and `commit_day` operations record accepted IDs, increment revision/day once and derive `as_of`/financial time from the authenticated clock, including a zero-cash hold day. Replay recomputes those fields; it does not trust a replacement-state blob. A semantic receipt checker derives each expected amount/obligation from the bound sources independently of the live transition implementation. Balanced invented debt and repeat payment under a new receipt ID must fail that check.\n\n`last_receipt_sequence` starts at zero in genesis. Each emitted receipt increments it by one and updates `last_receipt_hash`; only the journal may update these derived fields. No candidate operation can assign them. Replay verifies contiguous sequence independently, so pure transitions and persistence require no hidden mutable sequence counter.\n\n## Envelope and atomicity\n\nThe `desk-envelope.v2` envelope contains `schema_version`, `parent_state_hash`, `revision`, `market_version`, `legal_version`, `actions`, `calculations`. Each action has a closed payload, unique `action_id`, public `phase` and bound `quote_id`; the version belongs to the outer envelope, not individual actions. Candidates cannot supply receipts or replace a quote's settlement price. Calculations retain the `daily-book.v2` label and require all nine sections; old five-section reports are invalid, not adapted.\n\nThe evaluator commits actions, generated receipts and the new state in one `BEGIN IMMEDIATE` transaction with unique action IDs. Stale parent/version/revision, unknown keys, nonfinite or malformed money, duplicate keys, oversize input, unknown quote and reused action ID reject before execution. A rejected economic batch is atomic; the run's rejection/blocker log is separate from economic state. Qualification can latch a fatal attempted legal/cash/title violation without pretending a rejected transfer occurred. No partial fill is manufactured.\n\n## Executable action set\n\n1. `hold_capital`: accept the current risk/capital cost without inventing a gain or cash.\n2. `execute_csa`: pay the quoted legal/operational price and schedule activation after the quoted business-day delay. Only the evidenced two-way agreement changes margined treatment. Actual VM transfers have separate receipts; RC uses transferred cash, not an unexecuted CSA label. Negative marks require liquidity. VM principal is not P&L.\n3. `substitute_collateral` and `reverse_substitution`: pay fees, meet custody/enforcement conditions and the effective date; swap actual rights. The quoted deployment yield concession starts only when substitution is effective. Original eligibility can return on reversal. Return obligation and existing reuse must be honoured before changing a lot.\n4. `execute_offset` then `consolidate_netting`: execute the separately quoted offset trade with its real upfront and future obligations. Consolidation pays its legal fee and changes netting only after the named jurisdiction opinions and novation confirmations arrive at the quoted delay. A master-agreement assertion alone creates no netting.\n5. `buy_protection` and `designate_protection`: execute the quoted CDS, accrue/pay its premium, preserve its own counterparty exposure and actual expiry. CCR maturity recognition and the economic tail are separate. Designation needs the stated eligible terms; it changes CVA-capital treatment, not premium history. An undesignated hedge retains the disclosed market-risk charge.\n6. `repo_allocate`: submit an actual whole-lot assignment to the quoted lenders. Recompute issuer concentration, minimum names, pool limits, market haircut, supervisory haircut and capital. Accepted cash arrives with title transfer/encumbrance and repo debt. Duplicate or unavailable lots reject. Repo maturity creates a real repayment/return obligation. Actual cash expense is contractual repo interest and explicit fees only. The static allocation objective's haircut funding and equity-hurdle terms remain disclosed noncash opportunity/capital allocation metrics; owner-contributed lots do not imply haircut borrowing. Never book the objective total as a cash fee.\n7. `repay_repo`, `sell_lot`, `buy_equivalent`, `return_collateral`: use current quoted prices, quantities and rights. An identical-return obligation forbids outright disposal; equivalent-return permission does not extinguish the obligation. Selling reusable received collateral creates a return liability, not sale profit. Buying an equivalent instrument uses cash and creates a newly identified lot. Returning a lot requires the secured debt's discharge and removes the matching obligation once.\n8. `draw_facility` and `repay_facility`: only the named, currently committed branch facility, within available limit. Permission is not a draw. Actual cash and debt move together; costs use its quoted unsecured funding spread. Default or legal suspension can remove undrawn capacity without erasing already drawn debt.\n9. `meet_margin_call`, `settle_payable`, `liquidate_collateral`, `reinvest`, `settle_claim`: act on identified existing obligations. No unknown payee, fabricated amount or unknown asset. Liquidation requires instrument existence, enforcement and an open realization market; default dependence and transfer controls are separate gates. Reinvestment spends actual matured principal at current quoted tenor/spread, not a precommitted year-five renewal.\n10. `escalate` and `decline`: submit a scoped `rule_id`, permitted `reason_code`, typed `premises` and `rationale` with the normal action/quote/phase fields. Accepted decisions create immutable dated receipts and `legal.decisions` entries, without financial postings. Escalation creates a pending approval resolved under the disclosed rule's approver, outcome, delay and validity period, or by that approver's authored dated response when one exists. A request is not approval. A declined route cannot execute without a new valid mandate or approval; unrelated routes remain available.\n\nActions are priced by the public current quote board. Scheduled legal effects and payments survive worker restart. Only an obligation created by an already accepted contract or authenticated external event can become overdue and trigger a qualification blocker. A rejected proposed CSA, CDS, repo or sale leaves no fee, principal, return liability or other economic mutation. Cash never silently becomes negative. No risk remedy may manufacture equity.\n\nMandate rules are scoped by action kind and subject, with tier `permitted`, `requires_approval` or `prohibited` and any stated amount cap. Execution under an approval requires the correct subject/rule, effective date, validity and unused authority; acceptance records consumption. Permission does not override intrinsic title, enforcement, instrument existence, cash, size or capital constraints. `escalate` and `decline` are accepted institutional actions, not no-op stand-ins for a failed trade.\n\n## Event effects and legal axes\n\nEvery authored event payload must map through an explicit, reviewed binding to closed effects, with its source ID. Unsupported `cash_rule`, right/status, settlement kind or contract is a reference failure. No keyword matching of prose. Effect categories are market curve/rating update; opening or closure of realization market; transfer restriction; named legal right status; current committed facility status; issued-instrument transition; contractual payment due; restricted collection receipt; final remittance; identified default; observability evidence; disputed claim recognition/payment; substitution request. News alone does not execute a trade.\n\nAt borrower/reference joint default, already-issued same-issuer collateral has the stated conditional liquidation value, including zero where specified. Independent paper does not inherit that zero. A contingent promise cannot be priced from a traded line and cannot be liquidated before issuance. A payment-rights collection can survive borrower default yet remain trapped by transfer controls. Market closure prevents realization even when credit and title are sound. These paths are separate machine facts, not a W-label switch.\n\nA repo-form deployment supplies legal title subject to the stated return obligation; a pledge leaves title with the pledgor. Neither adds a second statutory asset when the repo is a secured lending accounting unit. Reuse requires explicit permission, effective enforcement and an unencumbered current right. Conditional or denied enforcement cannot be inferred effective from a document title.\n\n## Valuation and accounting\n\nUse the common Decimal primitives and dated rules. The daily legal funding mark uses the matching quote's beta and conversion rate, actual remaining financial tenor, last paid price reset, actual delay to the next price settlement and current unpaid coupon stub. Its clean off-quarter component uses the explicitly quoted fractional-annuity convention; do not claim exact original-date coupon repricing. Exposure is derived from that mark and actual collateral. Current provider CDS drives CVA; current own unsecured bond spread drives actual debt funding. Bond-CDS basis is separately reported and is not substituted for the all-in spread over OIS.\n\nActual current SA-CCR uses `saccr` with the full legal mark and transferred VM amount, not `funding_capital`'s fully-collateralized clean projection shortcut. A signed CSA with delayed or partial VM does not set collateral equal to value. Future CVA/KVA projections disclose their assumed contractual settlement schedule separately from current exposure. Whole-book capital explicitly maps every new balance-sheet asset: contributed allocation inventory, restricted cash/collections, posted VM, accrued and overdue receivables, purchased equivalents and recognized return liabilities. Their risk weights and leverage inclusion are current worker-readable desk/authority inputs. `wholebook_capital`'s original four-asset mapping cannot silently treat new contributed inventory as free Tier1 equity without its matching asset exposure.\n\nA reserve charge is not a borrowing receipt. Funding drag is accrued on actual outstanding debt. Any explicit exposure-prefunding transaction must show both borrowed cash and its funded asset before a quadratic funding charge is claimed. The actual base and that conditional transaction cannot be added as though both had executed.\n\nProduce statutory and management books with a reconciled bridge. The retained-U funding unit has no second statutory derivative. Management clean gain, gross inception deferral and CVA/KVA reserves are shown separately. Deferral uses frozen inception inputs and a disclosed time/observability trigger; reserve theta is repricing at the old market after clock roll, reserve MTM is the difference from that rolled old-market value, and action release is separated from both. Hedge cash/premium/mark and actual cash funding drag have their own lines. Each attribution equals the independently posted journal's equity movement, with owner contributions excluded from P&L.\n\nPrudent valuation applies only to identified recognised fair-value exposures and supplied uncertainty evidence. No mechanical AVA is invented merely because a management reserve grew. Show the separate CET1 deduction and the replacement-equity/KVA consequence where the actual identified exposure supports it. Scheduled maturity removes only paid/closed obligations. Unpaid claims, collateral returns and allowances survive the date until receipt-backed settlement or evidenced discharge.\n\n## Daily score\n\nThere are twelve owners with weights 7, 7, 10, 7, 8, 7, 6, 8, 10, 10, 10 and 10, totalling 100. Required report sections are `rates`, `credit_xva`, `capital`, `liquidity`, `accounting`, `legal`, `compliance`, `structure` and `recommendation`. The daily report remains `daily-book.v2`, distinct from the controlled static report `back_to_back_funding_book.v1r2`. The historical eight-owner weights and matrices remain evidence for their original versions only.\n\nO1 checks legal roles, current funding mark, source of cash, remaining tenors, contractual deployment spread and title. O2 checks independent CDS/bond drivers, CVA, debt-funded UFVA and noncash/debt distinction. O3 checks actual SA-CCR, collateral eligibility/haircut/maturity recognition and capital. O4 checks executed protection, regulatory recognition, designation and uncovered tail. O5 checks real quotes/capacity, current inventory allocation and action cost. O6 checks instrument existence, accessible cash and deadline shortfalls. O7 checks accounting unit, observability and deferral. O8 checks reserve attribution, independent journals, funding drag, AVA and outstanding terminal claims.\n\nO9 checks sourced legal conclusions and conditions. O10 checks the scoped mandate decision and current approval status. O11 checks the actual client outcome, including delivery, deadline, executable legal form, classification, return duties, required approvals, borrowing ceiling, contractual spread and bank viability. O12 checks the selected recommendation, binding constraint and alternatives against conclusion-specific support. `institutional.report_properties()` supplies the four schema sections; `grade_sections()` checks the report independently of the reference answer from `expected_sections()`. Supported alternatives can pass without matching reference wording or a whole premise list.\n\nInstitutional premises identify `source`, RFC6901 `pointer`, `relation` and `value`. Relations are `eq`, `ne`, `gte`, `lte` or `contains`; source is `case`, `state`, `book` or `report`. Financial values are Decimal strings. Authenticated case/state/book facts provide authority. A report assertion cannot authenticate itself, and an unrelated true fact cannot support a conclusion. Rationales remain free explanation; neither length nor keywords determine the grade.\n\nFatal legal/cash/title/ineligible-mitigation/fabricated-capacity errors disqualify independently of dense score. An accurate report of a rejected proposal is not an executed violation, but accurately reporting an unsuccessful client outcome does not earn O11. Missing evidence cannot earn an owner. A no-action run is not scoreable. The run result retains the final replay-valued book and elapsed-day-weighted owner history; later recovery cannot erase earlier unsuccessful or missing checkpoints. The static controlled KEEP proposal is not used to declare the capital-deficient live base viable.\n\n## Required execution evidence\n\nAfter the family static gate: exercise all accepted action kinds, stale/duplicate/unknown quote refusals, atomic rejection, illegal reuse/double sale/double pledge/phantom cash refusals, no-action refusal, calculations-only state invariance, action-history dependence at the same final market, real restart with persistent work, independent receipt replay, every authored event binding and legal axis, deadline before later receipt, year-five reinvestment and year-twenty unresolved settlement. Grade each isolated daily-owner mutation and retain its matrix. Container canaries must exercise actual denied reads/network, not a Docker-argument inspection alone. Runtime and static financial audit receipts retain their distinct scopes.\n\n## Implementation interfaces and ownership\n\nThe historical family static gate in `evidence/build-and-prove/families-03/evidence/family-audit.json` records 64 generated roots/golds/identity matrices and 32 reseeds under the earlier contract. It is not current twelve-owner, runtime or statistical-independence evidence. A generated root contains `family.json`, `fixtures/numerical-inputs.json` and the selected case. Bindings remain evaluator-owned under the source bundle's `fixtures/event-bindings/`.\n\n`desk_contract.py` owns exact-decimal serialization, canonical hashing, calendar functions, closed state/envelope/receipt shapes and the journal primitive. `desk_ledger.py` owns opening receipts, atomic orchestration and checkpoint postings. `desk_events.py` owns authored effects, dated approval transitions and scheduled obligations. `desk_actions.py` owns quotes, scoped mandate checks and accepted-action economics. `desk_valuation.py` owns valuations and management overlays; its `client_outcome` comes from the shared pure institutional helper. `desk_replay.py` owns independent semantic replay. `daily_grader.py` owns the nine-section daily report and financial owner checks, consuming shared O9-O12 semantics. `desk_runtime.py` owns persistence and CLI. Main integrates and runs verification after writers finish.\n\nAll of these files live under `src/`. Common helpers are `D(value)`, `serial(value)`, `canonical(value)`, `state_hash(state)`, `add_months(date, months)`, `financial_time(family, date)` and `as_of(family, day)`. `CandidateError` is a data/structural refusal; `ActionError` contains a stable refusal code and optional fatal blocker. Missing or inconsistent evaluator inputs raise `ReferenceError`. A complete validated source context is `context = {parameters, family, case, bindings, policy}`; the runtime obtains it with `load_context(family_root, source_root)`. Neither that object nor a source path supplied by a worker is a public worker capability.\n\nThe loader computes `policy.source_binding` from the raw public policy, generated input files and required rule-document bytes. This derived object contains relative source identities and hashes, never evaluator filesystem paths. An authored policy cannot supply that reserved field. The raw policy hash excludes this loader-generated binding to avoid recursive hashing. The context remains the five-key object above; candidate packets cannot override its source manifest.\n\nInternal state is plain JSON-compatible data; monetary quantities remain decimal strings between modules. `accounts`, `lots`, `contracts` and `obligations` use stable identity keys. Accounts are signed debit-positive balances. Their closed prefixes identify statutory assets, liabilities, equity, income, expense or management-only overlay. `pending` is an ordered array of accepted dated effects. `legal.rights` is keyed by right, scope and collection identity; it cannot turn scoped permission into general permission. `legal` also holds decisions, approvals, transfer status, observability, facility status and irreversible default facts. `market` retains the authored curves, own CDS, role-specific rating labels and realization-market status. Opening incremental curve moves are explicitly zero by convention; required spreads and ratings still come from source inputs.\n\nA journal is `Journal(state)` with mutable `.state` and generated `.receipts`. `emit(kind, postings, operations, source_evidence, *, action_id=None, event_id=None, terms=None)` verifies debit/credit conservation, applies closed operations, chains a canonical hash and appends one immutable receipt. `postings` is an account-to-signed-decimal dictionary. `terms` is an immutable quoted/contract/event input record, not candidate-declared settlement truth. Operations may change a named lot, contract, obligation, current market/legal fact or accepted/clock field; they cannot replace the entire state. The journal enforces structure and conservation, while action/event handlers enforce economic eligibility. The replay verifier derives permitted economics separately; calling the same handler to reproduce a receipt is prohibited.\n\nOperations use the discriminator `op`. A journal may retain staging metadata `.parent_state`, `.parent_state_hash`, `.parent_revision`, `.parent_market_version`, `.parent_legal_version`, `.phase`, `.action_quotes` and `.blockers`. None is an additional economic state field or a candidate capability. Any `.sequence_start` is derived from `state.last_receipt_sequence`, never supplied as independent authority. The derived source binding may include `documents: {logical_id: {sha256, text}}` for exact reviewed citation spans. These documents must be hash-checked. Only spans actually made available to the worker can support a scored citation.\n\nEvents export `load_bindings(source_root, family)`, `visible_events(context, day)`, `day_phases(context, state)`, `apply_event(context, journal, event)` and `settle_scheduled(context, journal, phase)`. Actions export `quote_board(context, state)` and `apply_action(context, journal, action)`. Actions include `phase`, `action_id`, `kind`, and `quote_id` where priced; each kind has a closed payload. Ledger exports `initial_state(parameters, family, *, context)`, `quote_board(parameters, family, state, *, context)` and `settle_day(parameters, family, state, actions, *, context)`. These retain the financial signatures above while making source context explicit. A successful result includes `state`, `receipts`, `blockers` and `accepted`; an atomic refusal returns the unchanged economic state and no receipts. Empty actions are calculation-only and cannot advance the clock. A hold is an accepted action.\n\nThe current day's complete available event sequence and phase IDs are public. The action quote board binds the parent revision and each quoted phase's disclosed market/legal inputs. Cash, title and remaining capacity are checked again against the staged state when an action executes. Scheduled receipts respect authored ordering and period-specific overrides. Settlement processes only the current day's disclosed phases, then increments day once and publishes tomorrow's available packet. Publication alone does not receive cash. No future-day event may influence today's action eligibility or quoted capacity.\n\nValuation exports `value_book(parameters, family, state, *, context)` and `checkpoint_overlay(parameters, family, previous_state, state, *, context)`. The latter returns explicit target overlay balances and an attribution independently tied to those balances; ledger emits the checkpoint postings. Valuation must not import action/event/ledger transition handlers. Current statutory totals, management totals and their bridge remain separate. Replay may use common pricing primitives and the pure valuation module, but cannot import `desk_ledger`, `desk_actions` or `desk_events` transition handlers. It independently verifies receipt sources, amounts, unique economic obligations, legal gates, operations and chain before comparing the final valued book.\n\nDaily grading exports `expected_daily_report(parameters, family, state, book, previous_book=None, *, context)` and `grade_daily(parameters, family, state, report, previous_book=None, *, context)`. Reports retain `schema_version=\"daily-book.v2\"`, `parent_state_hash`, nine required sections and current source support. Grades retain `daily-grade.v1`. Financial fields are owned separately; O9-O12 check institutional conclusions through `institutional.py`. The runtime grades the parent checkpoint, not the returned next-day state. A provisional opening grade is not a scoreable run until an actual worker action is accepted. A rejected action may retain a truthful parent report without pretending execution. Missing/rejected checkpoint credit is not dropped from the fixed observation denominator.\n\nRuntime commands are `init`, `packet`, `submit`, `replay` and `result`, with explicit family/source roots, database path and bounded input/output paths. The database stores source hashes, genesis, state, receipts, accepted-action uniqueness, rejected attempts, parent-checkpoint grades and actual client-outcome history. A single SQLite transaction covers an accepted envelope. Protected packets contain current state, quotes, available events/bindings, prior accepted receipts, public constraints, mandate and conventions/calculator. They exclude generated reference positions, gold, grade diagnostics, future external events, evaluator paths and the observation-stop horizon. The Modal bridge copies only the curated packet and bounded candidate output.\n\n### Snapshot builder\n\n`desk_snapshot.py` is the one seam above `init` and `submit` that turns a desk path into a static case (ADR-0001). `build(family_root=, source_root=, script_path=, day=, output=, engine_root=None, node=\"node\")` and the CLI `build --family-root R --source-root S --script script.json --day N --output DIR [--engine-root E]` open a `DeskRuntime` in a temporary database, submit one envelope per scripted day, and freeze the day-N result under `DIR`. The frozen root is never appended to; `DIR` must not exist.\n\nThe script is `{\"schema_version\": \"desk-snapshot-script.v1\", \"days\": [batch, ...]}` with exactly N batches. A batch is `{\"actions\": [...], \"calculations\": object|null}`; `actions` is nonempty because an empty action list is calculation-only and never advances the clock, so a pure prefix uses `hold_capital`. A scripted action carries `kind`, `action_id`, its closed payload, and optionally `phase` and `quote_terms` (a subset of the quote's `terms`); `quote_id` is never scripted because quote ids embed the parent revision and versions. The builder resolves each action against the current quote board by kind, then phase, then term subset, taking the earliest phase. Every batch must settle as `accepted` and advance exactly one day; a refusal, `settled_prefix` or `calculations_recorded` aborts the build with `SnapshotError` and no output.\n\nThe frozen root is the `export_practice` layout plus the snapshot artifacts: byte copies of the static schemas, rule documents, `docs/exhibit-fields.md`, `fixtures/numerical-inputs.json`, `worker/legal-terms.txt` and `worker/docs/desk-runtime-contract.md` from the family root and `fixtures/desk-policy.json` from the source root; `worker/packet.json`, the day-N packet with every receipt page concatenated (`receipt_window.after_sequence` 0, `has_more` false; this file is not bounded by `max_packet_bytes`); `fixtures/case-exhibits.json`, one case whose `episode_id` is the family branch (one of the five static case ids, which is how the static grader selects it), whose public keys are verified identical to the packet's `public_inputs.case`, carrying the static-schema tables the family case already carries, plus the `RECEIPT_LOG` document and `snapshot: {day, parent_state_hash, run_prefix_hash}` where `run_prefix_hash` is `state.last_receipt_hash`; `docs/receipt-log.md`, one anchored section per receipt id whose summary line is the locator quote and whose body is the canonical receipt; and `snapshot-manifest.json` with the script digest and content hashes. `family.json`, `binding-manifest.json`, `fixtures/expected-reports.json` and `fixtures/mutation-fixtures.json` are excluded. The static validator requires `snapshot` and `RECEIPT_LOG` to appear together; cases without either validate unchanged.\n\nDeterminism: two builds of the same roots, script and day are byte-identical. The packet's `run_id` (a UUID minted at `init`) is replaced by the first 32 hex digits of SHA-256(canonical script, parent_state_hash); attempt and run timestamps stay in the discarded temporary database; receipts carry no wall-clock fields; all generated JSON is written with sorted keys.\n\nGrader-only refusal: before any path is created, the builder scans the family's public surface (the case's public keys and `worker/*.json`) and every JSON value it would write for the union of the worker boundary's forbidden keys, the probe suite's private packet fields, `accepted_positions`, `expected_report` and the static recipe vocabulary (`expected_reports`, `mutations`, `supplemental_mutations`, `expected_failure_matrix` and their row fields). Any hit raises `GraderOnlyContent` (CLI exit 3) and nothing is written. Rating labels named `grade` beside a `scope` or `instrument` field are source data, not a leak. The single exemption is the static schema's required `accepted_positions` table at the top level of the case in `fixtures/case-exhibits.json`, which is evaluator-side; it is refused anywhere else, including under `worker/`. Schema files are byte copies and are not content-scanned. Acceptance is `src/test_desk_snapshot.py`; a worked script is `fixtures/snapshot-scripts/FUND_01-hold-day3.json`.\n\n`public_inputs.case` contains `as_of`, `base_currency`, `bank`, `book`, `parties`, `instruments`, `agreements`, `opinions`, `collateral`, `netting_sets`, `counterparty_constraints` and `mandate` from the current case. It excludes `accepted_positions`, future/scenario cash-event arrays and the documents annex. Reviewed legal source material is supplied through the authenticated public-document mechanism, not by exposing the evaluator's case file wholesale.\n\n### Exact state vocabulary\n\nTop-level state keys are the closed list in State and receipts; no evaluator context, grade or future event path is stored in it. Genesis `last_receipt_hash` is 64 zeroes and all counters start at zero. `accounts` uses these exact debit-positive names: `cash`, `restricted_cash`, `restricted_collections`, `retained_U`, `deployment_principal`, `deployment_accrued`, `reinvestment_principal`, `inventory`, `posted_vm`, `unpaid_receivable`, `statutory_derivative_asset`, `statutory_derivative_liability`, `repo_debt`, `facility_debt`, `sale_financing`, `legacy_debt`, `received_vm`, `return_liability`, `unpaid_payable`, `claim_allowance`, `contributed_equity`, `income_carry`, `income_mark`, `income_hedge`, `expense_fees`, `expense_funding`, `expense_loss`, `management_funding_mark`, `management_hedge_asset`, `management_deferral`, `management_xva`, `management_income_mark`, `management_income_deferral`, `management_income_reserve`, `management_income_hedge`. The eight `management_` accounts form a separate balanced overlay. All accounts exist from genesis, even if zero. A liability/equity/income credit is negative. Core account balances are never inferred from candidate totals.\n\nThe statutory derivative accounts record only actual separately recognized OFFSET or CDS contracts. They do not create a second derivative for the retained-U funding accounting unit. The public runtime offset quote treats the quoted value as signed legal fair value: fair consideration received by the desk is its negative. The original quoted upfront fixes the running spread; the current remaining-tenor quote determines today's fair consideration. Cash plus the newly recognized signed derivative balance has zero inception P&L before real fees. The static netting comparison already contains both trades and is not evidence that either fill occurred in the daily book. An outstanding derivative liability is not an overdue cash payable; only a dated contractual payment creates that obligation.\n\n`market` has exactly `funding_move`, `reference_move`, `own_bond_spread`, `own_cds_spread`, `provider_cds`, `em_move`, `ratings`, `market_open`. `ratings` maps `funding_reference`, `deployment_collateral`, `provider`, `borrower` to source labels. `legal` has `rights`, `transfer_blocks`, `observable`, `facility_status`, `defaults`, `substitution_requests`, `disputes`, `decisions`, `approvals`. `transfer_blocks` has exactly two booleans, `custody_delivery` and `cash_remittance`, initialized by the explicit policy map and changed only by an authenticated event's required `scopes`. No scalar or missing-scope fallback exists. Securities delivery, substitution and realizability use the custody rail and retain their separate title/delivery rights; borrower distributions and matured redemption use actual cash and the cash-remittance rail. A release changes only its named rail. Collection remittance still requires its own named-batch licence, and the independent funding contract is unchanged. The liquidity report exposes the same complete map. `rights` keys are `right|scope|collection_id`, with the last part empty unless collection-scoped; values are `effective`, `conditional` or `denied`. `defaults` keys are `borrower`, `provider`, `reference_issuer`; true cannot revert. Requests/disputes retain their originating IDs and source obligations/batches. Decisions and approvals use the closed records above, not unstructured permission prose.\n\nEvery `lots[id]` contains `id`, `instrument_id`, `quantity`, `owner`, `location`, `encumbrance`, `issued`, `return_obligation`, `reuse_permitted`, `enforceability`, `source_evidence`, `book_value`, `issuer_id`, `issuer_kind`, `rating`, `maturity_date`, `coupon_spread`, `correlation`, `class`. Values for `class` are `funding_reference`, `deployment_collateral`, `allocation_inventory`, `replacement`, `equivalent`, `payment_rights`. `encumbrance` is null or an accepted contract ID. An unissued promise is not a lot. Source received security ownership remains the borrower for a pledge and the desk with a return obligation for a repo/title transfer; statutory loan exposure is never doubled by that legal form.\n\nEvery `contracts[id]` has `id`, `kind`, `status`, `execution_date`, `effective_date`, `maturity_date`, `payment_dates`, `terms`, `state`, `source_evidence`. Immutable `terms` are copied from the authenticated source/quote. Contract `state` contains only the per-kind consumed balances/reset/paid-period fields specified by its handler. Live IDs begin `FUND_TRS`, `DEP_LOAN`, `DEP_SECURITY`, `LEGACY`, `FACILITY`; later IDs are `kind:action_id`. New contract states cannot amend locked historical terms. Each `obligations[id]` has `id`, `kind`, `contract_id`, `period_id`, `amount`, `remaining`, `paid_amount`, `side`, `due_day`, `status`, `source_evidence`, `metadata`; side is `payable` or `receivable`, status is `open`, `paid`, `written_off` or `disputed`. Identity is contractual period or authenticated event, not a fresh settlement receipt. `metadata` records the exact batch, account or deposit purpose needed by the specific obligation kind.\n\n`pending` items have `id`, `kind`, `due_date`, `contract_id`, `action_id`, `terms`, `source_evidence`. A source due date is public once its originating action/contract/event is known. It is not a hidden future external event. `accepted_action_ids` and `applied_event_ids` are arrays with uniqueness enforced. Source numeric policies required beyond the inherited inputs belong in worker-readable `fixtures/desk-policy.json`, owned by CoreLedger. That file must explicitly map the new account classes' capital and leverage treatment, business-day/weekend convention, repo and reinvestment conventions, default/claim assumptions and supported finite resource limits. A policy value cannot silently substitute for a missing source price, instrument, legal gate or quote.\n\nOperations are a closed union: `put_lot`, `put_contract`, `put_obligation`, `put_decision`, `put_approval` with `id,value`; `remove_lot` with `id`; `set_market`, `set_legal` with `key,value`; `put_right` with `key,value`; `put_dispute`, `put_request` with `id,value`; `add_pending` with `value`; `remove_pending` with `id`; `accept_action`, `mark_event` with `id`; and `commit_day` with `day,as_of,financial_time,revision`. No arbitrary JSON-pointer or account-mutation operation is accepted. Accounts change through balanced postings. Replay independently checks each operation, including decision/approval identity, dates, mandate scope and consumption.\n\nQuotes have `id`, `kind`, `parent_state_hash`, `revision`, `market_version`, `legal_version`, `phase`, `as_of`, `valid_until`, `terms`, `source_evidence`. Phase IDs are integer gaps `0..n` around the current day's authored events, with scheduled milestones included by `day_phases`. Common action fields are `kind,action_id,phase,quote_id`. Additional fields: `amount` for facility draw/repayment; `assignments` for repo allocation; `contract_id` for repo repayment/designation/reversal; `lot_id` for sale/return/liquidation; `instrument_id,quantity` for buying equivalent; `obligation_id,amount` for margin/payable/claim settlement; `amount,tenor_years` for reinvestment; `rule_id,reason_code,premises,rationale` for escalation/decline. Other kinds have no extra payload. All per-kind fields are required; unknown fields reject.\n\nDecision payload limits are 16 premises, 2,000 rationale characters and 32 scalar items in a premise value list. `rule_id` and `reason_code` are nonempty identifiers of at most 128 characters. Action-premise pointers start with `/` and follow RFC6901. Floats and nested value objects are not accepted. State retains at most 256 decisions and 256 approvals under the disclosed policy limits.\n\nBase contract state keys are closed. `FUND_TRS` has `principal`, `last_reset_price`, `last_reset_date`, `last_accrual_date`, `paid_periods`, `reset_periods`, `observability_history`, `vm_balance`, `unsettled_stub`, `netting_id`, `checkpoint_attribution`. `DEP_LOAN` has `outstanding_principal`, `paid_periods`, `prefunding`, `concession_spread`, `concession_start_date`, `last_accrual_date`. `DEP_SECURITY` has `active_lot_id`, `collection_batches`, `rights_chain`, `liquidated_quantity`, `returned`. `LEGACY` and `FACILITY` have `outstanding_principal`, `interest_accrued`, `interest_paid`, `last_accrual_date`, `paid_periods`. Later contract kinds use the initiating action kind and the handler's reviewed, closed state shape.\n\nThe evaluator freezes an optional `observation_end_day` at initialization outside economic state and outside the worker packet. Final normalized scoring uses that fixed observation span; any unobserved remainder after stalling or a fatal blocker contributes zero without fabricating a clock advance or receipt. Live results expose a provisional raw score integral and elapsed coverage, not a final normalized score. No configured span means no final percentage. A fatal blocker ends observation and prevents further accepted actions. Missing or invalid calculations contribute zero on an otherwise valid accepted day; malformed envelopes still reject before any action. A later accepted envelope uses its own exact-parent report, never the best score from rejected attempts.\n\nA fatal assertion in otherwise well-formed parent calculations does not cancel valid actions in the same envelope. The evaluator grades the parent, settles independently valid actions, then latches report and settlement blockers before another day can execute. Thus changing calculations alone cannot change that envelope's cash or title. A reference failure prevents execution; a structurally invalid envelope or economically invalid action batch remains an atomic refusal.\n\nBook output retains `schema_version=\"daily-book-value.v2\"`, `parent_state_hash`, `as_of`, `financial_time`, `rates`, `credit_xva`, `capital`, `liquidity`, `accounting`, `source_evidence` and adds `client_outcome`. `accounting` retains separate `statutory`, `management`, `bridge`, `attribution`, `terminal` sections. Valuation sends computed values directly to DailyGrade. `rates.deployment_coupon_spread` follows the executed loan and effective substitution concessions, not an inference from annual expense. `checkpoint_overlay` returns `postings`, `attribution`, `targets`, `source_evidence`; no unexplained residual account may force reconciliation.\n\n`client_outcome(case, parameters, *, family, state, book)` in `institutional.py` derives the outcome from authenticated inputs without calling valuation. Identity fields are `party_id`, `legal_form`, `classification`, `currency`, `funding_deadline`; amounts are `cash_required`, `cash_delivered`, `contractual_spread`, `capital_shortfall`, `deadline_shortfall`. `delivered_at` is a date or null. Predicates are `deadline_met`, `legal_form_allowed`, `classification_consistent`, `return_obligation_met`, `approvals_satisfied`, `client_executable`, `bank_viable`, `successful`, `borrowing_ceiling_satisfied`, `maximum_spread_satisfied`, `inherited_delivery`. `failures` retains the reasons. Missing or invalid source facts are reference errors; unmet client goals are unsuccessful outcomes.\n\nOriginal borrower delivery comes from the settled `CF_DEPLOY` source cash flow and its `opening_deployment` receipt, not current outstanding principal or a new worker action. Its original settlement date determines deadline performance. A setup payment to P is not a borrower fee. Later action costs and effective contractual terms remain in their own receipts and valuations. Final outcomes do not replace the stored history of earlier failed owner-days.\n\nThe run result's `institutional` object contains `client_outcome_owner=\"O11\"`, `checkpoint_outcomes`, `final_client_outcome`, `decisions` and `approvals`. `checkpoint_outcomes` reports `observed_days`, `successful_days`, `unsuccessful_days`, `inherited_successful_days` and `latest`. A latest row identifies `attempt_id`, `parent_state_hash`, `day`, `revision`, `elapsed_days` and `client_outcome`. `history().attempts[i].checkpoint.client_outcome` retains the immutable parent outcome independently of report validity. Outcome days are not summed cash flows.\n\nEach owner's score integral uses its exact-parent grade weight times checkpoint `elapsed_days`. O11 requires successful actual outcome plus accurate source-supported reporting. Inherited success may earn current O11 credit but stays tagged as inherited. A fixed evaluator observation span includes any unobserved remainder at zero; without a configured span there is no final percentage. `final_client_outcome` cannot overwrite history or award retroactive points.\n\n## Explicit scenario windows\n\n`family_generator.generate_scenario_windows(root, output_root, seeds=(1,))` materializes the selected windows into a fresh output directory and writes `manifest.json` with `schema_version=\"scenario_windows.v1\"`, `source_file`, `source_sha256`, `windows`, `independence_established` and `actual_axis_consequences`. Window rows retain the generated-family identity and root, purpose, observation end day, funding/window/anchor dates and scenario-definition hash. Generation records `independence_established=false` and `actual_axis_consequences=\"pending_runtime\"`; it does not claim execution.\n\nPass the materialized manifest to `desk_probes.audit_desk(..., scenario_windows_manifest=...)` or its `--window-manifest` CLI option. Omission produces a missing-window proof, not a pass. There is no fallback to an older directory or automatic selection of the newest run. The supplied manifest must bind current `fixtures/scenario-windows.json` bytes and seed-1 roots for all six definitions, each with its declared 20-day horizon. The original four windows are unchanged; `FUND_04_Q20_EQUIVALENT_RETURN` and `DPR_05_Q1_PARTIAL_PRICE_RETURN` are expressly related lifecycle regression windows, not additional independent families. A scored window is not extended to 24 days to obtain a later favorable result. The manifest and generated roots accompany the run's evidence; this evaluator configuration does not expose tomorrow's events to a protected worker.\n"
    },
    {
      "name": "docs/economic-specification.md",
      "sha256": "80cb44c6e1c3346e1d345eb0647e2381fc97f074150654a3ce0aa6f4129daf44",
      "text": "# Economic specification of the funding book\n\nAs of 19 September 2026. This is a fictional USD book and a public contract for its standalone numerical verifier. It is not a production installation, an observed transaction, or a national regulatory opinion. The exact source requests are preserved in [user-request.xml](../sources/user-request.xml) and [source-structures.xml](../sources/source-structures.xml). The transaction and event evidence is in [exhibit-fields.md](exhibit-fields.md); the connected episodes and their boundaries are in [world-topology.md](world-topology.md). The accepted economic corrections are specified below, with the detailed capital and accounting conventions in [capital-rulebook.md](capital-rulebook.md), [capital-actions.md](capital-actions.md) and [reserve-module.md](reserve-module.md).\n\nThe book retains the requested USD1bn, twenty-year funding against five-year EM deployment. It does not turn that mismatch into a fully hedged trade. The corrections below distinguish a funding opportunity from an enforceable claim, an accounting charge from cash expenditure, and capital capacity from money available to settle a payment.\n\n## 1. Evidence, units and numerical ownership\n\nThe transaction documents, quote sheets, curve observations, legal opinions, event notices and ledger openings in [case-exhibits.json](../fixtures/case-exhibits.json) are fictional public exhibits. [numerical-inputs.json](../fixtures/numerical-inputs.json) is the canonical numerical input. Amounts there are USD, rates are decimal fractions, and times are years unless a field explicitly specifies business days. Tables below use USD millions where stated.\n\nOfficial rules are identified by paragraph and dated source in [capital-rulebook.md](capital-rulebook.md) and [valuation-capital-annex.md](valuation-capital-annex.md). Pricing curves, the quarter grid, quote conversion, recoveries, joint stresses, funding facilities and the 10% capital price are synthetic assumptions. Arithmetic implied by those assumptions is a calculated illustration, not evidence of observed market calibration. A legal or accounting conclusion requires the supplied opinion and its covered facts. An unresolved condition remains unresolved rather than receiving a numerical default.\n\nThe implementation boundary is explicit:\n\n- `numerical_fixture.compute_core(parameters)` produces marks, sensitivities, CVA, capital profiles, KVA, priced actions and the allocation solution.\n- `reserve_ledger.simulate_cash(parameters, reference_credit_move, funding_move, own_spread)` produces actual quarterly cash, title and financing consequences.\n- `reserve_ledger.compute_reserves(parameters, core)` produces the management reserve schedules, attribution and independent accounting bridge.\n- `validate_exhibits.validate_bundle(root)` checks the public case envelope and references before any report is graded. Missing required facts raise `ReferenceError`; they are not a candidate's scored economic mistake.\n\nDisplayed numerical results come from the original flat-bundle execution snapshots [core-results.json](../evidence/baseline/core-results.json) and [reserves-results.json](../evidence/baseline/reserves-results.json). [numerical-anchors.json](../evidence/baseline/numerical-anchors.json) and [action-anchors.json](../evidence/baseline/action-anchors.json) collect the relevant baseline outputs. Formulas below define the calculations; the output files retain their precision. Recognised incurred CVA is explicitly zero in the base capital calculation. None of these computed outputs is an input exposure path or evidence of real-world calibration. Historical output hashes do not attest the organized files' changed paths.\n\n## 2. Both legs, including the source of principal\n\n### 2.1 Contract terms\n\n| Quantity | Public assumption |\n|---|---|\n| Funding notional and opening reference value, N | USD1,000,000,000 |\n| Funding maturity | 20 years, 80 quarterly settlement periods |\n| Deployment maturity | 5 years, 20 quarterly interest periods and bullet repayment |\n| Numerical period, delta | 0.25 year |\n| OIS, r | 4% nominal annual, compounded quarterly for this calculation |\n| Initial internal AAA composite spread, b0 | 20bp, including its disclosed desk add-on |\n| Executed financing margin over b0 | 50bp |\n| Locked financing spread over OIS, k | b0 + 50bp = 70bp; subsequent b moves do not reset k |\n| Matching replacement quote margin over b | 80bp in the synthetic joint quote process |\n| Initial matching replacement spread, m0 | b0 + 80bp = 100bp over OIS |\n| U reference coupon | OIS + 100bp, initially 5% annually |\n| EM deployment coupon | OIS + 400bp, initially 8% annually |\n| Funding provider CDS and recovery | 80bp; 40% recovery in the disclosed flat-hazard illustration |\n| Own unsecured bond spread | 50bp initially; 150bp in the selected funding stress |\n| Own CDS spread | 30bp initially, independently specified |\n| Opening legacy borrowing | USD1bn, at OIS, still outstanding after the new funding transaction |\n| Opening freely usable cash | USD100m before the separately identified day-one fee |\n\nU is an already-issued, ordinary AAA financial floating-rate note. Meridian initially owns it. Meridian sells legal title to U to the funding provider P and receives its total return back under the twenty-year TRS. Meridian is total-return receiver and financing payer. The sale supplies USD1bn; the unfunded derivative supplies no second principal.\n\nThe EM borrower receives the USD1bn sale proceeds. Its loan is separate from the TRS and from P. Deployment collateral, U, and CSA collateral held against P are three different legal objects. U held by P is not collateral received by Meridian against P's default.\n\nThe calendar-based confirmations use their stated day counts, resets and settlement dates. The numerical proof uses the disclosed exact quarter grid. It does not silently claim that every dated quarter is 0.25 under ACT/365F.\n\n### 2.2 Opening cash and statutory balance sheet\n\nThe table is before fees, reserves and subsequent market movements. Amounts are USD millions.\n\n| Stage | Cash | Statutory assets other than cash | Statutory liabilities | Equity | Legal effect |\n|---|---:|---|---|---:|---|\n| Opening | 100 | U 1,000 | Legacy borrowing 1,000 | 100 | Meridian owns U |\n| Sale of U to P settles | 1,100 | U 1,000 retained for accounting | Legacy borrowing 1,000; new financing liability 1,000 | 100 | Title to U passes to P; sale proceeds arrive |\n| TRS execution | 1,100 | No duplicate statutory derivative for the retained rights | Existing financing remains | 100 | Meridian receives U's return and pays financing; no new principal |\n| EM advance settles | 100 | U 1,000; EM advance 1,000 | Legacy 1,000; financing 1,000 | 100 | EM borrower receives 1,000; security rights arise only as documented |\n\nThe same-transferee sale plus full return retention fails derecognition in this case. [IFRS 9, 2026 issued edition][IFRS9], paragraphs 3.2.15, B3.2.14 and B3.2.16(o), supports retention of U and recognition of the financing liability without recognising the same rights again as a derivative. Legal ownership and accounting recognition therefore differ. Paragraph 3.2.22 also prevents treating the accounting asset and associated liability as an automatically net presentation.\n\nThe USD1m day-one fee is an actual setup-service fee, expensed and paid after the sale and deployment settle. It reduces unrestricted cash to USD99m and statutory equity to USD99m before management X. It is not assumed to be a lifetime financing fee eligible for capitalisation. The payment has its own source entry; it cannot be hidden in a noncash reserve or represented as a second funding advance.\n\nThe explicit fictional regulatory classification letter separately selects SA-CCR for the legal TRS and the relevant written-credit leverage treatment. That selection is not an inference from IFRS, and it does not permit a second statutory asset. Without the classification letter, derivative versus financing/SFT treatment needs adjudication before those capital formulas can be used.\n\n### 2.3 Quarterly return and financing cash\n\nLet p_j be U's ex-distribution price per unit of face and let the opening price be 1. Equivalently, use the identified quantity Q_U and currency price P_j with Q_U P_0 = N. The formulas below use the normalised price. Let d_j be the distribution per unit of face and p_last the reference price from the last actual settled return reset.\n\n```text\nTRS_cash_j = N * (d_j + p_j - p_last)\n             - N * delta_j * (OIS_j + k)\n\nFor a surviving ordinary quarter:\n    d_j = delta_j * (OIS_j + 0.01)\n\nAt U's final redemption:\n    p_j = 0\n    d_j = delta_j * (OIS_j + 0.01) + 1\n```\n\nThe final price is zero because the note has redeemed; its principal is already in d_j. Adding another N receipt or payment to this return formula would double count principal. A payment instruction is not an actual reset until the specified settlement has occurred. Unpaid return, accrued financing and a disputed amount remain in the close-out valuation.\n\nAt unchanged par and OIS, quarterly TRS cash is USD0.750m and annual TRS cash is USD3m. The EM loan pays USD20m quarterly for five years, and the legacy borrowing costs USD10m quarterly. Whole-book quarterly operating cash before cash-account interest, new borrowing, fees and hedges is therefore USD10.750m during the first five years. The USD3m annual TRS amount is a funding-only panel, not the full book's annual income.\n\nThe cash ledger books U's coupon through P's TRS remittance once. The statutory ledger can show U income and financing expense, but it cannot also add a second direct cash coupon from U's issuer to Meridian.\n\nInterim reference-price return settlements change cash and the retained-sale financing balance. A negative price return is a payment to P and reduces that financing balance; U is separately revalued under the identified accounting policy. The cash repayment itself is not another expense on top of U's valuation loss. A positive return reverses the direction. The financing coupon still follows its fixed notional and executed spread unless an actual amendment changes those terms.\n\n### 2.4 Year five and year twenty\n\nAt year five the performing EM borrower repays USD1bn. The base reinvestment instruction places that principal in an OIS account through the remaining fifteen years. It does not assume another EM loan at the original 400bp margin. Interest on that OIS principal offsets the OIS cost of the USD1bn legacy borrowing in the unchanged-rate base case. Funding TRS cash, provider exposure and capital continue.\n\nThe desk can select a different reinvestment only with a new executable quote, credit decision, funding use and legal agreement. The price and availability of that future investment are the reinvestment risk. Five-year amortisation or five-year protection does not close the twenty-year funding position.\n\nAt year twenty:\n\n1. U redeems to its legal holder P. The last TRS return uses `d = coupon + 1`, `p = 0`, and the actual last reset price. The net price/redemption component is `N * (1 - p_last)`, not another unqualified N.\n2. The retained-asset and financing ledger records U's redemption and the corresponding extinction of the financing balance. In the performing par endpoint, the final price-return adjustment brings that balance to N before P's redemption extinguishes it. This is not a second cash withdrawal from Meridian.\n3. The parked EM principal becomes available to repay the separate legacy borrowing. Any real additional liquidity borrowing is repaid from available cash under its own terms.\n4. Fees, margin returns, hedges, disputes and close-out receivables settle separately. An unresolved USD0.500m provider claim and its USD0.500m reserve in the terminal exhibit survive contractual maturity. Age alone does not erase either.\n\n[reserve-module.md](reserve-module.md) specifies these postings and the independent closing-balance derivation. A terminal zero is valid only for obligations actually discharged.\n\n## 3. E1: funding benefit, legal value and reference return\n\n### 3.1 Quote-conditioned valuation\n\nDefine the numerical discount and annuity for h remaining years on the quarter grid:\n\n```text\nD_r(h) = (1 + r * delta)^(-h / delta)\nA_r(h) = sum_j=1..h/delta delta * D_r(j*delta)\n       = (1 - D_r(h)) / r\n```\n\nThe synthetic replacement quotation supplies a linear spread-to-price conversion with `A_quote = A_0.04(h)`. This annuity is a disclosed quote convention, not a universal law for all funding trades. Off quarter dates, `off_quarter_convention=fractional_remaining_annuity_clean_quote` explicitly extends `(1-D_r(h))/r` using the fractional power above; it is not the sum of the original contract's irregular coupon cash flows. A quote could instead supply its own PV01 or an upfront price for the old locked spread, but those alternatives require their own implemented terms.\n\nFor a reset-to-today replacement quote with the same U, quantity, notional, maturity, cash-flow terms, legal rights, collateral basis and cost basis:\n\n```text\nF_quote(t) = N * [m_reset(t,h) - k] * A_quote(t,h)\n\nReference_adjustment(t)\n    = D(t, next_actual_settlement) * N * [p_U(t) - p_last_actual]\n\nV_legal(t) = F_quote(t) + Reference_adjustment(t) + unsettled_stubs(t)\n```\n\nThe stubs include any separately stated unpaid return, accrual or contractual close-out item not already included in the quote. Base clean-reset observations explicitly set them to zero. Unknown stubs do not default to zero. Rolled calls to `funding_mark` require explicit `next_payment_delay` and `unsettled_stub`; a pending same-day price settlement uses delay zero. The inception default reads the required `funding_contract.next_price_settlement_years` rather than deriving a new quarter from remaining tenor. Scheduled-zero-tenor marks do not extinguish pending settlement claims.\n\nA quotation on the original reference basis already includes the old-reference adjustment. In that alternative, use its direct old-contract value or its stated conversion and do not add `p_U - p_last` again. Quote matching requires the actual remaining contract, not a generic twenty-year financing spread from another provider.\n\nThe desk also computes a management funding opportunity from its internal composite b plus its desk margin. An internal curve change cannot create a claim on P. In this synthetic case, separately supplied replacement quotes happen to follow `m_reset = b + 80bp`. That is a joint assumed quote process. It is not an internal-b-linked termination payoff invented in the contract.\n\nAt a matched, post-settlement reset with zero stubs and matching costs/basis, the internal funding opportunity can equal F_quote and V_legal. Outside those conditions the three are distinct. Missing or mismatched executable quotation evidence raises a reference-input error. It never licenses substituting the internal opportunity for CCR exposure or using V = 0.\n\nThe quotation's fictional executability does not itself satisfy the IFRS day-one observable-input test. Accounting observability has separate evidence and a prior unit-of-account gate.\n\n### 3.2 Reference pricing and numerical anchors\n\nFor the public flat snapshot, U's current OIS coupon is held fixed while the credit-yield spread is shocked. With `c_U = 0.04 + 0.01 = 0.05`:\n\n```text\np_U(h, x_U) = c_U * A_(c_U+x_U)(h) + D_(c_U+x_U)(h)\n```\n\nThis is a synthetic yield-based mark of the promised reference cash flows. It is not a provider-default model. If OIS changes, coupon resets and discounting must be recomputed from the actual floating-rate terms rather than treating this snapshot formula as a fixed-rate contract forever.\n\nAt inception, after a matched reset, `m0 - k = 30bp`. Known calculated anchors are:\n\n| Item | Quarterly convention | Continuous comparison, not used by the verifier |\n|---|---:|---:|\n| Twenty-year annuity | 13.722051526 years | 13.766775897 years |\n| Funding benefit at 30bp, USDm | 41.166154579 | 41.300327691 |\n| Funding spread DV01, USDm per bp | 1.372205153 | 1.376677590 |\n| Increment for a 100bp funding-quote widening, USDm | 137.220515265 | 137.667758971 |\n\nThe raw request's approximately USD41m and USD138m are sound order-of-magnitude diagnostics under their stated annuity. They are neither regulatory constants nor substitutes for full V.\n\nThe following controlled observations keep twenty years remaining and the old actual price at 1. They use the next-quarter discount on the unsettled reference adjustment:\n\n| Joint observation | Funding component, USDm | Full legal value before return settlement, USDm |\n|---|---:|---:|\n| No curve move | 41.166155 | 41.166155 |\n| Replacement quote +100bp, U credit unchanged | 178.386670 | 178.386670 |\n| Replacement quote +100bp, U credit +25bp | 178.386670 | 147.850900 |\n| Replacement quote +100bp, U credit +100bp | 178.386670 | 63.517057 |\n\nThe reference-loss offset is an economic component of V, not CSA collateral and not a regulatory haircut benefit. After the reference loss settles, its old-reference adjustment disappears from V because cash has moved, while the surviving fixed financing advantage remains. A reference-price reset is not a full fair-value reset of the whole TRS.\n\nThe funding trade is therefore an asset in the selected positive-value states, not in every state. A sufficiently adverse U move or a tightening replacement funding quote can make full V negative. A 100bp tightening with U unchanged produces a USD96.054361m payable under the same twenty-year quote conversion.\n\n### 3.3 Exposures are derived, never supplied\n\nThe current positive legal exposure is `max(V_legal, 0)` before the relevant collateral/default-recovery treatment. The SA-CCR calculation then uses the full contractual V with the applicable legal C, replacement-cost formula and add-on. A positive funding opportunity alone is not EAD.\n\nFor CVA, the public quarter-end-after-payment convention supplies the default timing. In the flat provider illustration:\n\n```text\nlambda_P = provider_CDS / (1 - recovery_P)\nS_P(t) = exp(-lambda_P * t)\n\nCVA = sum_j D_OIS(t_j) * (1 - recovery_P)\n            * [S_P(t_(j-1)) - S_P(t_j)]\n            * E[positive close-out exposure at t_j | P defaults there]\n```\n\nEach conditional close-out exposure is repriced from the same contract, reference price/reset state and applicable collateral recovery. Default observations remain the original funding quarter ends even when a capital action becomes effective between them; the exposure at a default date uses the action status then. An execution date changes capital accrual, not the default clock. A remaining tail begins with the stub to the next original funding payment. The base post-settlement illustration reduces exposure to the surviving funding component; that simplification follows from the stated event ordering and reference state. A default before settlement, a correlated U shock, a dispute or non-reusable collateral requires the corresponding full calculation. No exhibit supplies EE, EPE, an exposure vector or an answer-shaped reserve schedule.\n\nProvider CDS of 80bp with 40% recovery gives the illustration's hazard `0.008 / 0.6`. The provider CDS cannot be replaced by the internal AAA curve, U's rating, the desk's own CDS or an unrelated EM spread. A deterministic W stress is not by itself a calibrated joint default probability model.\n\n## 4. E4 and the mismatch: distinct curves and basis risks\n\n| Curve or observation | What it drives | What it does not establish |\n|---|---|---|\n| OIS and its forecast/reset convention | Discounting, floating coupons, cash remuneration and the quoted annuity conversion | Provider credit quality or a supervisory 5% decay |\n| Internal AAA financials CDS composite plus desk add-on, b | Internal replacement-funding opportunity and the disclosed funding-allocation sensitivity | An enforceable claim, a provider CDS curve, or U's issue rating |\n| Independently supplied matching replacement quotes, m | Quote-supported old-contract financing value | Automatic IFRS observability or an internal-curve termination right |\n| U issuer credit/yield curve | U's price, unsettled return, and reference-credit risk | Collateral C received from P or P's default probability |\n| Funding provider P CDS | Provider survival/default loss in CVA | Actual own borrowing cost or U's supervisory factor |\n| Own unsecured bond funding curve | The rate on actual own cash borrowing and its premium over the chosen cash benchmark | A borrowing need caused by a noncash mark |\n| Own CDS | Own credit diagnostics and the bond-CDS basis | A substitute loan quote; zero cash cost when CDS is used |\n| EM borrower credit/yield curve | EM valuation, credit loss and reinvestment economics | An own-funding-induced change to the borrower's contractual coupon |\n| Deployment collateral issuer curve and price | Realisation value and collateral price risk | Automatic rating migration, supervisory haircut or eligibility |\n| CSA remuneration and collateral/FX basis | Net economics of cash collateral, currency conversion and funding | Permission to reuse segregated collateral |\n| Protection seller H CDS and hedge terms | H's default risk and the separately calculated protection economics | Netting H with P or automatic CVA hedge designation |\n| Market financing haircut and spread schedules | Cash advance and lender-specific financing price | Supervisory mitigation or a spread mechanically determined by the haircut |\n\nTwo curves may co-move in a scenario without becoming the same input. In W3, the internal quote driver, own bond spread, provider CDS and EM spread are shocked jointly, while own CDS remains separately stated. The internal-to-quoted-replacement basis, internal-to-own-bond basis, U-to-internal-AAA basis, EM-to-own-funding basis, bond-CDS basis and collateral-remuneration/FX basis must therefore remain visible.\n\nAt inception, own bonds are OIS + 50bp and own CDS is 30bp. Their 20bp difference is the bond-CDS basis. The actual premium for borrowing at the bond curve and placing the proceeds at OIS is 50bp, not 20bp. A basis-only adjustment is possible only after specifying a benchmark that already charges the own-credit component. It cannot be added on top of the full 50bp or described as a universal pure-liquidity cost. Using own CDS as a cash funding curve is wrong, but it does not mathematically set all funding cost to zero.\n\n### 4.1 Funding spread duration versus contractual loan value\n\nThe requested long-twenty/short-five sensitivity is a funding-allocation comparison. For the disclosed matched annuity convention:\n\n```text\nFunding_spread_DV01 = +N * A_0.04(20) * 0.0001\nFive_year_deployment_funding_allocation_DV01\n                   = -N * A_0.04(5) * 0.0001\nNet_funding_allocation_DV01\n                   = N * [A_0.04(20) - A_0.04(5)] * 0.0001\n```\n\nKnown anchors are +USD1.372205153m, -USD0.451138824m and +USD0.921066328m per bp. The five-year magnitude is disclosed separately from its negative position sign in the report.\n\nThis does not mean that an EM borrower's legal debt reprices when Meridian's internal funding spread changes. Its contractual coupon and principal remain the same. Its independent credit-mark snapshot uses:\n\n```text\nc_EM = 0.04 + 0.04 = 0.08\np_EM(h, x_EM) = c_EM * A_(c_EM+x_EM)(h) + D_(c_EM+x_EM)(h)\n```\n\nThe marked loan value is `N * p_EM`; the funding-allocation debit is a management comparison, not another loan asset or an extra cash expense. The selected W3 first-quarter observation has h = 4.75 and x_EM = 0.03. The resulting price loss is noncash unless the loan is sold, margined or otherwise contractually cash-settled.\n\nFunding spread DV01 is also not OIS DV01. Holding m and k fixed under the quote conversion:\n\n```text\ndA_r(h)/dr = -sum_j=1..h/delta j * delta^2\n                         * (1+r*delta)^(-j-1)\ndF_quote/dr = N * (m-k) * dA_r(h)/dr\n```\n\nAn actual OIS scenario also changes forward coupons, cash returns and any quoted conversion or basis. Both legs' resets must be respected. The supervisory duration with 5% exponential decay in SA-CCR is neither this rate derivative nor the OIS annuity.\n\n### 4.2 Collateral price, rating and the two haircut systems\n\nReprice collateral from its own curve. Separately apply a dated issue-rating or eligibility event, issuer type, residual maturity, legal rights, positive-correlation test and the applicable holding-period haircut. The sequence is then current recognised mitigation, exposure, RWA, allocated capital, KVA and the client price needed to cover that cost.\n\nA spread movement is not itself a rating instruction. Conversely, a rating event can change a haircut or remove recognition with no contemporaneous market-price movement. Under the selected rating-permitted banking-book Basel comparator, a sovereign issue requires at least BB-, not investment grade in every case. The chosen B-rated own-sovereign paper fails both the rating test and the independent same-issuer correlation test. See CRE22.7, CRE22.34, CRE22.45 and CRE22.49 in [capital-rulebook.md](capital-rulebook.md).\n\nThe market haircut determines how much cash a lender advances. The supervisory haircut determines eligible regulatory mitigation or posting exposure. They are distinct inputs with separate tenors and purposes. The empirical short-dated findings in S3 motivate lender segmentation and concentration constraints, not a calibration of five- or twenty-year EM financing. A higher safe-collateral haircut-to-volatility ratio refutes a universal proportional-volatility rule; it does not prove that nominal haircuts decrease with volatility. [allocation-episode.md](allocation-episode.md) contains the separate seven-day executable allocation.\n\n## 5. E2, E3 and A3: when a funding cost actually exists\n\n### 5.1 Actual cash deficits, not stock-mark borrowing\n\nFor each settlement time, `simulate_cash` starts with the accessible cash account and applies contractual receipts and payments in the specified netting order. It includes deployment coupon/principal, net TRS return and financing, legacy interest, fees, margin, hedges, actual loss payments and any existing facility interest. It does not put V, D, X, EAD, AVA or capital release in the cash account.\n\n```text\nCash_before_new_financing_j\n    = available_opening_cash_j + accessible_settled_receipts_j\n      - contractual_cash_payments_due_j\n\nRequired_new_cash_j = max(0, -Cash_before_new_financing_j)\nActual_draw_j = min(Required_new_cash_j, usable_executed_facility_capacity_j)\nResidual_shortfall_j = Required_new_cash_j - Actual_draw_j\n```\n\nA fully available facility can fund the deficit; a proposed, inaccessible or insufficient facility cannot. Positive cash can repay existing draws according to the documented sweep and buffer policy. Borrowing changes cash and a debt principal account. Only its interest and fees are expenses.\n\nThe actual annual loan rate is OIS plus the quoted own unsecured bond spread. The incremental funding-premium diagnostic uses that spread above the stated OIS benchmark. Total contractual interest still appears in the cash and statutory ledger. If borrowed money funds an external OIS deposit, the deposit's actual interest offsets the OIS component. If it funds a cash loss instead, there is no invented matching deposit income.\n\nA 100bp move only in the matching funding quote produces a larger noncash mark and potentially larger CVA/KVA deductions. With no other cash obligation it creates no additional borrowing, so the base mark-only UFVA is zero. A noncash XVA expense likewise reduces management equity without creating a cash payable. This refutes the unconditional reserve-implies-borrowing recursion in A3.\n\nThe actual positive-deficit experiment instead shocks U credit by 250bp before the first quarterly return settlement. The contractual reference loss is paid to P. The own-bond premium is then 150bp on the resulting actual draw. Its path is `compute_reserves(...)[\"cash_scenarios\"][\"actual_reference_credit_widening_250bp\"]`, not the size of the reserve. The common funding-only shock, the actual reference-loss scenario and the separately opt-in experiment below must not be added together as though they were one financing need.\n\nThe executed scenario draws USD145.7623083242m at the first settlement and has USD3.7104953200m present value of the actual borrowing premium over OIS. Its all-in contractual borrowing-interest PV is separately USD13.6051495067m. These are `summary.PV_actual_funding_spread_cost` and `summary.PV_actual_borrowing_interest` in that cash scenario. The mark-only scenario's actual UFVA is zero; the opt-in external-deposit experiment below produces USD17.9588363722m. They are three different cash contracts/states, not alternative estimates of one cost.\n\nThis executed-cash path is a counterfactual conditional on the book having been lawfully funded and approved. It does not establish that the proposed book's opening eligible capital satisfies the whole-book constraints in section 7. A capital deficit requires rejection or a separately evidenced capital transaction before execution, not a fictional Tier 1 top-up. Within that explicitly conditional path, the reference settlement and resulting borrowing are real cash obligations, unlike the noncash reserve balances.\n\n### 5.2 The conditional quadratic experiment and the USD14.5m claim\n\nThe public `conditional_reserve_facility` is a separate sensitivity experiment, not an automatic feature of the base book. An effective external facility borrows at own bonds and places money in a segregated OIS deposit. Its expressly selected target is the positive incremental quote-supported funding benefit caused by a move x, excluding the original 30bp benefit. The quote has its own `scenario_margin_beta=beta_quote` and `conversion_rate=r_quote`. Its assumed own-spread response is independently `s_own = s0 + beta_own*x`. The canonical values are s0 = 50bp, beta_quote = beta_own = 1 and r_quote = OIS = 4%; their equality is a fictional common-factor/conversion assumption, not an identity between distinct curves.\n\nFor the executed facility, beginning-quarter deposit balances and end-quarter interest charges give:\n\n```text\nz(x) = max(beta_quote * x, 0)\nL_j(x) = N * z(x) * A_r_quote(20 - (j-1)*delta)\n\nI_quote = N * sum_j=1..80 delta * D_OIS(j*delta)\n                                 * A_r_quote(20 - (j-1)*delta)\n\nUFVA_conditional(x) = I_quote * z(x) * (s0 + beta_own*x)\n```\n\nUnder the canonical values, `I = I_quote = 119725575814.7565`. With spreads expressed as annual decimal rates, its units are USD times years squared. At x = 0.01, the result is USD17.958836372m. Its linear contribution is `I*0.005*x`; its quadratic contribution is `I*x^2`. The second term exceeds the first once x exceeds 50bp in this particular experiment. Altering the quote beta or conversion rate changes the target and coefficient in both the analytic result and cash ledger; it does not change OIS expense discounting. An unexecuted facility has zero primary borrowing, cost and fee.\n\nThe prompt's estimate `70m * 1.5% * 13.8 = 14.49m` is arithmetically consistent with those rough inputs. It is not the result of the selected amortising quarter-grid balances. Their discounted average incremental balance is `I*0.01/A_0.04(20)`, approximately USD87m rather than USD70m. Obtaining USD14.5m would require a different exposure average, timing, survival weighting, spread benchmark or funding contract. The verifier must state that difference, not tune an undisclosed exposure path to the desired number.\n\nThe quadratic result applies only while the positive-balance branch is active and only under the stated beta and funding transaction. Floors, defaults, collateral availability and finite facility capacity can change that shape. A claim that all uncollateralised receivables have this UFVA is false.\n\n### 5.3 Executing a CSA changes rights and cash\n\nAn enforceable two-way daily cash-VM agreement can reduce unsecured close-out loss and SA-CCR exposure. Whether received VM reduces a funding need depends on its settlement, currency, accessibility, reuse rights and remuneration. The economic condition for combining it with an external-deposit experiment would be:\n\n```text\nUnfunded_target = max(0, required_external_deposit\n                        - settled_legally_reusable_VM_available_for_that_use)\n```\n\nDo not reuse the same VM against two needs. Segregated cash, unreceived calls and securities the bank cannot monetise by the deadline do not pay today's obligations. VM is collateral with a return obligation, not income. Threshold, MTA, NICA, disputes and MPOR still matter; zero replacement cost is not zero PFE.\n\nThe implemented conditional experiment explicitly requires `reusable_VM=\"0\"`; it rejects a nonzero amount. It does not implement the combined formula above or infer reusable cash from the separate CSA action. A joint VM/prefunding process needs its own dated cash-rights and allocation contract before that boundary can be exercised.\n\nThe adverse-VM action snapshot is separate from the opening USD100m cash book. It supplies a USD20m available buffer and a USD100m executable line. The binding quote in [capital-actions.md](capital-actions.md#executable-terms-and-timing) charges USD1m for CSA execution, USD0.100m for facility setup, USD0.050m annual fixed commitment, USD0.025m annual administration and another 10bp annually on the USD100m line. The annual quoted charges therefore total USD0.175m; omitting the setup, administration or limit-based charge understates the cost.\n\nThe immediate-execution static comparator for the 100bp tightening is USD96.0543606853m VM, leaving USD76.0543606853m beyond the buffer; the static VM field is `actions.CSA.normal.instantaneous_stress_VM`. The actual quoted action takes effect after two business days, at model year 0.008. Repricing then gives USD96.0292195555m VM and a USD76.0292195555m facility draw, respectively `actions.CSA.normal.executed_stress_VM` and `actions.CSA.normal.facility_draw`. The static and executed amounts are not interchangeable observations.\n\nFor the executed 30/365-year draw, gross facility interest is USD0.3436937322m, buffer OIS opportunity cost is USD0.0657534247m and VM remuneration is USD0.3157125026m. Their net cost is USD0.0937346542m, with PV USD0.0933987733m. Adding the upfront-cost PV of USD1.0996498041m and running-cost PV of USD2.3999728785m gives total quoted cost PV USD3.5930214559m. The immediate static draw's roughly USD0.09376565m spread cost is only its comparator, not the delayed action's cost. Received-margin relief in one state does not erase posting risk in another.\n\nThus E3 is retained as a legal-and-operational sensitivity, but rejected as a universal equivalence between no CSA and positive UFVA, or between a signed CSA and no funding cost. A CSA may reduce capital while making liquidity worse.\n\n## 6. E5 and A1-A5: two management pots and one P&L\n\n### 6.1 Sign convention and attribution\n\nUse gain-positive clean values G and hedge values H, and deduction-positive deferral D and XVA reserve X. Let C be cash, M other nonoverlapping assets, and B liabilities. A management risk ledger can be represented as:\n\n```text\nEquity_management = C + M + G + H - B - D - X\n```\n\nEvery position must have one representation in that ledger. The retained U/financing statutory accounts and a management replacement benefit require an explicit bridge; adding both as independent statutory fair-valued positions would duplicate rights. [reserve-module.md](reserve-module.md) separates the funding-only panel, the full cash book and the statutory bridge.\n\nFor a priced trade panel, after separating unrelated book movements and capital transactions:\n\n```text\nPnL = CF_G + (G1-G0) + CF_H + (H1-H0)\n      - actual_funding_expense - other_expense\n      - (D1-D0) - (X1-X0)\n```\n\nUse frozen opening market inputs to compute the time-only roll values G_roll, D_roll and each X_roll. Apply observed market changes next, and effective structural actions last. This ordering is public and prevents the same release from being classified twice.\n\n```text\nCarry = CF_G + G_roll - G0\nClean_market_move = G_pre_action - G_roll\nHedge_PnL = CF_H + H1 - H0\n\nFor each deduction R, where R is D or an X component:\n    Reserve_theta_R = R0 - R_roll\n    Reserve_market_move_R = R_roll - R_pre_action\n    Reserve_action_release_R = R_pre_action - R1\n```\n\nA documented observability release of D is separate from spread-driven X remeasurement and from routine time release. Effective structural actions also include their clean settlement value and quoted fees; the reserve credit alone is not the action's net economics.\n\nExpected theta is P&L once. It is part of earning the initially priced risk premium, not additional new profit on top of the change in the reserve. Spread-driven release is also P&L and can reverse. An unhedged market gain is not fee income. The raw sentence that every term except carry is a reserve movement is too broad: actual hedge gains, clean market changes and cash funding expense are not automatically reserve movements.\n\nA release of a future-funding-cost reserve as cost is consumed must be paired with the corresponding actual funding expense. Booking only the release invents profit. Conversely, charging both the already-priced reserve consumption and a second reserve for the same cost duplicates the expense.\n\nDebt draws/repayments, VM transfers, principal repayment and capital issuance are not trade P&L. A new cash loss, interest, fee or hedge payment has its own source entry. The verifier must derive the independent journal and closing assets/liabilities from those sources and compare their equity movement with attribution. Defining closing equity as opening equity plus the reported P&L is not a check.\n\n### 6.2 Pot D and the accounting-unit gate\n\nFor management only, the initial gross benefit is deferred on a frozen price-time schedule:\n\n```text\nD_management(0) = N * 0.003 * A_0.04(20)\nD_management_roll(t) = N * 0.003 * A_0.04(20-t)\n```\n\nThe original spread advantage and conversion are frozen for this schedule. A tightening current spread does not release D; nor does a widening current spread replenish it. Evidence that a previously unobservable pricing factor has become observable can support an additional release under the applicable policy. Arbitrary straight-line amortisation is not substituted for the priced time factor.\n\nFor statutory recognition, identify the accounting unit before applying the day-one test. The base failed-sale unit contains retained U and its financing liability, so it does not first book a USD41m standalone derivative gain and then decide whether to defer it.\n\nFor a genuinely separate qualifying instrument, IFRS 9 paragraphs 5.1.1A and B5.1.2A distinguish an active-market identical price or a valuation using only observable-market data from other valuations. The latter initially defers the difference from transaction price, then recognises it only as arising from changes in factors, including time, that market participants consider in pricing. The relevant IFRS edition is the [2026 issued text][IFRS9]. This is not a rule that all internal inputs are always unobservable, or that one fictional quote makes all inputs observable.\n\nA separate numerical unit example makes the netting point explicit. Suppose a valid standalone unit has clean value USD41m, applicable statutory valuation adjustments USD12m, and transaction price zero. Its net fair value is USD29m. If the day-one exception fails, the deferred difference is USD29m, not a gross USD41m deferral plus an immediate USD12m loss on the same unit. The management gross D and management X pots therefore need a bridge to statutory accounting rather than a claim that both are mandatory IFRS liabilities. Management KVA is not automatically a statutory fair-value adjustment.\n\n### 6.3 Pot X, the corrected capital basis and worked time/market panels\n\n```text\nX = CVA + actual_cash_based_FVA_UFVA + KVA + other_explicit_reserves\n```\n\nFees paid as expenses are not added again as a reserve unless the stated policy first reserves a future unpaid fee and releases it against settlement. The components keep separate time, market, effective-action and consumption movements.\n\nFor the following funding-only panel, quote and U are at a matched reset, no hedge is executed, actual additional funding is zero, and no other reserve is silently added. Define the capital and CVA quantities exactly through the public core API:\n\n```text\nC0 = core[\"funding\"][\"normal\"][\"CVA\"]\nK0 = core[\"funding\"][\"normal\"][\"KVA\"]\nC1 = core[\"funding\"][\"year1_roll\"][\"CVA\"]\nK1 = core[\"funding\"][\"year1_roll\"][\"KVA\"]\nCs = core[\"funding\"][\"year1_stress\"][\"CVA\"]\nKs = core[\"funding\"][\"year1_stress\"][\"KVA\"]\nX0 = C0 + K0\nX1 = C1 + K1\nXs = Cs + Ks\n```\n\nThese K values use recognised incurred CVA equal to zero. Earlier illustrative KVA values that subtracted an unrecognised management CVA reserve from default-risk EAD are superseded. CRE51.12 permits the qualifying incurred write-down, not an arbitrary management reserve. A separate recognised-write-down countercase must state its statutory basis and cannot be the default.\n\nAmounts in the next table are USD millions, rounded from the executed core and reserve outputs; API values are in USD. The named C/K/X definitions above identify the exact source fields.\n\n| Funding-only item | Inception | One-year frozen-market roll | Instantaneous shock after that roll |\n|---|---:|---:|---:|\n| Remaining funding life | 20 years | 19 years | 19 years |\n| Gross F at matched reset | 41.166154579 | 39.792364782 | 172.433580720 |\n| D management | 41.166154579 | 39.792364782 | 39.792364782 |\n| Provider CDS | 80bp | 80bp | 160bp |\n| Change in replacement funding spread from inception | 0bp | 0bp | +100bp |\n| CVA | 2.601931020 | 2.414305784 | 19.440057857 |\n| KVA, corrected no-incurred-write-down basis | 27.523018931 | 24.702391545 | 62.236661004 |\n| Total X | 30.124949951 | 27.116697329 | 81.676718861 |\n| TRS cash received during the panel | 0 | 3.000000 | 0 |\n| Newly created cash borrowing from the mark/charge | 0 | 0 | 0 |\n\nAt inception, the priced net management benefit before deferral is `F0-X0-fee = USD10.0412046285m`. With gross management D equal to F0, the initial management charge is `-X0-fee = -USD31.1249499510m`. The independent opening journal therefore leaves management equity of USD68.8750500490m from USD100m, while statutory equity is USD99m after the actual USD1m service expense. Neither the priced benefit nor the management charge is automatically statutory day-one P&L; the failed-sale accounting unit recognises no separate funding-opportunity gain.\n\nThe one-year frozen-market panel is fully specified by:\n\n```text\nCarry = 3.000000 + 39.7923647816 - 41.1661545794\n      = 1.6262102022 USDm\nD_theta = 1.3737897978 USDm\nX_theta = X0 - X1 = 3.0082526224 USDm\nFunding_panel_PnL = Carry + D_theta + X_theta\n                  = 3.000000 USDm + X0 - X1\n                  = 6.0082526224 USDm\n```\n\nThese values are `management_scenarios.one_year_roll.funding_component.attribution` in the reserve output. The independent ledger, not the attribution identity, supplies the reconciliation evidence. The expected release is counted once. The separate whole-book panel includes EM carry, legacy interest and OIS cash interest: its first-year management P&L is USD50.6773603624m after the already expensed day-one fee, with management equity moving from USD68.8750500490m to USD119.5524104114m. Its funding-only USD6.0082526224m is not an additional whole-book profit line.\n\nThe instantaneous market panel changes no time, payment or D. Its result is:\n\n```text\nClean_market_move = 132.6412159387 USDm\nReserve_market_move = X1 - Xs = -54.5600215322 USDm\nInstantaneous_PnL = Clean_market_move + Reserve_market_move\n                  = 78.0811944065 USDm\nCash_change_from_this_mark_and_reserve_remeasurement = 0\n```\n\nThis is the required divergence of the two pots: D stays on its old priced schedule while X remeasures to changed provider credit and funding exposure. The instantaneous panel's independent journal and equity change both give USD78.0811944065m; no cash or new borrowing appears. The corresponding `compute_reserves` panels are `management_scenarios.opening`, `management_scenarios.one_year_roll` and `management_scenarios.instant_funding_100bp_provider_80bp`. The 81-row `reserve_schedule` includes opening and quarterly observations through contractual year twenty; the separate terminal settlement state retains any unresolved claim.\n\n### 6.4 A4: reserve uncertainty and available CET1\n\nThe [valuation-capital annex](valuation-capital-annex.md) uses identified recognised fair-value exposures and an expressly selected EU-style model-risk core method. Its two current-model exit-cost ranges are USD1.75m to USD4.25m and USD1.375m to USD2.625m. Expected costs are USD3m and USD2m; separately identified same-source accounting prudence is USD0.2m and USD0.1m. The 90th-percentile costs are USD4m and USD2.5m. Residual uncertainty is therefore USD0.8m and USD0.4m. Method 1's 50% factor gives an incremental AVA of USD0.6m.\n\nThat component reduces available CET1 from USD12m to USD11.4m in the explicitly controlled USD100m fixed-RWA illustration. It is not a cash outflow or trading P&L. The separate assumption of USD0.6m replacement equity held for twenty years at a 10% annual charge gives:\n\n```text\nKVA_AVA = 0.10 * 0.600m * A_0.04(20)\n        = 0.8233230916m\n```\n\nThis is a controlled replacement-equity component, not the whole book's KVA and not an amount to add if the same capital use is already priced. Shifting expected exit cost while holding uncertainty width and same-source prudence fixed can leave AVA unchanged. A wider uncertainty range can increase AVA without a larger expected reserve. The raw automatic chain from larger reserve level to larger AVA is therefore conditional, not a rule.\n\nThe applicability and dates are those of CRR consolidated 26 June 2026 and the identified RTS consolidated 26 June 2020, with the post-2020 50% factor. These sources do not make the fictional institution EU-regulated or turn a management funding opportunity into an in-scope accounting asset.\n\n## 7. Capital cost and the defined comparison with UFVA\n\nThe detailed regulatory formulas and rejection gates remain in [capital-rulebook.md](capital-rulebook.md). The funding baseline uses credit-primary SA-CCR, AAA reference SF 0.38%, a twenty-year supervisory duration, alpha 1.4, no CSA collateral and provider A-category ECRA risk weight 30%. The legal classification also requires a dual credit/interest-rate countercase; a trade name cannot settle its primary-driver assessment.\n\nFor the selected standalone one-provider reduced-BA panel:\n\n```text\nK_funding_CCR_CVA(t)\n    = 0.08 * RWA_funding_CCR(t) + K_BA_CVA(t)\n\nKVA_funding(h)\n    = 0.10 * sum_j delta * D_OIS(j*delta)\n                     * K_funding_CCR_CVA(h-(j-1)*delta)\n```\n\nCapital is sampled at the beginning of the quarter and priced at its end. No recognised incurred CVA write-down is deducted in the base. The KVA path is the disclosed survival-conditional allocation through maturity; default-weighted CVA and the no-default conditional prefunding experiment have their own stated measures. They cannot be silently presented as one empirically calibrated expectation.\n\nFor an action, the charge intervals are split only at the genuine execution, expiry and recognition events specified in [capital-actions.md](capital-actions.md#executable-terms-and-timing). Both comparators use the same knots and pay at original quarter ends. Additional reporting observations evaluate current capital but do not resample that accrual basis. The `_capital_action` keyword-only `observations` channel therefore changes the returned `observation_profile`, not cash schedules or KVA; `events` remains the genuine-pricing-event channel. Observation-density invariance under this fixed charge contract is distinct from, and does not establish, numerical convergence of a continuously accruing capital integral.\n\nThe executed normal standalone funding KVA is USD27.5230189305m. There are two different comparisons with the conditional USD17.9588363722m UFVA:\n\n1. The stressed capital-cost level, `core[\"funding\"][\"mark_stress\"][\"KVA\"]`, is USD69.4099354188m: 3.864946146 times conditional UFVA. This is the standalone funding CCR+CVA component for the 100bp quote move with provider CDS held at 80bp, the chosen reset convention and U otherwise unchanged.\n2. The incremental capital cost is the stressed level minus `core[\"funding\"][\"normal\"][\"KVA\"]`: USD41.8869164882m, or 2.332384773 times `core[\"conditional_UFVA\"][\"UFVA\"]`. Comparing increments aligns the funding experiment more closely than comparing it with the whole stressed KVA level. The ratio fields are `core[\"sensitivities\"][\"standalone_total_KVA_to_conditional_UFVA_ratio\"]` and `core[\"sensitivities\"][\"standalone_marginal_KVA_to_conditional_UFVA_ratio\"]`.\n\nBoth comparisons support K8 only for that named component, scenario and allocation rule. They do not prove that KVA universally dominates actual funding cost. Actual mark-only cash UFVA is zero. The USD3.7104953200m actual borrowing-premium PV belongs to the separate reference-loss cash scenario, whereas USD17.9588363722m belongs to the conditional external-deposit contract. Substituting either cash number into the other scenario without repricing changes the comparison.\n\nWhole-book capital must include retained U, deployment, cash, other applicable exposures, the legal TRS classification and written-credit leverage notional. The explicit controlled base weights are 20% on the retained AAA U, 100% on the unmitigated EM cash advance and 0% on the specified central-bank cash account, before adding the relevant funding CCR/CVA amounts. The earlier isolated USD90m risk-weighted capital snapshot is not the actual capital requirement of this USD1bn EM book. Even deployment and retained U alone contribute USD80m and USD16m of 8%-minimum capital at par.\n\nThe executed whole-book base requires USD135.6507222715m under the risk constraint, versus USD94.6989784923m under the 3% leverage constraint. Available Tier 1 after the paid service fee is USD99m, with no automatic AVA from the separate controlled example. Risk capital binds and the USD36.6507222715m shortage makes `executable_under_stated_capital` false in `leverage.actual_base_after_day1_fee`. The calculable cash path is therefore an existing-book/counterfactual exposure, not approval to book it without an evidenced capital transaction or effective restructuring.\n\nThe desk's disclosed minimum-only all-equity allocation compares `max(0.08*RWA_book, 0.03*L_book)` on the same with/without portfolio. This is an internal pricing convention, not a replacement for Basel's simultaneous CET1, Tier 1 and total-capital requirements. A collateral substitution can move the binding constraint to leverage. The five-year protection maturity ratio can be one at CDS execution despite the longer funding exposure; it does not confer a five-year-capped written-credit leverage offset. The immediate-execution twenty-versus-five comparator has a fifteen-year unprotected tail. The quoted action starts after two business days, expires at book year 5.008, and leaves 14.992 years after expiry plus an unprotected initial two-day interval.\n\n[capital-actions.md](capital-actions.md) supplies executable quotes and lifetime comparisons for CSA execution, high-grade substitution, enforceable netting, designated or undesignated provider CDS, holding capital and releasing a substitution. The stated scopes matter:\n\n- Substitution costs a 90bp annual concession on USD1bn for five years plus USD1m execution cost; undoing it costs USD0.250m. Reduced capital need not compensate for the lost yield.\n- Netting costs USD0.750m and waits for the signed, scoped opinions and novation conditions. A pending thirty-business-day process provides no early relief.\n- Five-year USD320m provider protection costs an 80bp annual premium, USD0.250m execution cost and USD0.025m annual administration. The five-year tenor runs from its actual two-business-day execution, not from book inception. Provider H's own exposure, CVA, designation, expiry and declining recognition remain in the before/after calculation; the full premium, fee and administration costs appear in [capital-actions.md](capital-actions.md).\n- Holding capital costs the applicable KVA profile. Expected roll-down is already priced. Structural relief is the recalculated future-cost difference net of the action price, not an extra cash receipt.\n\nAction NPVs labelled standalone CCR+CVA components do not become whole-bank gains merely because a separate leverage snapshot is shown. The allocation episode also supplies a concrete capital/economics reversal: routing all fifty small lots to the cheaper, weaker lender raises incremental SFT CCR capital versus the feasible forty-nine-lot alternative while lowering total financing cost. Capital capacity released by any action stays out of cash until an actual transaction changes cash.\n\nIf a five-year client spread is used to recover a selected cost NPV, the spread increment is `cost_NPV / [N*A_0.04(5)]` under this payment grid. Charging it over a fictional twenty-year deployment would understate the spread. The cost must include all relevant tail obligations and feasible execution costs on the stated allocation basis.\n\n## 8. Public recomputation and report boundaries\n\n| Obligation | Source facts and mechanism | Authoritative calculation |\n|---|---|---|\n| E1 | Sale/title, TR roles, issued U, reset price, matched replacement quote, stubs | `core.marks`; F, reference adjustment and V derived separately |\n| E2 | Explicit cash obligations or the separately effective prefunding facility; own-bond quote and beta | Actual `cash_scenarios` versus `core.conditional_UFVA` |\n| E3 | Executed CSA, direction, thresholds, remuneration, custody/reuse and settled transfers | Recomputed margin exposure and cash deficits, including adverse VM |\n| E4 | Distinct curve identities and full before/after states | `core.curves`, `core.sensitivities`, CVA and cash-funding recomputation |\n| E5 | Opening balances, sourced cash/title entries, clean marks, D and X conventions | `compute_reserves` attribution versus independently derived journal/equity |\n| A1 | Accounting unit first, then actual input observability | Management/statutory bridge and legitimate D release trigger |\n| A2 | Frozen-market roll and subsequent market/action revaluation | Separate D/X schedules and component attribution |\n| A3 | Actual payment causing a deficit, no debt entry for a reserve alone | `simulate_cash`; separate cash-funding-expense line |\n| A4 | Recognised FV scope, model uncertainty and same-source prudence | Incremental AVA and available CET1, distinct from P&L/cash |\n| A5 | Reconciliation, fees/funding/hedges and surviving obligations | Independent closing accounts and terminal USD0.500m unresolved-claim reserve |\n\nThe candidate still reports `rates`, `credit_xva`, `capital`, `liquidity` and `accounting` separately under [report.schema.json](../schemas/report.schema.json). Shared causes must agree across sections. Funding spread sensitivity can drive quote-derived exposure and conditional UFVA under the named cash contract. Valuation uncertainty can reduce CET1 and change the cost of allocated equity. Separate fields do not make these independent economic decisions.\n\n[wrong-way-branches.md](wrong-way-branches.md) specifies the five mutually exclusive case instances implementing W1's two instrument-existence alternatives and W2-W4. Missing quotation, legal scope, issuer kind, correlation fact, cash access, rating or event timing is a reference failure. Evidenced non-recognition or a documented zero cash recovery is a valid case result. The distinction prevents missing data from making the trade look safe.\n\n[IFRS9]: https://www.ifrs.org/content/dam/ifrs/publications/html-standards/english/2026/issued/ifrs9.html\n"
    },
    {
      "name": "docs/reference-input-contract.md",
      "sha256": "bc59f27372ec2c6f81be9e4e83b404f45e3bb42d2ee9d742da2dedd537bb5f62",
      "text": "# Reference input contract\n\nThis annex defines the implemented BOOK reference conventions. It supplies fictional premises, not external legal opinions, market observations or a regulatory approval. The parameter schema, reference validator and the Python calculations share this contract. An unsupported convention is a reference error, not permission to choose a nearby method.\n\n## Numeric and legal boundaries\n\nEconomic numbers in JSON are exact decimal strings: no JSON numbers, booleans, exponents, whitespace, nonfinite values or negative zero. Explicit `\"0\"` is valid wherever the field's domain allows zero. Counts and array indices are integers under their own schema definitions, not monetary inputs. Internal calculations may pass finite `Decimal` values without converting through binary floating point.\n\nThe reference loaders reject duplicate JSON keys. Named cases, scenarios, collateral states, uncertainty exposures, allocation lots and legal/market/custody records reject duplicate IDs; duplicate asset positions in one custody account are also errors. Missing required values, legal agreements, opinions, eligibility facts or source documents do not become zero exposure or a guessed rating. Both calculator CLIs validate their complete parameter input before computing. Bundle construction precedes reading the candidate: a reference failure returns `UNSCORABLE`, `cause=reference_error`, without a score or qualification verdict.\n\nThe supported cash model uses same-currency OIS-linked securities with one currency unit of face and redemption per unit, an opening sale at par and equal sale proceeds, funding notional and deployment principal. The legal reference coupon and deployment coupon must match their numerical inputs. Deployment repays principal at maturity into OIS cash. The opening accounting unit retains the reference asset, recognises the financing liability, does not recognise a separate statutory derivative, and keeps the management ledger separate. Changing those authored terms without an implemented accounting or cash transition is rejected.\n\n<a id=\"supported-policy-ids\"></a>\n## Supported policy IDs\n\nEach path below accepts only its listed ID. Descriptive `scope`, explanation and reporting-panel text are metadata; their words never choose an economic formula.\n\n| Parameter path | Supported ID | Implemented convention |\n|---|---|---|\n| `desk.capital_sampling` | `beginning_interval_end_payment` | Sample capital at each interval's opening and pay its charge at the scheduled period end. |\n| `desk.discount_convention` | `nominal_ois_compounded_contract_quarter` | Discount with `(1 + OIS \u00d7 quarter)^(-years/quarter)`; the same convention prices quarterly annuities. |\n| `desk.day1_deferral_policy` | `frozen_pricing_annuity_management_deferral` | Freeze the inception pricing-annuity deferral basis; subsequent reserve remeasurement is a separate management entry. |\n| `desk.CVA_default_grid` | `quarter_end_constant_cds_lgd` | Constant hazard from CDS/LGD, default only after payment on original funding quarter ends, with action status evaluated at that default date. Execution does not create another default date. |\n| `desk.CVA_KVA_survival` | `default_weighted_cva_contractual_kva` | CVA uses survival/default weights; contractual capital charges do not receive an extra survival factor. |\n| `desk.action_timing` | `business_day_event_grid_next_quarter_payment` | Split capital-service accrual at business-day execution; pay each piece at the next original contract payment date. This does not alter the CVA default grid. |\n| `conditional_reserve_facility.target` | `positive_incremental_funding_mark_ois_deposit` | An executed, separately scoped facility prefunds the positive incremental funding mark in an OIS deposit. |\n| `conditional_reserve_facility.default_model` | `deterministic_no_default` | The conditional facility illustration has no stochastic default path. |\n| `conditional_reserve_facility.deposit_remuneration` | `OIS` | Deposit earns the supplied OIS curve. |\n| `conditional_reserve_facility.cash_interest` | `OIS` | Free cash earns the supplied OIS curve. |\n| `conditional_reserve_facility.coupons_paid_from` | `opening_cash_then_executed_deficit_facility` | Pay coupons from real cash, then from an independently executed deficit facility within its limit. |\n| `cash_ledger.free_cash_remuneration` | `OIS` | Cash and reinvestment use the supplied OIS curve. |\n| `cash_ledger.price_return_accounting` | `retained_asset_settled_price_adjusts_financing` | Retain U; settled principal/price returns adjust the financing liability. A management reserve expense does not borrow cash. |\n| `cash_ledger.surplus_policy` | `repay_deficit_then_retain_cash` | Sweep available surplus to outstanding deficit debt before retaining cash. |\n| `cash_ledger.capital_covenant` | `no_automatic_acceleration` | Capital deficiency does not itself invent an accelerated cash payment. |\n| `day_one_accounting.service_fee_treatment` | `inception_consumed_service_expense` | The paid day-one service fee is consumed at inception and expensed, separately from management deferral. |\n| `whole_book.capital_gate` | `minimum_capital_blocks_new_execution` | Compare supplied qualifying Tier1 after AVA with the greater of risk and leverage minima; a shortfall blocks new execution without creating equity. |\n| `replacement_quote.conversion` | `remaining_quarterly_annuity` | Convert the matched quoted financing margin using the stated rate and remaining tenor; the required `off_quarter_convention=fractional_remaining_annuity_clean_quote` supplies its fractional-power extension off quarter dates, not an exact original-coupon valuation. |\n| `actions.netting.other_trade.quote.conversion` | `upfront_implied_spread_remaining_annuity` | Infer a spread from the executable upfront and its inception annuity; roll that spread on the remaining annuity. |\n| `actions.CDS.replacement_quote.conversion` | `cds_spread_difference_remaining_annuity` | Value the quoted CDS spread difference on its remaining quarterly annuity. |\n| `reserve_uncertainty.method` | `incremental_core_model_risk_method_1` | Apply the specified incremental Method 1 model-risk AVA illustration, with required alpha and confidence inputs. |\n\n<a id=\"substitution-eligibility\"></a>\n## Substitution eligibility\n\nThe fictional replacement action supplies its own correlation, issuance, enforceability, market-liquidity and currency facts. In the canonical action it is issued, enforceable, market-liquid and same-currency, and has no material positive correlation with the deployment obligor. Its issuer, rating, quantity and coupon remain the separately supplied action terms. These are explicit fictional premises supplementing the issued independent AAA replacement described in `capital-actions.md`; they are not inferred from the word \u201cAAA\u201d, an empty field or a resolving citation.\n\nThe controlled collateral-price/rating comparison independently supplies the same five facts and its own eligibility source reference. It does not inherit them from the action. A false issuance, enforceability or liquidity fact, or true material correlation, prevents recognised collateral mitigation. A currency mismatch invokes the stated FX haircut rather than being silently reset to same-currency. Missing or mistyped facts fail validation. Ratings and market spread changes remain independent inputs.\n\n## Actual-book AVA\n\n`whole_book.AVA` is the explicitly supplied actual-book deduction, applied to Tier1 at every actual beginning-of-interval capital observation in both the core opening comparison and ReserveLedger's full-book profile. It changes available capital and shortfall, not required capital, accounting equity or cash. The canonical value is `\"0\"`; this is an input, not a hard-coded model assumption.\n\n`leverage_snapshot.AVA` and `reserve_uncertainty` remain separately scoped controlled illustrations. They are not added to `whole_book.AVA`. A nonzero actual-book input must preserve that separation. The D2 probe changes only actual-book AVA and records the core/reserve capital bridge and unchanged cash journals.\n\n## Default inventory\n\nNo economic dictionary lookup in `numerical_fixture.py`, `reserve_ledger.py` or `validate_exhibits.py` supplies a value when a reference key is missing. Remaining `schema.get(\"type\")` calls classify schema structure only; they do not obtain economic data. The grader likewise has no defaulting dictionary lookup for reference economics.\n\nOptional calculation arguments have specific, bounded meanings:\n\n- `discount`/`annuity` with no rate read the required `ois` parameter; they do not invent an interest rate.\n- `saccr` with no override reads required book notional, AAA supervisory factor and contract margin terms. Its default credit delta is the stated receive-total-return baseline. Explicit aggregation overrides are supplied only by the netting calculation.\n- `funding_profile`/`funding_capital` default to the unhedged, unmargined comparator. A hedge's omitted *override* tenor reads the required CDS contract tenor, not a guessed maturity. `cva` defaults to that same unmargined comparator.\n- `collateral_state` with no exposure override uses book notional before scheduled loan maturity and zero thereafter. Loan elapsed time rolls down the collateral's independently supplied initial `residual_years`; neither its residual nor its original maturity is replaced by the loan's maturity. An explicitly supplied positive exposure at scheduled maturity remains unsecured pending separate settlement/recovery evidence.\n- Empty optional capital event lists mean no extra capital sampling points. CVA always uses original funding payment dates; a remaining tail begins with the stub to the next original payment rather than a new quarter measured from execution or expiry.\n- Zero aggregation buckets for newly assigned issuers, empty journal-date buckets, and custody positions created by settled receipts are derived state initialisation. Opening positions and input amounts must already exist.\n- Zero mitigation for explicit ineligibility, zero unexecuted facility usage, zero expired scheduled exposure and terminal zero remaining scheduled KVA are calculated outcomes. They do not discharge an unresolved settlement claim.\n- Undefined ratios may be `null` when their calculated denominator is zero. CLI section selection and output serialization options change presentation only.\n\nD2 exercises the current BOOK financial and legal fields, including attached security agreements and opinions. It does not claim to test tranche attachment points or a copula model: neither is an input dimension of this implementation. Those dimensions are recorded as `not_exercised` rather than represented by fabricated fields.\n\n<a id=\"settlement-and-quote-clock\"></a>\n## Settlement and quote clock\n\n`funding_contract.next_price_settlement_years` supplies the inception snapshot's actual delay to its next reference-price settlement. At a rolled observation, `funding_mark` requires both `next_payment_delay` and `unsettled_stub`, including an explicit zero. Same-day pending settlement uses delay zero; it does not receive a fresh quarter discount. A surviving unsettled reference return or stub at zero scheduled tenor requires a separate claim valuation and is rejected by the scheduled-contract mark.\n\nThe synthetic clean quote's `off_quarter_convention` extends `(1-D_r(h))/r` to fractional remaining quarters. This is a spread-to-upfront quote convention. It is not a discounted sum of the original contract's irregular coupon cash flows. Profiles support post-reference-settlement clean quotes and zero unsettled stubs only; original-reference inclusive quotes remain instantaneous observations and are not rolled without a new quote surface. Tail CVA and capital payments retain the original funding quarter clock.\n\n<a id=\"collateral-maturity-facts\"></a>\n## Independent collateral maturity\n\nThe original pledge, replacement action and controlled comparison each supply collateral `original_years` and initial `residual_years` (the replacement uses `replacement_residual_years`). At loan elapsed time e, collateral residual life is `max(initial_residual_years-e,0)`. Price and supervisory-haircut bucket use that collateral life. The already haircut-adjusted eligible collateral is then multiplied by the maturity factor from [CRE22.10\u201314 and CRE22.47](https://www.bis.org/committees/bcbs/basel-framework/standard/cre/22/inforce/2023-01-01/published/2020-11-26#22.10). An originally sub-one-year mismatched instrument or mismatched residual at or below three months supplies no recognised mitigation. The canonical collateral and deployment both have five-year original and residual life. Maturing collateral does not create an invented reinvestment or redemption receipt in this capital calculation.\n\n<a id=\"mpor-floor-facts\"></a>\n## MPOR floor facts\n\nThe funding set and H's CDS margin set independently attest non-central clearing, whole-business-day re-margining interval, hard-to-replace/illiquid status, whether the set exceeds 5,000 transactions, and qualifying repeated margin disputes. In this fictional case both are daily-margined, hard to replace, below that size threshold and without qualifying repeated disputes. Both supplied MPORs are 20 business days.\n\n[CRE52.50\u201351](https://www.bis.org/committees/bcbs/basel-framework/standard/cre/52/inforce/2023-01-01/published/2020-06-05#52.50) supplies a floor of nine business days plus the re-margining period, at least 20 for the stated illiquidity/size conditions. Qualifying dispute history means more than two disputes in the previous two quarters lasting beyond the otherwise applicable MPOR; it doubles the applicable floor for the subsequent two quarters. The engine rejects a supplied MPOR below its evidenced floor rather than silently accepting it. Central clearing is outside this branch.\n\n<a id=\"protection-recognition-facts\"></a>\n## Protection recognition facts\n\nThe canonical CDS directly protects P under `FUND_TRS`; H is a separate eligible protection provider. Fictional legal terms attest enforceability, irrevocable/unconditional direct protection, all three required credit events, applicable grace-period coverage, timely robust cash settlement, independent credit-event determination, and a reference obligation no senior to the protected obligation with the stated same-obligor cross-default link. The explicit identity and evidence fields are prerequisites, not conclusions inferred from a rating. Missing qualification is rejected; partial event cover and proxy credit hedges are not implemented.\n\n[CRE22.71, CRE22.74 and CRE22.76](https://www.bis.org/committees/bcbs/basel-framework/standard/cre/22/inforce/2023-01-01/published/2020-11-26#22.71) govern the selected recognition branch. A valid CDS from H whose risk weight is not strictly below P's receives no default-risk substitution relief. Its economic seller risk and separately calculated CVA exposure are not deleted. `hedge_provider_CVA_method=desk_annex_normal_saccr` explicitly selects the normal-SA-CCR exposure convention for H's CVA in this desk annex; it is not a claim that CRE51.16 alone prescribes that CVA method.\n\n<a id=\"leverage-recognition-facts\"></a>\n## Leverage recognition facts\n\nFor nonzero margin, the fictional CSA terms attest settled daily cash exchange, non-segregation/reuse, same currency, full-mark exchange and one legally enforceable master agreement covering the derivative and VM. These narrower same-currency terms satisfy the selected [LEV30.24\u201325](https://www.bis.org/committees/bcbs/basel-framework/standard/lev/30/inforce/2023-01-01/published/2020-03-27#30.24) branch. Missing or false facts reject that calculation; securities margin, segregated or delayed cash, partial/disputed VM and other-currency alternatives have no silent qualifying-VM fallback. The supplied cash balance is after VM transfer. A posted qualifying VM receivable is excluded from on-balance leverage assets under LEV30.25 and instead included in derivative RC; it must not also be hidden in another supplied asset bucket.\n\n`whole_book.written_credit_contract` identifies the same funding contract and U reference as the calculated funding row and attests that it is unoffset. Full written notional must equal the funding notional in both `whole_book` and `leverage_snapshot`. The optional [LEV30.35](https://www.bis.org/committees/bcbs/basel-framework/standard/lev/30/inforce/2023-01-01/published/2020-03-27#30.35) PFE exclusion therefore removes only the already included unoffset written contract. Zero/partial W, purchased-protection offsets and a mixed written population require a different implemented contract and are rejected. Buying CDS on P is not protection on U and does not remove U's written notional.\n\n<a id=\"conditional-quote-target\"></a>\n## Conditional quote target\n\nBoth the analytic calculation and executed deposit ledger use the replacement quote's own `scenario_margin_beta` and `conversion_rate`, while discounting funding expense at OIS. The positive target is `N*A_quote(h)*max(quote_beta*x,0)`, not `N*A_OIS(h)*max(x,0)` unless those distinct inputs happen to coincide. An unexecuted primary facility has no primary funding cost or fee.\n\nThe current deterministic experiment requires `reusable_VM=\"0\"`. The combined net-deposit-minus-reusable-VM formula remains an economic boundary described in the specification, not an implemented joint CSA/prefunding process. Nonzero reusable VM is rejected rather than ignored.\n"
    },
    {
      "name": "docs/reserve-module.md",
      "sha256": "30a551175152fb2b98dec975fec539e1131c8c4458adce7c7a0fa454deb74708",
      "text": "# Cash, reserves and the statutory bridge\n\nAs of **19 September 2026**. All entities, contracts, valuations, model distributions and market quotes in this module are fictional. Amounts are USD; tables labelled `m` use USD millions. The official sources support the stated rules, not the fictional transactions or their prices. This is an educational design and standalone calculation artifact, not a production installation, accounting opinion or assertion of regulatory compliance.\n\nThe implementation is [reserve_ledger.py](../src/reserve_ledger.py), driven only by [numerical-inputs.json](../fixtures/numerical-inputs.json) and the public results of [numerical_fixture.py](../src/numerical_fixture.py). The accounting-unit and contractual choices are shared with [economic-specification.md](economic-specification.md), [capital-rulebook.md](capital-rulebook.md) and [valuation-capital-annex.md](valuation-capital-annex.md). The mutually exclusive liquidity events are in [wrong-way-branches.md](wrong-way-branches.md); the cash buffers in those events are not extra resources for this book.\n\n## 1. What is being measured\n\nThree different measurements must not be collapsed into one reserve balance:\n\n1. **Actual cash and statutory stocks.** Cash comes from named executed transactions. A reserve charge, mark, capital release or AVA deduction does not create cash or a bank borrowing. The cash engine records the funded assets, legal title, sale financing, legacy funding, settlement payments, reinvestment, facility draws and unresolved claim.\n2. **Management funding-value and XVA pots.** Positive funding opportunity `G`, hedge value `H`, gain deferral `D` and XVA deduction `X` form a management bridge. They are not automatically additional IFRS assets or liabilities. The base funding-unit calculation includes economic CVA and standalone funding CCR/CVA KVA; it is not all-in bank XVA.\n3. **Prudential valuation and capital.** An identified, recognised fair-value exposure can support an incremental AVA. This changes the CET1 numerator, not cash or P&L. The controlled AVA example is separate from the retained-risk financing book and is not added to that book without an accounting-unit mapping.\n\nThe distinction corrects two causal shortcuts in the requested framing. Hedging P&L and actual funding interest are not, merely by naming them, reserve movements. Nor does a noncash charge become an unsecured debt balance because it is described as \u201cunfunded.\u201d The module includes both a charge-only counterexample and a separate executed cash transaction under which the proposed quadratic funding effect really occurs.\n\n### Execution and solvency limitation\n\nThe base opening contributed equity is USD100m; the consumed setup service costs USD1m, leaving USD99m statutory equity and free cash. There is no automatic capital contribution. `fullbook_capital` compares the supplied stocks with the disclosed risk-based and leverage requirements and reports the additional qualifying capital required. Statutory equity is assumed to qualify as Tier 1 in that comparator; this is a synthetic quality mapping, not a legal conclusion.\n\nThe cash paths are **execution counterfactuals conditional on separate capital approval**. A path can be cash-feasible while undercapitalised or insolvent. The explicit deficit facility has no automatic acceleration triggered by the synthetic accounting loss. That contract assumption permits the cash mechanics to be displayed; it does not approve new execution, cure negative equity or make the bank solvent. Each composed cash path carries the opening `capital_execution_gate`. Its subsequent equity is shown, rather than topped up by a plug.\n\n## 2. Cash and title over the full twenty years\n\n### Opening and executed funding\n\nDebit-positive journal balances are maintained independently of the reported attribution.\n\n| Stage | Assets | Liabilities | Statutory equity |\n|---|---|---|---:|\n| Before the new transaction | Retained U 1,000m; unrestricted cash 100m | Legacy funding 1,000m | 100m |\n| Sell legal title to U and retain substantially all risks through the TRS | Add cash 1,000m; keep U recognised | Add sale financing 1,000m | 100m |\n| Make the five-year EM advance | Replace sale cash with deployment asset 1,000m | No additional liability | 100m |\n| Consume the separate day-one service | Cash falls by 1m | Unchanged | 99m |\n\nThe provider P holds legal title to U. Failed-sale accounting keeps U on the desk's statutory balance sheet and recognises the consideration received as a financial liability. The TRS does not justify recognising a second asset for the same retained exposure. IFRS 9 paragraphs 3.2.15, B3.2.14 and B3.2.16(o) support this retained-risk treatment; paragraph 3.2.22 prevents an unsupported offset of the retained asset and associated liability. The fictional regulatory classification is separately evidenced and does not rewrite this accounting unit.[IFRS9]\n\nThe instrument has USD1bn original quantity and notional. Its coupon is OIS + 100bp. The executed financing coupon is OIS + 70bp, consisting of the locked initial 20bp input plus a 50bp execution margin. The cash engine binds this rate to `funding_contract.locked_financing_spread`, rather than allowing a later internal funding-curve move to reset the coupon. OIS is 4%; the five-year deployment pays OIS + 400bp; legacy funding pays OIS.\n\n### Quarterly settlement identity\n\nFor quarter `i`, original quantity `Q=N`, clean price per unit `P_i`, interval `q=0.25`, reference distribution `dist_i` and locked financing spread `k`:\n\n```text\nreference_coupon_i = N * (OIS + 0.01) * q\nreference_redemption_i = N at year 20, otherwise 0\nprice_return_i = Q * (P_i - P_(i-1))\ndist_i = reference_coupon_i + reference_redemption_i\nTRS_net_due_i = dist_i + price_return_i - N * (OIS + k) * q\n```\n\nThe provider receives the actual U distributions; the desk receives only the contractual net TRS amount. There is **no second desk cash receipt for U's coupon or redemption**. The reference coupon is retained as an attribution input, not duplicated as a cash flow.\n\nBefore the final distribution, the clean reference price follows the published pricing convention in `reference_price`. At maturity its ex-distribution price is zero. The negative price return and the redemption distribution therefore offset principal; the final scheduled net cash flow is not a second USD1bn repayment to the desk. The retained U and the sale-financing balance are then extinguished through the provider's retention of U redemption, a noncash principal retirement. Revaluation and settled principal-return adjustments are recorded consistently so that the same U loss is not also booked as an independent derivative loss.\n\n### Year five and year twenty\n\nAt year five the EM borrower returns USD1bn. That amount is explicitly reinvested in an OIS cash instrument; it does not disappear, remain a five-year EM exposure forever or earn the old EM spread after maturity. Its principal and OIS interest remain separately visible through year twenty. At year twenty the OIS investment returns USD1bn, which repays the opening legacy funding. The sale-financing retirement described above is a different principal path.\n\nUnrestricted cash earns OIS. Contractual cash income first funds cash expenses. An executed unsecured deficit facility, with the published USD500m limit and own-bond funding spread, funds only an actual remaining deficit. Surplus unrestricted cash repays that facility. On exhausted capacity or absent execution, the unmade payment becomes an explicit payable and the path stops as infeasible; the engine does not print a fictitious settled twenty-year continuation.\n\nFor every quarter the public result contains opening and closing stock balances, legal title, distribution and price-return components, the net settlement, interest and principal flows, facility draw/repayment, any shortfall, journal entry identifiers and an independently computed equity change. The base, mark-only and reference-stress paths each cover all eighty quarters when their stated cash contracts remain feasible.\n\n## 3. The two management pots and the P&L identity\n\nUse positive values for assets/gains and positive deductions for liabilities/reserves:\n\n```text\nE_management = C + M + G + H - B - D - X\n```\n\n`C` is cash; `M` is the other recorded assets; `B` includes sale financing, legacy debt, actual deficit borrowing and unsettled payables. `G` is the funding opportunity; `H` is an actually selected hedge's clean value. `D` is the gross management gain deferral. `X` is management CVA/KVA plus any identified statutory claim allowance **once**.\n\nFor the funding and hedge components over a period, with their cash coupon income `CF_G`, `CF_H`, actual funding cost `f` and operating/service cost `o`:\n\n```text\nP&L = CF_G + delta(G) + CF_H + delta(H) - f - o - delta(D) - delta(X)\n```\n\nWhole-book attribution adds the separately recorded deployment, legacy-funding, reference-revaluation and OIS-cash results. Cash or debt principal transfers and returnable VM are excluded from P&L. They still change balance-sheet stocks and liquidity.\n\nDefine `G_roll`, `D_roll`, `X_roll` at the ending date with elapsed time and contractual cash flows but unchanged market factors and no discretionary action:\n\n```text\ncarry = CF_G + G_roll - G_open\nclean_mtm = G_close - G_roll\nD_theta = D_open - D_roll\nD_observability_or_action = D_roll - D_close\nX_theta = X_open - X_roll\nX_market = X_roll - X_after_market\nX_action = X_after_market - X_close\nhedge_pnl = CF_H + H_close - H_open\n```\n\nThe implemented aggregation adds carry, clean MTM, deferral release, reserve theta, reserve MTM, reserve action and hedge P&L, then subtracts cash funding drag and operating cost. An instantaneous scenario has no carry or theta. A year of ordinary runoff has theta, even when spreads do not change.\n\n**Expected reserve release is P&L once.** It is not an extra windfall on top of a closing-stock change that already includes it. Unexpected spread-driven release is also P&L, but represents a risk position rather than time accrual. If a reserve covers an actual future cash expense, its consumption and that expense must both be recorded; the separate prefunding example below demonstrates this rather than treating reserve consumption as free revenue.\n\n### Pot D: frozen pricing-time release\n\nThe management opportunity at inception is:\n\n```text\nG_0 = N * 0.003 * A(20)\nA(h) = q * sum_(j=1 to h/q) (1 + OIS*q)^(-j)\nD_t = G_0 * A(20-t) / A(20)\n```\n\nThe inception spread is frozen for `D`. Funding or provider spreads changing do not re-mark that schedule. A separate observability event can change the deferral only with evidence applicable to the actual accounting unit and the recognition rule. Merely being older, moving to a favourable mark or selecting a different internal spread is not such evidence.\n\n### Pot X: recomputed CVA and capital cost\n\nThe base management allocation is:\n\n```text\nX_t = CVA_core(t) + KVA_core(t) + statutory_unresolved_claim_allowance(t)\n```\n\nThe core recomputes exposure, future loss and capital on the quarterly grid from remaining contracts and public parameters. No exposure path is a supplied answer. The actual funding reserve in the unhedged base is zero because no cash borrowing results from a reserve charge. The cash-stress path reports the cost of its actual drawn debt separately.\n\nThe core's KVA is a management opportunity-cost allocation for standalone funding CCR plus CVA capital; it is not a statutory provision or a dividend that the cash ledger silently pays. No shareholder distribution is specified. The whole-book max-constraint KVA is separately reported and must not be added to the standalone component KVA.\n\nThe base `incurred_CVA` used for regulatory exposure deduction is explicitly zero. An economic CVA number in this management pot is not evidence of an incurred accounting write-down on the regulatory unit. Values calculated under an obsolete automatic economic-CVA deduction are not the reference anchors for this bundle.\n\n### Statutory bridge\n\nFor the unhedged base:\n\n```text\nE_statutory = E_management - G + D + management_only_X\n```\n\nThe statutory claim allowance stays in both presentations; it is not restored and deducted again. A separately recognised hedge needs its own unit-specific bridge. Every reserve-schedule row supplies both equities and the bridge components.\n\nThis presentation makes gross `D` and `X` useful management schedules without pretending that IFRS requires an identical pair of statutory reserve accounts.\n\n## 4. Day-one recognition is tested on the valid unit\n\nThe actual base is a retained-asset financing, not a newly recognised free-standing USD41m derivative. It has no recognisable funding-opportunity profit on day one. The separately consumed USD1m service is a real expense, so **total day-one statutory P&L is minus USD1m**, even though the report field `day1_statutory_profit` is zero for the funding-opportunity gain. `recognition.total_statutory_day1_pnl` and `reporting_panel.day1_statutory_profit` expose that distinction.\n\nThe supplied internal add-on is not observable evidence for IFRS recognition. A fictional executable quote used for the experiment's replacement-value mechanics does not by itself establish the evidence required by IFRS 9 paragraph B5.1.2A. That paragraph tests whether the initial fair value is evidenced by an active-market quoted price for an identical asset/liability or a valuation technique using only observable market data. Otherwise the initial difference is deferred, with subsequent release only for changes in factors, including time, that market participants would take into account.[IFRS9]\n\nAn explicit **alternative standalone-unit example**, not an additional asset in the failed-sale book, shows why unit definition matters:\n\n| Valid separate derivative unit, USDm | Unobservable case | Evidenced observable case |\n|---|---:|---:|\n| Clean value | 41 | 41 |\n| Statutory exit-price XVA | 12 | 12 |\n| Fair value after statutory XVA | 29 | 29 |\n| Transaction price | 0 | 0 |\n| Initial carrying amount after day-one treatment | 0 | 29 |\n| Deferred initial difference | 29 | 0 |\n| Day-one P&L | 0 | 29 |\n\nDeferring the gross 41 and immediately charging 12 would produce a spurious loss of 12 in the unobservable case. The difference to which the rule applies is the fair value of the valid unit after its statutory valuation adjustments, minus its transaction price. Internal KVA cannot be inserted into that statutory adjustment without a separate accounting basis.\n\n## 5. Scenarios that distinguish the pots\n\n### 5.1 Base one-year roll\n\n`management_scenarios.one_year_roll` contains two deliberately different views:\n\n- `whole_book`: the first four quarters after paid day-one fees, including EM income, legacy interest and interest on accumulated cash. Its opening and closing equity are actual management stock snapshots.\n- `funding_component`: USD3m of first-year net funding cash, the funding mark roll and the two management pot releases; it excludes EM, legacy and cash-account carry. It is not an alternative full-bank profit number.\n\nIn the funding component, falling `G` contributes negatively to carry while declining `D` contributes positively to deferral release. Since the frozen base `G` and `D` coincide, those two stock movements cancel in total. The actual funding coupon and XVA release are not counted a second time. The whole-book view adds only the other contracts' recorded result.\n\n### 5.2 The divergent-pot shock selected for the accounting report\n\nAt book year one, first roll the base to nineteen years remaining. Then, with **zero elapsed time**, change the matching funding replacement spread by +100bp and provider CDS from 80bp to 160bp. Reference credit and the locked financing coupon are unchanged. This is `management_scenarios.instant_funding_100bp_provider_80bp`.\n\n| Quantity | After unchanged-market roll | Immediately after joint shock |\n|---|---|---|\n| Remaining years | 19 | 19 |\n| `G`, USDm, rounded | 39.792 | 172.434 |\n| `D`, USDm, rounded | 39.792 | 39.792 |\n| `X` | `core.funding.year1_roll.CVA + .KVA` | `core.funding.year1_stress.CVA + .KVA` |\n| Clean MTM, USDm, rounded | \u2014 | +132.641 |\n| Deferral release and reserve theta | \u2014 | 0 |\n| Reserve market P&L | \u2014 | `X_roll - X_stress` |\n| Cash movement / new debt | \u2014 | 0 / 0 |\n| Total management P&L | \u2014 | `delta(G) - delta(X)` |\n\nThe full-precision XVA levels and independent P&L are generated by the public core and ledger, not a frozen handwritten capital approximation. `D_open`, `D_close`, `X_open`, `X_close` and the attribution in `accounting.reserves` select **this instantaneous panel**, not a mixture with the year's carry. The alternate annual panel remains available. The AVA and terminal fields in that report have different, explicitly labelled observation scopes below.\n\nThe independent journal records a funding-asset revaluation and an XVA deduction remeasurement; it contains no cash or debt entry. Closing equity is read from those closing account balances and compared with the attribution. It is not defined as opening equity plus the reported P&L.\n\n### 5.3 Charge-only control\n\n`management_scenarios.charge_only` holds `G`, `D`, contractual payments, cash and debt fixed and increases `X` to the stressed level. Its journal records only the deduction and expense. Equity falls by the XVA charge; cash and debt are unchanged. This is a direct counterexample to \u201creserve expense mechanically creates borrowing.\u201d It remains an expense despite being noncash.\n\n### 5.4 Actually executed hedge defence\n\n`management_scenarios.hedge_defence_one_year` isolates an alternative executed CDS defence, funded from a named allocation of the existing post-service cash. It is **not** added to the unhedged base and does not create another cash contribution.\n\nThe contract buys USD320m protection on P, at an 80bp premium, from independent H for five years beginning on execution at business day two. It pays a USD250,000 setup fee and USD25,000 annual administration cost. The hedge quote is observed **one year after CDS execution**, not exactly one year after base-book inception; `quote_book_time` is execution time plus one, and remaining CDS term is four years. Four full quarterly premiums total USD2.560m; setup plus first-year administration costs total USD0.275m.\n\nThe quoted clean mark changes from zero to:\n\n```text\nH_1 = 320m * (160bp - 80bp) * A(4)\nhedge_pnl = H_1 - 2.560m\n```\n\nThis annuity conversion is the matched fictional replacement quote, not a universal CDS-pricing model. OIS interest on allocated cash is separate carry. Actual premium and service cash costs are paid; the independent hedge journal computes the result from closing stocks. The executed cash-VM CSA gives cash equal to the positive mark and an equal return liability. Receipt of VM is not a second gain and does not extinguish the hedge asset.\n\nThis panel proves hedge cash, mark and P&L mechanics only. Eligibility, designation, hedge-provider CVA/CCR, fees, expiry and unprotected tail are evaluated in `core.actions.CDS.normal_designated`, `stress_designated` and `stress_undesignated`, as described in [capital-actions.md](capital-actions.md). The isolated hedge mark is not advertised as the all-in economic benefit, and the five-year hedge is not silently renewed for the twenty-year funding exposure.\n\n## 6. Actual cash funding versus conditional quadratic UFVA\n\n### 6.1 Mark-only move: no actual borrowing\n\n`cash_scenarios.mark_only_funding_widening_100bp` widens the marking curve by 100bp and uses the stated stressed own-bond spread, while reference credit stays unchanged. Neither input changes the locked TRS financing coupon. Without an actual deficit, the facility is undrawn and the cash spread cost is zero. Charging CVA or KVA does not change that conclusion.\n\nThe actual cost definition is:\n\n```text\nPV_actual_funding_spread_cost = sum_i discount(t_i) * debt_(i-1) * own_bond_spread * q\nPV_actual_borrowing_interest = sum_i discount(t_i) * debt_(i-1) * (OIS + own_bond_spread) * q\n```\n\n`cash_funding_drag` in statutory and management P&L is the full actual interest expense. The spread-only discounted cost is separately exposed as actual UFVA, so OIS interest is not silently omitted from the P&L tie. The own bond spread relative to OIS determines the contractual funding expense. Bond-minus-own-CDS basis is a comparative benchmark; it is not a cash borrowing rate by itself.\n\n### 6.2 Reference-credit settlement stress: actual debt\n\n`cash_scenarios.actual_reference_credit_widening_250bp` applies the +250bp reference-credit move at the first scheduled quarterly settlement and holds it thereafter. Funding marking spread is +100bp and the actual own-bond spread is 150bp. The quarter-end U price follows the published reference pricing rule with 19.75 years remaining. At subsequent quarters the price evolves with tenor, so the whole cash path, repayment and funding cost are recomputed rather than multiplying the first draw by twenty years.\n\nThe independently prepared W3 arithmetic exhibit supplies the following first-event anchors; it is not a claim that the complete runtime gate has already been run:\n\n| First quarterly event | Amount |\n|---|---:|\n| U price per unit | 0.7434976916757938623 |\n| Price-return cash component | -USD256,502,308.324206 |\n| Reference coupon less financing coupon | +USD750,000 |\n| Net TRS payment due | USD255,752,308.324206 |\n| Cash available before the TRS settlement | USD109,990,000 |\n| Actual facility draw | USD145,762,308.324206 |\n\nThe source is the original flat-bundle snapshot [branch-arithmetic-evidence.json](../evidence/baseline/branch-arithmetic-evidence.json), with scenario facts in the public W3 exhibits. The available cash includes the post-fee USD99m, its quarterly OIS interest and EM-minus-legacy coupon cash. The W3 funding opportunity can rise while the full pre-payment contractual value and cash position worsen. That is why a positive funding mark is not liquidity.\n\nThe additional W3 deployment market markdown and provider-credit shock belong to their own market and credit calculations; the contractual deployment cash engine does not turn an unrealised EM markdown into a cash principal loss. No hidden equity issuance rescues the resulting statutory loss. Independent quarter-by-quarter results disclose the minimum equity and the explicit distinction between cash feasibility, capital approval and solvency.\n\n### 6.3 Separate executed exposure-prefunding experiment\n\n`conditional_facility` is a distinct opt-in transaction with its own contributed USD100m cash/equity. It is not another facility or cash pot inside the base book. It borrows and segregates an external OIS deposit according to:\n\n```text\nx = incremental funding-spread move\nB_i = N * A(20-t_i) * max(x, 0)\nown_spread(x) = 0.005 + x\nquarter_i_spread_cash_cost = B_i * own_spread(x) * q\n```\n\nPrimary borrowing proceeds go into the segregated deposit; they cannot also fund the base deployment or serve as reusable base VM. The deposit earns OIS while the executed liability costs OIS plus the own-bond spread. Only the net spread is an incremental primary funding cost. As the target falls, deposit principal pays down matched primary debt. Its interest cash cost is paid from the separately contributed buffer; only an actual buffer deficit could use the separately disclosed secondary facility.\n\nFor the fixed quarterly grid and stated no-default path:\n\n```text\nI = N * sum_(i=0 to 79) q * discount(t_(i+1)) * A(20-t_i)\n  = 119,725,575,814.7565 USD-year per unit spread, rounded\nUFVA_primary(x) = I * x * (0.005 + x), for x >= 0\nUFVA_primary(0.01) = USD17,958,836.372, rounded\ninitial_deposit = N * A(20) * 0.01 = USD137,220,515.265, rounded\n```\n\nThus the quadratic term is real **conditional on this executed cash requirement and its own-funding rule**. It is not a general consequence of credit exposure, a positive replacement value or a reserve charge. USD14.5m is not the result under these quarterly inputs; obtaining it would require changing the convention or funding assumptions.\n\nThe funding-cost reserve is the remaining PV of those identified future cash spread costs:\n\n```text\nR_80 = 0\nR_i = discount(q) * (quarter_i_spread_cash_cost + R_(i+1))\n```\n\nAt each quarter the journal records the actual interest expense and reserve consumption/time roll separately. Reported P&L is OIS income on the independent buffer plus the reserve reduction minus actual net funding expense. The release therefore does not manufacture new cash or erase the funding bill. Principal and deposit movements have no P&L. The independent ledger exposes both primary and secondary funding costs and does not identify the reserve balance itself with a second debt draw.\n\n## 7. AVA: uncertainty, CET1 and the conditional capital-cost link\n\nThe complete applicability and source analysis is in [valuation-capital-annex.md](valuation-capital-annex.md). The implementation selects the identified EU-style **core approach, model-risk category, Method 1** for two already recognised positive fair-value asset exposures. Their CET1 sensitivity is 100%. Other AVA categories remain unchanged in this incremental comparison, not assumed absent from the bank.\n\nFor each supplied uniform range of plausible current exit-cost model estimates `[a,b]`:\n\n```text\nexpected_cost = (a+b)/2\nq90_cost = a + 0.90*(b-a)\naccounting_FV = gross_value - expected_cost - same_source_accounting_prudence\nprudent_value = gross_value - q90_cost\nresidual_uncertainty = max(accounting_FV - prudent_value, 0)\nAPVA = (1-0.50) * residual_uncertainty * CET1_sensitivity\n```\n\nThe 90% criterion is about a prudent **current exit valuation**, not future-P&L VaR. Uniformity is a disclosed synthetic assumption, not a regulatory prescription. Existing accounting prudence offsets only the same identified source of uncertainty. Expected cost is not by itself an uncertainty cushion. Method 1's aggregation alpha is 50% under the identified post-2020 rule; the expired 66% factor is not used.[RTS]\n\n| USDm | X1 | X2 |\n|---|---:|---:|\n| Gross value | 100.000 | 50.000 |\n| Plausible cost range | [1.750, 4.250] | [1.375, 2.625] |\n| Expected cost | 3.000 | 2.000 |\n| Same-source accounting prudence | 0.200 | 0.100 |\n| Accounting fair value | 96.800 | 47.900 |\n| 90th-percentile cost | 4.000 | 2.500 |\n| Prudent value | 96.000 | 47.500 |\n| Residual uncertainty | 0.800 | 0.400 |\n| Method 1 APVA | 0.400 | 0.200 |\n\nThe incremental model-risk AVA is **USD0.600m**. Under the controlled fixed USD100m RWA denominator, CET1 falls from USD12.000m to USD11.400m, or 12.0% to 11.4%. CRR Article 34 supplies the CET1 deduction; it is neither a P&L charge nor cash borrowing.[CRR] The actual retained-U book is not assigned this separate deduction again: `fullbook_capital.AVA_in_actual_base_book` is zero.\n\nIf management elects to restore a 12% target in this controlled example, the incremental equity required is USD0.600m. No issuance is actually booked. With an explicit constant twenty-year forecast for this component and a 10% equity hurdle, the disclosed opportunity-cost increment is:\n\n```text\nreplacement_equity_KVA = 0.600m * 0.10 * A(20) = USD0.823323092m, rounded\n```\n\nThis is a conditional future capital-cost allocation, not automatic cash, not an accounting reserve and not a universal KVA response to any AVA increase. At a slack target no replacement capital need follow; a different forecast or binding constraint changes the result. Real exposure/RWA treatment is not assumed to retain the controlled fixed denominator.\n\nTwo counterexamples make the uncertainty distinction testable:\n\n- Shift X1's entire cost range upward by USD3m without changing width or same-source prudence. Expected accounting cost rises from USD3m to USD6m, but its residual uncertainty remains USD0.8m and APVA remains USD0.4m. The accounting loss still matters to equity; the AVA does not mechanically grow with reserve level.\n- Widen X1's range symmetrically from `[1.750,4.250]` to `[0.500,5.500]` while its expected cost remains USD3m. Its q90 cost becomes USD5m; residual uncertainty is USD1.8m and APVA USD0.9m. With X2 unchanged, the incremental AVA becomes USD1.1m even though the expected-cost level did not rise.\n\nThe sources identified as current are CRR consolidated **26 June 2026** and RTS consolidated **26 June 2020**, including the applicable amendment. A consultation or the July 2026 draft-RTS submission deadline is not treated as enacted replacement law. Governance, category coverage and actual recognition must be evidenced before using the controlled result in a real capital return.\n\n## 8. Settlement, not age, closes the final reserve\n\nAt contractual year twenty the funding mark, priced-time deferral and scheduled core CVA/KVA profile run off. That does **not** settle an unpaid provider amount.\n\nThe base terminal event withholds USD500,000 from the otherwise positive final provider settlement. It records a gross receivable of USD500,000 and a full USD500,000 allowance. The net claim is zero, but the claim and its uncertainty still exist. Thus:\n\n```text\nscheduled G_20 = 0\nscheduled D_20 = 0\nscheduled core CVA_20 = KVA_20 = 0\nunresolved gross claim = 500,000\nterminal X = claim allowance = 500,000\nall_obligations_settled = false\n```\n\nThe implementation publishes two subsequent **alternative** resolutions, neither booked into the base path:\n\n1. Actual payment of USD500,000: debit cash, credit the receivable, and reverse the now-unneeded allowance into P&L. The reserve becomes zero because the claim was settled.\n2. Evidenced final write-off/legal discharge: use the allowance against the gross claim. With a full allowance there is no second loss or cash receipt. The reserve becomes zero because the exposure was extinguished.\n\nA zero terminal reserve obtained solely by setting remaining maturity to zero is wrong. Settlement evidence must also cover any unmade payable and actual deficit debt. The core's final scheduled row is not a certificate that every legal and cash obligation has closed.\n\n## 9. Public calculation and report mapping\n\n### APIs\n\n```python\ncompute_reserves(parameters: dict, core: dict) -> dict\nsimulate_cash(parameters: dict, reference_credit_move: Decimal,\n              funding_move: Decimal, own_spread: Decimal) -> dict\n```\n\n`core` must be the public `compute_core(parameters)` result. The reserve module consumes `funding.normal`, `funding.year1_roll`, `funding.year1_stress`, `actions.CDS.hedge_mark_year1` and the public `wholebook_capital`, `annuity`, `discount` and `reference_price` functions. Missing required fields raise `ReferenceError`; there is no local fallback capital formula or implicit exposure series. Public money and rate values are exact decimal strings for JSON interchange.\n\nThe standalone command prints JSON and writes no report files. Run it from R, the organized bundle root containing `requirements.txt`:\n\n```text\npython3 src/reserve_ledger.py --parameters fixtures/numerical-inputs.json\npython3 src/reserve_ledger.py --parameters fixtures/numerical-inputs.json --summary\n```\n\nFrom another working directory, use `python3 \"$R/src/reserve_ledger.py\" --parameters \"$R/fixtures/numerical-inputs.json\" --summary`, with R set to the absolute bundle path. The reserve CLI does not accept `--root`.\n\nThe full form includes all eighty cash quarters, eighty-one reserve observation rows including inception and terminal maturity, independent journals, the conditional facility and separate valuation/capital examples. The summary selects anchors without changing calculations. Command examples document the interface; execution evidence belongs to the integration gate, not to this document's existence.\n\n### Stable exported locations\n\n| Public field | Observation and source |\n|---|---|\n| `accounting.recognition` | Retained-asset financing at inception; `day_one_accounting`; zero funding-opportunity recognition before the separately expensed service |\n| `recognition.total_statutory_day1_pnl` | Actual day-zero statutory stock change including the consumed service |\n| `accounting.reserves.D_open`, `.D_close`, `.X_open`, `.X_close` | Instantaneous year-one funding/provider shock after the base roll |\n| `accounting.reserves` attribution and independent equity change | Same instantaneous panel; no year's cash or theta added |\n| `accounting.reserves.AVA`, `.CET1_after_AVA` | Separate recognised-FV model-risk example from `reserve_uncertainty`; not that instant panel's equity |\n| `accounting.reserves.terminal_reserve`, `.all_obligations_settled` | Year-twenty unpaid claim event from `terminal` |\n| `reserve_schedule` | Base funding opportunity, D, X and statutory bridge at every quarter, plus the final claim allowance |\n| `management_journal` | Opening and closing independent trial balances, management overlay entries and an explicit link to the base cash source journal |\n| `management_scenarios.one_year_roll` | Whole-book and funding-only annual attribution, kept separate |\n| `management_scenarios.charge_only` | Same year-one stocks, only X changes; no cash or debt |\n| `management_scenarios.hedge_defence_one_year` | Executed CDS countercase, one year after its execution, not base-book year one |\n| `cash_scenarios.base` | Unchanged reference and funding marks; own-bond spread 50bp |\n| `cash_scenarios.mark_only_funding_widening_100bp` | Funding move +100bp; reference move zero; own spread 150bp; locked cash coupon unchanged |\n| `cash_scenarios.actual_reference_credit_widening_250bp` | Reference +250bp at the first quarterly price settlement; funding move +100bp; own spread 150bp |\n| `credit_xva.actual_ufva` | Discounted actual drawn-debt spread cost in that reference-credit stress |\n| `credit_xva.base_actual_ufva`, `.mark_only_ufva` | Separate cash-path costs, not replaced by the conditional experiment |\n| `credit_xva.conditional_quadratic_ufva` | Separate executed exposure-prefunding transaction and its explicit own-spread rule |\n| `fullbook_capital` | Each beginning-of-quarter actual base stock passed to the core risk/leverage max comparator; discounted capital service over the full life |\n| `terminal` | Scheduled maturity versus open claim, plus unbooked subsequent settlement/write-off alternatives |\n\nThe scenario parameter sources are `scenarios.normal` and `scenarios.joint_stress` for the funding/provider profiles; `cash_ledger.reference_stress_move`, `cash_ledger.funding_stress_move`, `own_bond_spread` and `stressed_own_bond_spread` for cash; `conditional_reserve_facility` for the separate prefunding transaction; `actions.CDS` and its matched replacement quote for hedge defence; `reserve_uncertainty` for AVA; and `terminal` for the residual claim. `scenarios` is an ID-indexed conceptual table, stored as an array: consumers resolve entries by `id`, not by assuming array order.\n\nThe binding exhibit/report pointer map is owned by the public schema bundle. This module provides exact named outputs; it does not silently select a different observation for each field to make an identity pass.\n\n## 10. Acceptance evidence and rejected shortcuts\n\nThe integration owner runs the standalone calculators and report grader after artifact owners finish. Workers do not claim validation from source inspection. The significant gates are:\n\n- Recompute all cash distributions, principal paths and actual facility draws from public terms over the full horizon; reconcile opening and closing stocks without assuming a settlement because time elapsed.\n- Replay debit/credit journal entries independently and compare the resulting equity change with the separate attribution for every quarter and named scenario.\n- Check that base D follows its frozen annuity, that annual expected release appears once, and that an instantaneous market shock has zero theta but nonzero X remeasurement.\n- Hold all contractual cash obligations fixed while charging X. Debt and cash must remain unchanged, even though P&L and equity fall.\n- Recompute the reference-loss cash stress and its accumulated debt spread cost; then compute the separate prefunding experiment under its own legal cash requirement. The two UFVA values are not interchangeable.\n- Check recognition on the retained-risk unit and on both controlled standalone-unit observability cases; do not impose gross deferral plus a duplicated statutory XVA loss.\n- Recompute the current-valuation uncertainty, same-source prudence, Method 1 aggregation and CET1 numerator; do not deduct management KVA as if it were an AVA.\n- Preserve the USD500,000 final allowance until actual payment or evidenced extinguishment. A candidate that reports zero because the core's scheduled exposure ends must fail.\n\nA candidate P&L that is arithmetically consistent with its own invented closing equity is not evidence. The grader must compare it with the authoritative independent journal and opening/closing stocks. Likewise, a true `expected_release_counted_twice=false` flag cannot rescue a numerical attribution that counts the same release twice.\n\n## Official references\n\n- **[IFRS9]** [IFRS 9, issued 2026 text](https://www.ifrs.org/content/dam/ifrs/publications/html-standards/english/2026/issued/ifrs9.html), paragraphs 3.2.15, 3.2.22, B3.2.14, B3.2.16(o), 5.1.1A and B5.1.2A. Retrieved 19 September 2026. Retained-risk transfer accounting and initial difference recognition are separate tests.\n- **[RTS]** [Delegated Regulation (EU) 2016/101, consolidated 26 June 2020](https://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX%3A02016R0101-20200626), Articles 8, 11, 12, 13 and Annex; with [Regulation 2020/866](https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32020R0866). Retrieved 19 September 2026. The relevant 50% post-2020 Method 1 alpha and 90% current prudent-value criterion are applied only within their stated scope.\n- **[CRR]** [Regulation (EU) 575/2013, consolidated 26 June 2026](https://eur-lex.europa.eu/legal-content/EN/TXT/HTML/?uri=CELEX%3A02013R0575-20260626), Articles 34, 92, 105 and 111. Retrieved 19 September 2026. The CET1 deduction and real exposure/denominator rules do not make the controlled fixed-RWA example a compliance calculation.\n"
    },
    {
      "name": "family/worker/legal-terms.txt",
      "sha256": "ee06975127ae967c42cb3d0f51447b5008200eb04b6157dd5f6dfa945ad87694",
      "text": "<a id=\"actual-deployment-terms\"></a>\nFictional current contract for FUND_01, series 1. Jurisdiction: Fictional Commonwealth of Orivale / series 1. The borrower Brackenford Trade Bank [FUND_01 series 1] grants issued_security_pledge rights over DEPSEC, 990009000 USD1 units or identified payment-right face units. The collateral relation is independent; issuance exists now: true. Ownership basis is pledge; the return obligation is identical. Reuse permission is false; current enforcement status is effective. Reuse requires existing owned and unencumbered units, the express permission, current enforceability and preservation of the specified return claim. A contingent promise creates no security inventory; payment rights create no traded security. The security covenant does not alter the independent U funding sale: the reporting bank receives total return, pays financing and obtains principal only from the identified par sale. Funding matures 2047-06-05; deployment matures 2032-06-05. Initial operating cash 123751125 is a restriction within total opening cash 123751125, not a second asset; residual 0 cannot pay the operating call without an authorized release. The separate operating call input is 17820162. Ternwell Liquidity Bank [FUND_01 series 1] commits at most 257402340 by the selected cutoff at spread 0.0108903245 over OIS. Unused capacity is not cash. The deployment financing quote has market haircut 0.08910333 and spread 0.0108903245; these do not replace supervisory haircuts. The public real-calendar quarter schedule governs coupons and resets. Event notices do not prove cash settlement. This current-terms packet contains no future path or reference answer.\n\nCurrent client constraints and scoped mandate. These are source instructions, not reference recommendations.\n\n{\n  \"counterparty_constraints\": [\n    {\n      \"party_id\": \"BORROWER\",\n      \"situation\": \"Brackenford Trade Bank [FUND_01 series 1] receives the separately identified five-year deployment loan for its own liquidity need. Its granted security supports that loan only; it is not a second cash advance or a claim that the funding TRS has principal exchange. This is the BOOK mandate, not the separately sized S2 reserve-authority comparison. Joint funding and credit widening coincides with an actual contractual reference-loss payment; its own funding cost has risen and the emerging-market deployment credit has deteriorated, so it is under liquidity stress with a realised market loss, not in default.\",\n      \"situation_kind\": \"liquidity_stress\",\n      \"required_cash\": \"990009000\",\n      \"currency\": \"USD\",\n      \"funding_deadline\": \"2027-06-05\",\n      \"allowed_legal_forms\": [\n        \"issued_security_pledge\"\n      ],\n      \"prohibited_legal_forms\": [\n        \"contingent_issuance_promise\",\n        \"payment_rights_assignment\",\n        \"title_transfer_repo\"\n      ],\n      \"classification_by_form\": {\n        \"issued_security_pledge\": \"secured_borrowing\"\n      },\n      \"required_return\": \"identical\",\n      \"borrowing_ceiling\": \"990009000\",\n      \"maximum_spread\": \"0.079202016\",\n      \"required_approval_ids\": [],\n      \"evidence\": [\n        {\n          \"document_id\": \"SYNTHETIC_PACKET\",\n          \"locator\": \"fictional-counterparty-constraints\"\n        }\n      ]\n    },\n    {\n      \"party_id\": \"P\",\n      \"situation\": \"Alderwick Funding Trust [FUND_01 series 1] purchases U under SALE_U and owes the full total return under FUND_TRS while receiving the financing leg. It supplies the identified sale price once, requires enforceable bilateral close-out, and is not a deployment borrower. These labels do not extinguish its twenty-year surviving return claim. Its own CDS has widened from eighty to one hundred sixty basis points in the joint event and it is under ratings pressure. It requires the funding-CSA cash budget and the offset credit limit to be approved before either route is treated as executed; it does not require netting consolidation in this branch.\",\n      \"situation_kind\": \"ratings_pressure\",\n      \"required_cash\": \"0\",\n      \"currency\": \"USD\",\n      \"funding_deadline\": \"2027-09-05\",\n      \"allowed_legal_forms\": [\n        \"sale_funded_total_return_swap\"\n      ],\n      \"prohibited_legal_forms\": [\n        \"payment_rights_assignment\",\n        \"contingent_issuance_promise\"\n      ],\n      \"classification_by_form\": {\n        \"sale_funded_total_return_swap\": \"funded_asset_purchase_and_return_contract\"\n      },\n      \"required_return\": \"none\",\n      \"borrowing_ceiling\": null,\n      \"maximum_spread\": null,\n      \"required_approval_ids\": [\n        \"DESK_CSA\",\n        \"DESK_OFFSET\"\n      ],\n      \"evidence\": [\n        {\n          \"document_id\": \"SYNTHETIC_PACKET\",\n          \"locator\": \"fictional-counterparty-constraints\"\n        }\n      ]\n    },\n    {\n      \"party_id\": \"S2_LRA\",\n      \"situation\": \"Separate S2 controlled comparison only: FUND_01 s2_lra series 1 owns allocated bullion and the existing Treasury issue; it is not Fictional Commonwealth of Orivale / series 1 / Lydora fictional-law division Republic, not its Treasury, and not the BOOK borrower. The borrowing ceiling counts the secured cash advance and unsecured top-up together. Fiscal lending to Treasury needs an additional resolution that is absent. The bespoke identical-title route lacks a completed proprietary-return opinion. None of these S2 balances is added to BOOK cash.\",\n      \"situation_kind\": \"fiscal_ceiling\",\n      \"required_cash\": \"495004500\",\n      \"currency\": \"USD\",\n      \"funding_deadline\": \"2029-09-17\",\n      \"allowed_legal_forms\": [\n        \"gold_pledge\",\n        \"gold_equivalent_title\",\n        \"issued_security_pledge\",\n        \"title_transfer_repo\"\n      ],\n      \"prohibited_legal_forms\": [\n        \"fiscal_advance\"\n      ],\n      \"classification_by_form\": {\n        \"gold_pledge\": \"secured_borrowing\",\n        \"gold_equivalent_title\": \"secured_financing_with_title_transfer\",\n        \"issued_security_pledge\": \"secured_borrowing\",\n        \"title_transfer_repo\": \"secured_financing_with_title_transfer\",\n        \"gold_identical_title\": \"bespoke_title_financing_pending_proprietary_opinion\",\n        \"fiscal_advance\": \"fiscal_lending_requires_separate_authority\"\n      },\n      \"required_return\": \"equivalent\",\n      \"borrowing_ceiling\": \"495004500\",\n      \"maximum_spread\": null,\n      \"required_approval_ids\": [\n        \"S2_IDENTICAL_TITLE\"\n      ],\n      \"evidence\": [\n        {\n          \"document_id\": \"SYNTHETIC_PACKET\",\n          \"locator\": \"fictional-counterparty-constraints\"\n        }\n      ]\n    }\n  ],\n  \"mandate\": {\n    \"mandate_id\": \"BOOK_DESK_MANDATE\",\n    \"bank_id\": \"MERIDIAN\",\n    \"rules\": [\n      {\n        \"rule_id\": \"DESK_HOLD\",\n        \"action_kind\": \"hold_capital\",\n        \"subject_id\": \"MERIDIAN\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CAPITAL_RETAINED\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_CSA\",\n        \"action_kind\": \"execute_csa\",\n        \"subject_id\": \"FUND_TRS\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": \"742506750\",\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 1,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"CSA_CASH_BUDGET\",\n          \"LIQUIDITY_STRESS_BUDGET\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_SUBSTITUTION\",\n        \"action_kind\": \"substitute_collateral\",\n        \"subject_id\": \"DEP_SECURITY\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": \"990009000\",\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 1,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"COLLATERAL_OWNER_CONSENT\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_REVERSE\",\n        \"action_kind\": \"reverse_substitution\",\n        \"subject_id\": \"DEP_SECURITY\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": \"990009000\",\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 2,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"RETURN_TITLE_REVIEW\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_OFFSET\",\n        \"action_kind\": \"execute_offset\",\n        \"subject_id\": \"OFFSET_TRS\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": \"495004500\",\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 1,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"OFFSET_CREDIT_LIMIT\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_NETTING\",\n        \"action_kind\": \"consolidate_netting\",\n        \"subject_id\": \"MASTER_P_CONSOLIDATED\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": null,\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 1,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"MASTER_OPINION_REVIEW\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_PROTECTION\",\n        \"action_kind\": \"buy_protection\",\n        \"subject_id\": \"H\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": \"316802880\",\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"NAMED_PROTECTION_QUOTE\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_DESIGNATION\",\n        \"action_kind\": \"designate_protection\",\n        \"subject_id\": \"H\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": \"316802880\",\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"MATCHED_REFERENCE_DESIGNATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_REPO\",\n        \"action_kind\": \"repo_allocate\",\n        \"subject_id\": \"MERIDIAN\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"OWN_INVENTORY_ONLY\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_REPO_REPAY\",\n        \"action_kind\": \"repay_repo\",\n        \"subject_id\": \"MERIDIAN\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"DISCHARGE_REPO_DEBT\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_SELL_COLLATERAL\",\n        \"action_kind\": \"sell_lot\",\n        \"subject_id\": \"DEP_SECURITY\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": null,\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 2,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"BORROWER_DISPOSAL_CONSENT\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_SELL_INVENTORY\",\n        \"action_kind\": \"sell_lot\",\n        \"subject_id\": \"MERIDIAN\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"OWN_INVENTORY_DISPOSAL\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_EQUIVALENT\",\n        \"action_kind\": \"buy_equivalent\",\n        \"subject_id\": \"DEP_SECURITY\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"DOCUMENTED_EQUIVALENT_RETURN\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_RETURN\",\n        \"action_kind\": \"return_collateral\",\n        \"subject_id\": \"DEP_SECURITY\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"DISCHARGE_COLLATERAL_RETURN\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_RETURN_REPO\",\n        \"action_kind\": \"return_collateral\",\n        \"subject_id\": \"MERIDIAN\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"DISCHARGE_REPO_RETURN\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_DRAW\",\n        \"action_kind\": \"draw_facility\",\n        \"subject_id\": \"FACILITY_LENDER\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": \"257402340\",\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"EXECUTED_FACILITY_LIMIT\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_REPAY\",\n        \"action_kind\": \"repay_facility\",\n        \"subject_id\": \"FACILITY_LENDER\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"DISCHARGE_FACILITY_DEBT\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_MARGIN_DEP\",\n        \"action_kind\": \"meet_margin_call\",\n        \"subject_id\": \"DEP_SECURITY\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_MARGIN_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_MARGIN_FUND\",\n        \"action_kind\": \"meet_margin_call\",\n        \"subject_id\": \"FUND_TRS\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_MARGIN_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_MARGIN_HEDGE\",\n        \"action_kind\": \"meet_margin_call\",\n        \"subject_id\": \"H\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_MARGIN_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_PAY_FUND\",\n        \"action_kind\": \"settle_payable\",\n        \"subject_id\": \"FUND_TRS\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_FUNDING_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_PAY_DEP\",\n        \"action_kind\": \"settle_payable\",\n        \"subject_id\": \"DEP_LOAN\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_DEPLOYMENT_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_PAY_RETURN\",\n        \"action_kind\": \"settle_payable\",\n        \"subject_id\": \"DEP_SECURITY\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_RETURN_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_PAY_HEDGE\",\n        \"action_kind\": \"settle_payable\",\n        \"subject_id\": \"H\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_PROTECTION_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_PAY_FACILITY\",\n        \"action_kind\": \"settle_payable\",\n        \"subject_id\": \"FACILITY_LENDER\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_FACILITY_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_PAY_BANK\",\n        \"action_kind\": \"settle_payable\",\n        \"subject_id\": \"MERIDIAN\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_OWN_BORROWING_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_PAY_OFFSET\",\n        \"action_kind\": \"settle_payable\",\n        \"subject_id\": \"OFFSET_TRS\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CURRENT_OFFSET_OBLIGATION\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_CLAIM_PROVIDER\",\n        \"action_kind\": \"settle_claim\",\n        \"subject_id\": \"P\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"ADMITTED_PROVIDER_CLAIM\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_CLAIM_BORROWER\",\n        \"action_kind\": \"settle_claim\",\n        \"subject_id\": \"BORROWER\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"ADMITTED_BORROWER_CLAIM\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_CLAIM_HEDGE\",\n        \"action_kind\": \"settle_claim\",\n        \"subject_id\": \"H\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"ADMITTED_PROTECTION_CLAIM\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_LIQUIDATION\",\n        \"action_kind\": \"liquidate_collateral\",\n        \"subject_id\": \"DEP_SECURITY\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": null,\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 1,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"ENFORCEMENT_AND_SURPLUS_REVIEW\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"DESK_REINVEST\",\n        \"action_kind\": \"reinvest\",\n        \"subject_id\": \"DEP_LOAN\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": \"495004500\",\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 2,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"MATURED_PRINCIPAL_TREASURY_REVIEW\",\n          \"LIQUIDITY_STRESS_REVIEW\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"S2_FISCAL\",\n        \"action_kind\": \"fiscal_advance\",\n        \"subject_id\": \"S2_LRA\",\n        \"tier\": \"prohibited\",\n        \"maximum_amount\": \"0\",\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"SEPARATE_FISCAL_AUTHORITY_ABSENT\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"S2_IDENTICAL_TITLE\",\n        \"action_kind\": \"identical_title_financing\",\n        \"subject_id\": \"S2_LRA\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": \"495004500\",\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 3,\n        \"approval_outcome\": \"pending\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"PROPRIETARY_RETURN_OPINION_MISSING\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"PROPOSAL_ACT_CSA\",\n        \"action_kind\": \"execute_CSA\",\n        \"subject_id\": \"ACT_CSA\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": \"742506750\",\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 1,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"CSA_CASH_BUDGET\",\n          \"LIQUIDITY_STRESS_BUDGET\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"PROPOSAL_ACT_SUB\",\n        \"action_kind\": \"substitute_collateral\",\n        \"subject_id\": \"ACT_SUB\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": \"990009000\",\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 1,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"COLLATERAL_OWNER_CONSENT\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"PROPOSAL_ACT_NET\",\n        \"action_kind\": \"consolidate_netting\",\n        \"subject_id\": \"ACT_NET\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": null,\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 1,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"MASTER_OPINION_REVIEW\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"PROPOSAL_ACT_CDS\",\n        \"action_kind\": \"buy_CDS\",\n        \"subject_id\": \"ACT_CDS\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": \"316802880\",\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"NAMED_PROTECTION_QUOTE\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"PROPOSAL_ACT_HOLD\",\n        \"action_kind\": \"hold_capital\",\n        \"subject_id\": \"ACT_HOLD\",\n        \"tier\": \"permitted\",\n        \"maximum_amount\": null,\n        \"approver_id\": null,\n        \"approval_delay_days\": 0,\n        \"approval_outcome\": null,\n        \"approval_valid_days\": 0,\n        \"reason_codes\": [\n          \"CAPITAL_RETAINED\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      },\n      {\n        \"rule_id\": \"PROPOSAL_ACT_RELEASE\",\n        \"action_kind\": \"release_substitution\",\n        \"subject_id\": \"ACT_RELEASE\",\n        \"tier\": \"requires_approval\",\n        \"maximum_amount\": \"990009000\",\n        \"approver_id\": \"MERIDIAN\",\n        \"approval_delay_days\": 2,\n        \"approval_outcome\": \"approved\",\n        \"approval_valid_days\": 5,\n        \"reason_codes\": [\n          \"RETURN_TITLE_REVIEW\"\n        ],\n        \"evidence\": [\n          {\n            \"document_id\": \"SYNTHETIC_PACKET\",\n            \"locator\": \"fictional-desk-mandate\"\n          }\n        ]\n      }\n    ],\n    \"evidence\": [\n      {\n        \"document_id\": \"SYNTHETIC_PACKET\",\n        \"locator\": \"fictional-desk-mandate\"\n      }\n    ]\n  }\n}\n\n"
    },
    {
      "name": "fixtures/desk-policy.json",
      "sha256": "99a4529f5f18565cef56d712bc35bd226678bccc1d91a92ea0f1c237538fe099",
      "text": "{\n  \"schema_version\": \"desk-policy.v3\",\n  \"name\": \"Settled synthetic desk conventions, 2026-09-19\",\n  \"status\": \"Public fictional desk policies. These conventions supplement, and never replace, authenticated instrument terms, quotes, legal rights or cash receipts.\",\n  \"source_documents\": [\n    \"docs/desk-runtime-contract.md\",\n    \"docs/economic-specification.md\",\n    \"docs/capital-actions.md\",\n    \"docs/capital-rulebook.md\",\n    \"docs/reference-input-contract.md\",\n    \"schemas/daily-report.schema.json\",\n    \"docs/reserve-module.md\"\n  ],\n  \"resource_limits\": {\n    \"max_input_bytes\": 1048576,\n    \"max_json_depth\": 32,\n    \"max_json_nodes\": 50000,\n    \"max_string_length\": 16384,\n    \"max_actions_per_day\": 64,\n    \"max_assignments\": 512,\n    \"max_decimal_digits\": 80,\n    \"max_decimal_places\": 40,\n    \"max_packet_bytes\": 33554432,\n    \"max_output_bytes\": 1048576,\n    \"max_source_bytes\": 16777216,\n    \"max_events\": 4096,\n    \"max_contracts\": 16384,\n    \"max_lots\": 16384,\n    \"max_obligations\": 262144,\n    \"max_pending\": 16384,\n    \"max_decision_premises\": 16,\n    \"max_rationale_chars\": 2000,\n    \"max_premise_value_items\": 32,\n    \"max_legal_decisions\": 256,\n    \"max_legal_approvals\": 256\n  },\n  \"institutional\": {\n    \"status\": \"Public fictional desk conventions for closed escalate and decline decisions. The authenticated case mandate and counterparty constraints, not this section, define which actions require a rule, tier, or approver.\",\n    \"decision_actions\": [\"escalate\", \"decline\"],\n    \"decision_record_ids\": {\"escalate\": \"decision:<action_id> and approval:<action_id>\", \"decline\": \"decision:<action_id>\"},\n    \"request_is_not_permission\": \"An accepted escalate action records a request. Only an approval record whose status is approved on the current calendar day authorizes the covered action; a pending, declined, expired or consumed approval authorizes nothing.\",\n    \"approval_calendar\": {\n      \"unit\": \"calendar_day\",\n      \"requested_at\": \"the accepted escalation's as_of date\",\n      \"effective_at\": \"requested_at plus the rule's approval_delay_days\",\n      \"expires_at\": \"effective_at plus the rule's approval_valid_days\",\n      \"valid_interval\": \"[effective_at, expires_at)\"\n    },\n    \"approval_status_transitions\": {\n      \"pending\": [\"approved\", \"declined\", \"expired\"],\n      \"approved\": [\"consumed\", \"expired\"],\n      \"declined\": [], \"consumed\": [], \"expired\": []\n    },\n    \"decisions_are_immutable\": true,\n    \"used_by_is_set_only_when_consumed\": true,\n    \"premises\": {\n      \"sources\": [\"case\", \"state\", \"book\", \"report\"],\n      \"pointer\": \"RFC 6901 JSON pointer into the named public source\",\n      \"relations\": [\"eq\", \"ne\", \"gte\", \"lte\", \"contains\"],\n      \"values\": \"strings, integers, booleans, null, or a flat bounded list of those; decimal amounts are cited as decimal strings, never floats\"\n    },\n    \"other_routes_remain\": \"Decisions never replace settlement, quote, right, default or cash-based refusals; every other refusal route continues to apply unchanged.\"\n  },\n  \"daily_report\": {\n    \"schema_version\": \"daily-book.v2\",\n    \"numeric_tolerances\": {\n      \"money\": \"0.000001\",\n      \"scalar\": \"0.000000000001\"\n    },\n    \"max_bytes\": 1048576,\n    \"max_depth\": 24,\n    \"max_nodes\": 30000,\n    \"max_string_length\": 4096,\n    \"max_collection_items\": 4096\n  },\n  \"calendar\": {\n    \"business_day_convention\": \"following\",\n    \"weekend_days\": [5, 6],\n    \"holidays\": [],\n    \"contract_quarter_months\": 3,\n    \"contract_quarter_year_fraction\": \"0.25\",\n    \"original_payment_dates\": \"unadjusted_calendar_anniversaries_preserving_inception_end_of_month\",\n    \"new_payment_dates\": \"following_business_day_own_execution_anniversaries\",\n    \"new_coupon_accrual\": \"Own_execution_unadjusted_three_month_anniversaries_define_nominal_quarters._Each_complete_nominal_quarter_earns_0.25_years;_a_shortened_first_or_final_interval_earns_0.25_times_its_actual_days_divided_by_the_full_nominal_quarter_days._Following_business_day_adjustment_changes_cash_payment_date_only_not_earned_coupon_or_contract_tenor.\",\n    \"debt_day_count\": \"ACT/365F\",\n    \"debt_year_days\": \"365\",\n    \"cash_interest\": \"OIS_ACT365F_on_settled_opening_day_balance\",\n    \"opening_quote_moves\": {\n      \"funding_move\": \"0\",\n      \"reference_move\": \"0\",\n      \"em_move\": \"0\"\n    },\n    \"receipt_clock\": \"calendar_day_offset_from_window_start\",\n    \"prewindow_history\": \"Only explicit compiled opening_history settled_periods and source contractual schedule. No external event, trade, default, funding facility or reinvestment is inferred.\"\n  },\n  \"opening\": {\n    \"cash_mandate\": \"Disclosed initial_operating_cash is the unrestricted subset of opening_total_cash. The separately disclosed remainder is restricted opening cash; neither subset is additional cash.\",\n    \"restriction_effective\": \"funding_inception\",\n    \"restricted_cash_location\": \"central_bank_OIS_account\",\n    \"fee_cash_source\": \"unrestricted_cash\",\n    \"contribution\": \"Every source allocation lot is contributed in kind at its disclosed source value at funding inception; matching contributed_equity is not cash or income.\",\n    \"funding_title\": \"P\",\n    \"funding_retained_accounting\": \"retained_U\",\n    \"automatic_reinvestment\": false,\n    \"static_deficit_facility\": \"not_executed_in_actual_daily_book\",\n    \"contractual_unpaid_cash\": \"create_identified_obligation_without_negative_cash_or_invented_borrowing\"\n  },\n  \"execution\": {\n    \"fatal_cutoff_commit\": \"A_valid_envelope_stops_at_the_first_actual_fatal_cutoff._Only_executed_prefix_receipts_commit;_halt_day_increments_revision_once_without_advancing_day_date_or_financial_time._No_later_action_event_accrual_checkpoint_or_clock_receipt_is_executed.\",\n    \"accepted_result\": \"Accepted_means_transition_committed;_worker_action_count_and_scoreability_use_only_actual_accept_action_receipts._A_fatal_prefix_with_zero_worker_actions_is_not_scoreable.\",\n    \"rejection\": \"Malformed_or_invalid_actions_roll_back_all_economic_state_and_receipts._An_external_fatal_refusal_fact_may_terminate_the_run_without_fabricating_an_accepted_transition.\"\n  },\n  \"rights\": {\n    \"initial_transfer_blocks\": {\"custody_delivery\": false, \"cash_remittance\": false},\n    \"initial_market_open\": true,\n    \"initial_defaults\": {\n      \"borrower\": false,\n      \"provider\": false,\n      \"reference_issuer\": false\n    },\n    \"issuance\": \"effective_only_for_source_issued_instruments\",\n    \"delivery\": \"effective_for_existing_controlled_source_lots_only\",\n    \"remittance\": \"denied_until_explicit_scoped_event\",\n    \"substitution\": \"conditional_until_priced_custody_settlement\",\n    \"restitution\": \"borrower_only_and_subject_to_outstanding_secured_obligations\",\n    \"reuse\": \"source_permission_and_effective_enforcement_and_preserved_return_obligation\",\n    \"funding_reference_disposal\": \"prohibited_for_desk_after_settled_sale\",\n    \"identical_return_disposal\": \"prohibited\",\n    \"equivalent_return_disposal\": \"only_explicit_reuse_permission_with_preserved_identified_return_liability\"\n  },\n  \"repo\": {\n    \"day_count\": \"ACT/365F\",\n    \"fee\": \"0\",\n    \"rate\": \"ois_plus_lender_spread\",\n    \"maturity_days_source\": \"allocation.days\",\n    \"cash_cost\": \"interest_and_explicit_fee_only\",\n    \"allocation_objective\": \"haircut_funding_and_equity_hurdle_are_noncash_opportunity_costs\",\n    \"principal_source\": \"actual_accepted_lender_advance\",\n    \"return_requires\": \"principal_and_due_interest_paid\",\n    \"reuse_of_pledged_lots\": false\n  },\n  \"reinvestment\": {\n    \"allowed_tenor_years\": [\"0.25\", \"0.5\", \"1\", \"2\", \"5\", \"10\", \"15\"],\n    \"spread\": \"0\",\n    \"fee\": \"0\",\n    \"minimum_amount\": \"0.01\",\n    \"day_count\": \"ACT/365F\",\n    \"payment_frequency_months\": 3,\n    \"principal_source\": \"received_unreinvested_deployment_maturity_principal\",\n    \"instrument\": \"central_bank_OIS_deposit\",\n    \"redemption\": \"principal_plus_due_accrued_interest\"\n  },\n  \"inventory\": {\n    \"unit_price\": \"1\",\n    \"coupon_spread\": \"0\",\n    \"price_rule\": \"disclosed_value_frozen_until_quote_or_credit_event\",\n    \"contribution\": \"in_kind_equity\",\n    \"allocation_reuse_permitted\": true,\n    \"allocation_instrument_id\": \"source_lot_id\",\n    \"allocation_quantity\": \"disclosed_source_value_in_one_USD_units\",\n    \"IG_bond_coupon_convention\": \"OIS_flat_par_floater_with_zero_extra_spread\",\n    \"coupon_day_count\": \"quarter_actual_fraction\",\n    \"coupon_schedule\": \"funding_inception_three_month_anniversaries_preserving_inception_end_of_month_until_source_maturity\",\n    \"clean_price_excludes_accrued_interest\": true,\n    \"dirty_transfer\": \"Current_firm_sale_or_purchase_consideration_equals_clean_security_price_plus_exact_earned_unpaid_interest;_transfer_clears_seller_accrual_and_buyer_funds_the_acquired_accrual_no_day_one_interest_profit\",\n    \"coupon_record_date\": \"payment_date_current_beneficial_coupon_owner\",\n    \"repo_coupon_rights\": \"Contributed_owned_inventory_retain_issuer_coupon_entitlement_under_repo;_lender_remits_distribution_without_second_income\",\n    \"received_title_distribution_authority\": \"The_authored_security_terms_do_not_allocate_distributions._This_public_synthetic_convention_assigns_total_equivalent_asset_return_to_the_borrower;_it_is_not_an_external_legal_opinion.\",\n    \"received_title_distribution_duty\": \"A_compact_DEP_SECURITY.distributions_record_preserves_the_original_borrower_coupon_duty_across_sale_and_repurchase_until_actual_return._Accrual_debits_expense_funding_and_credits_return_liability.\",\n    \"received_title_issuer_entitlement\": \"Only_actually_held_received_or_equivalent_units_have_issuer_coupon_entitlement._Their_separate_inventory_security_contract_accrues_unpaid_receivable_and_income_carry;_sold_units_never_generate_fictitious_issuer_cash.\",\n    \"received_title_dirty_transfer\": \"Sale_or_purchase_transfers_exact_accrued_issuer_entitlement_at_dirty_price_without_erasing_the_original_borrower_distribution_duty._Actual_return_discharges_matched_issuer_rights_and_borrower_duty_only.\",\n    \"received_title_coupon_settlement\": \"Original_source_coupon_dates_and_current_holder_determine_actual_issuer_receipts._Borrower_distributions_use_actual_cash_and_current_cash_remittance_permissions;_custody_delivery_blocks_do_not_block_cash_distributions._Blocked_distributions_remain_identified_payables_not_free_desk_profit.\",\n    \"received_title_redemption\": \"At_source_maturity_actual_held_units_redeem_for_contractual_issuer_principal_into_restricted_cash_matched_by_the_borrower_return_duty._Remove_the_matured_security_and_issuer_exposure;_lawful_borrower_settlement_consumes_the_restricted_proceeds_and_duty_once._Sold_units_owe_equivalent_redemption_but_receive_no_issuer_cash.\",\n    \"maturity\": \"Redeem_actual_owned_security_once_at_source_principal_plus_due_interest;_received_collateral_equivalent_return_duties_survive_as_identified_return_cash_or_claim\",\n    \"main_index_equity_cash_distribution\": \"0\",\n    \"equity_maturity_date\": null,\n    \"allocation_maturity_basis\": \"source_residual_years_from_funding_inception\",\n    \"missing_market_quote\": \"ReferenceError_except_explicit_frozen_source_inventory_quote\"\n  },\n  \"prices\": {\n    \"allocation\": \"source_value\",\n    \"equivalent\": \"same_instrument_current_unit_price\",\n    \"sale_bid_multiplier\": \"1\",\n    \"buy_ask_multiplier\": \"1\",\n    \"sale_fee\": \"0\",\n    \"buy_fee\": \"0\",\n    \"market_maker_id\": \"DESK_SECURITY_MARKET_MAKER\",\n    \"market_maker_status\": \"Named synthetic current firm quote counterparty with committed consideration only for accepted, legally deliverable current-price trades. It never settles unrelated claims.\",\n    \"execution\": \"same_day_delivery_versus_payment\",\n    \"settlement_lag_business_days\": 0,\n    \"settlement_scope\": \"Current synthetic market-maker action quote expressly uses same-day DVP, distinct from the source instrument's ordinary one-business-day indicative settlement convention; quote acceptance requires legal delivery and actual settled consideration together.\",\n    \"funding_reference\": \"source_reference_price_remaining_financial_tenor\",\n    \"deployment_security\": \"source_coupon_current_em_curve_remaining_financial_tenor\",\n    \"independent_security\": \"source_coupon_independent_issuer_curve\",\n    \"payment_rights\": \"no_traded_security_price\",\n    \"unissued_promise\": \"no_inventory_no_price_no_liquidation\"\n  },\n  \"csa\": {\n    \"quote_scope\": \"Actual agreement only. The quoted standalone stress credit line is a separate static comparison and is not executed by execute_csa.\",\n    \"cost_fields\": [\"fee\", \"annual_administration_fee\"],\n    \"excluded_static_comparison_fields\": [\"facility_limit\", \"liquidity_buffer\", \"facility_upfront_fee\", \"annual_commitment_fee\", \"facility_commitment_rate\", \"facility_spread\"],\n    \"VM_source\": \"actual_settled_cash_only\",\n    \"VM_treatment\": \"deposit_asset_or_returnable_received_cash_not_income\",\n    \"consolidated_netting_coverage\": \"funding_contract_only_without_explicit_joint_margin_coverage_opinion\",\n    \"facility_capacity\": \"only_current_committed_branch_FACILITY\"\n  },\n  \"substitution\": {\n    \"custody_confirmation\": \"authenticated_source_quote_conditions_complete_at_quoted_effective_business_day_unless_current_legal_gate_blocks_delivery\",\n    \"requires_existing_issued_replacement\": true,\n    \"borrower_contributes_replacement\": true,\n    \"cash_principal\": \"0\",\n    \"yield_concession_starts\": \"actual_custody_settlement\",\n    \"reversal_restores\": \"exact_saved_original_rights_not_invented_inventory\",\n    \"encumbered_original\": \"reject_until_downstream_rights_and_return_obligations_discharged\"\n  },\n  \"offset\": {\n    \"fee\": \"0\",\n    \"upfront\": \"cash_to_desk_equals_negative_current_quote_fair_value\",\n    \"quoted_upfront_meaning\": \"fair_value_of_off_market_contract_to_desk_before_upfront_exchange\",\n    \"coupon\": \"source_upfront_implied_spread_remaining_annuity\",\n    \"day_count\": \"quarter_actual_fraction\",\n    \"statutory_recognition\": \"separate_derivative_FV_in_statutory_derivative_asset_or_statutory_derivative_liability\",\n    \"initial_pnl\": \"zero_before_explicit_fees\"\n  },\n  \"protection\": {\n    \"premium_clock\": \"own_effective_date_anniversaries\",\n    \"expiry\": \"own_effective_date_plus_source_original_years\",\n    \"premium_day_count\": \"quarter_actual_fraction\",\n    \"administration_day_count\": \"ACT/365F\",\n    \"statutory_recognition\": \"separate_derivative_FV_in_statutory_derivative_asset_or_statutory_derivative_liability\",\n    \"default_cash\": \"identified_executed_contract_claim_only_after_authenticated_settlement\",\n    \"new_trade_notional\": \"source_executable_quote_notional\",\n    \"designation\": \"no_premium_history_rewrite\"\n  },\n  \"defaults\": {\n    \"same_issuer_collateral_recovery\": \"0\",\n    \"same_issuer_scope\": \"only_already_issued_borrower_collateral_when_borrower_defaults\",\n    \"independent_collateral\": \"does_not_inherit_borrower_default_zero\",\n    \"borrower_unsecured_recovery\": \"0\",\n    \"provider_recovery_source\": \"parameters.provider_recovery\",\n    \"reference_issuer_recovery\": \"0.4\",\n    \"recoveries_are_cash\": false,\n    \"provider_closeout\": \"crystallise_full_current_legal_mark_once_into_identified_claim_or_payable_preserve_existing_unpaid_obligations_stop_future_TRS_payments\",\n    \"provider_closeout_allowance\": \"positive_identified_claim_times_one_minus_source_provider_recovery\",\n    \"reference_default_value\": \"source_notional_times_explicit_reference_issuer_recovery_is_claim_not_cash\",\n    \"settlement\": \"recognized_claims_survive_until_authenticated_cash_or_evidenced_discharge\",\n    \"worker_claim_settlement\": \"identified_existing_payable_from_actual_cash_or_identified_receivable_with_explicit_authenticated_uncredited_pending_cash_receipt_only;_metadata.cash_receipts_records_already_settled_cash_and_never_authorises_a_second_credit\",\n    \"liquidation_trigger\": \"borrower_default_or_identified_due_unpaid_secured_loan_obligation\",\n    \"liquidation_waterfall\": [\"due_loan_coupon\", \"outstanding_loan_principal\", \"borrower_surplus_return_liability\"],\n    \"liquidation_surplus\": \"Actual_sale_cash_excess_is_borrower_property_matched_by_identified_return_liability_never_desk_income\",\n    \"zero_liquidation\": \"No_cash_receipt_and_no_duplicate_loss_beyond_identified_credit_allowance\",\n    \"facility_default_effect\": \"source_legal_availability_controls_undrawn_capacity_debt_survives\",\n    \"automatic_deficit_draw\": false,\n    \"terminal_static_claim\": \"controlled_report_only_no_runtime_claim_without_authentic_origin\"\n  },\n  \"facility\": {\n    \"fee\": \"0\",\n    \"day_count\": \"ACT/365F\",\n    \"year_days\": \"365\",\n    \"maturity\": \"funding_maturity_date\",\n    \"spread_rule\": \"source_lender_spread_plus_current_own_bond_minus_inception_own_bond\",\n    \"rate_reset\": \"daily\",\n    \"payment_frequency_months\": 3,\n    \"child_servicing\": \"base_FACILITY_aggregates_all_debt_and_interest_children_are_lineage_only_repaid_FIFO\",\n    \"child_repayment_order\": [\"execution_date\", \"id\"],\n    \"availability\": \"source_unconditional_by_selected_cutoff_until_current_explicit_status_event_otherwise_conditional\",\n    \"required_instruction\": \"accepted_worker_draw_or_authenticated_external_draw\",\n    \"principal_and_interest_survive_suspension\": true\n  },\n  \"collections\": {\n    \"opening_recognition\": \"controlled_payment_rights_are_security_for_existing_loan_not_a_second_asset\",\n    \"restricted_receipt\": \"restricted_collections_asset_and_identified_return_liability_no_equity\",\n    \"ownership_when_enforcement_denied\": \"borrower\",\n    \"ownership_otherwise\": \"assigned_claim\",\n    \"remittance\": \"only_exact_batch_with_effective_scoped_permission\",\n    \"loan_application\": \"discharge_identified_loan_receivable_and_matching_collection_return_obligation_once\",\n    \"prefunding\": \"restricted_cash_and_borrower_return_liability_until_identified_loan_coupon_is_due_then_return_liability_and_receivable_clear_while_cash_remains_desk_owned_restricted_debt_service_cash\",\n    \"restitution_or_correspondent_setoff\": \"consume_identified_batch_and_return_liability_without_desk_cash\"\n  },\n  \"accounting\": {\n    \"management_funding_mark\": \"source_internal_funding_opportunity_not_legal_exposure\",\n    \"funding_derivative_recognition\": \"none_for_retained_U_failed_sale_unit\",\n    \"deferral\": \"frozen_inception_pricing_annuity\",\n    \"observable_release\": \"irreversible_on_authenticated_observable_significant_input_evidence\",\n    \"hedge_and_offset_marks\": \"statutory_separate_contract_FV_with_management_overlay_explicit_bridge\",\n    \"mark_accounts\": {\"asset\": \"statutory_derivative_asset\", \"liability\": \"statutory_derivative_liability\"},\n    \"no_balancing_plug\": true,\n    \"journal_decimal_places\": 12,\n    \"journal_rounding\": \"ROUND_HALF_EVEN\",\n    \"rounding_stage\": \"Financial amounts are rounded before the same amount updates obligation, contract and journal. Journal never independently rounds postings or inserts a residual.\",\n    \"cash_interest_credit\": \"income_carry\",\n    \"debt_interest_debit\": \"expense_funding\",\n    \"deposit_interest\": \"source_OIS_unless_contract_specifies_spread\"\n  },\n  \"capital\": {\n    \"scope\": \"Named synthetic whole-book asset mapping. Existing dated authority remains controlling for SA-CCR, eligible bank weights, CRM and leverage. New inventory and collection allocations below are explicit desk policies, not inferred regulatory approvals.\",\n    \"accounts\": {\n      \"cash\": {\"risk_weight\": \"0\", \"leverage_included\": true, \"basis\": \"source_central_bank_OIS_cash\"},\n      \"restricted_cash\": {\"risk_weight\": \"0\", \"leverage_included\": true, \"basis\": \"mandated_central_bank_OIS_cash\"},\n      \"restricted_collections\": {\"risk_weight\": \"0.2\", \"leverage_included\": true, \"basis\": \"named_synthetic_correspondent_exposure\"},\n      \"retained_U\": {\"risk_weight_source\": \"current_underlying_issuer_weight\", \"leverage_included\": true, \"basis\": \"retained_source_security_current_rating\"},\n      \"deployment_principal\": {\"risk_weight_source\": \"whole_book.deployment_rw\", \"leverage_included\": true, \"basis\": \"loan_after_current_CRM\"},\n      \"deployment_accrued\": {\"risk_weight_source\": \"whole_book.deployment_rw\", \"leverage_included\": true, \"basis\": \"borrower_accrued_receivable\"},\n      \"reinvestment_principal\": {\"risk_weight\": \"0\", \"leverage_included\": true, \"basis\": \"central_bank_OIS_deposit\"},\n      \"inventory\": {\"risk_weight_source\": \"capital.lot_classes\", \"leverage_included\": true, \"basis\": \"actual_owned_lot_by_class\"},\n      \"posted_vm\": {\"risk_weight_source\": \"regulatory.provider_rw\", \"leverage_included\": true, \"basis\": \"actual_returnable_deposit_no_assumed_netting\"},\n      \"unpaid_receivable\": {\"risk_weight_source\": \"capital.receivable_kinds\", \"leverage_included\": true, \"basis\": \"identified_claim_not_account_aggregate_shortcut\"},\n      \"statutory_derivative_asset\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"same_actual_contract_counted_by_derivative_SA_CCR_and_derivative_leverage_once\"},\n      \"statutory_derivative_liability\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"derivative_liability_no_unrelated_gross_asset_offset\"},\n      \"repo_debt\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"liability_no_gross_asset_offset\"},\n      \"facility_debt\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"liability_no_gross_asset_offset\"},\n      \"sale_financing\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"liability_no_retained_U_offset\"},\n      \"legacy_debt\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"liability_no_gross_asset_offset\"},\n      \"received_vm\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"returnable_VM_qualified_netting_only\"},\n      \"return_liability\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"recognised_return_obligation_does_not_erase_cash_or_inventory\"},\n      \"unpaid_payable\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"liability_no_gross_asset_offset\"},\n      \"claim_allowance\": {\"risk_weight\": \"0\", \"leverage_included\": false, \"basis\": \"specific_credit_allowance_reduces_only_identified_related_asset\"}\n    },\n    \"lot_classes\": {\n      \"IG_bond\": {\"risk_weight\": \"0.2\", \"leverage_included\": true},\n      \"main_index_equity\": {\"risk_weight\": \"2.5\", \"leverage_included\": true},\n      \"funding_reference\": {\"risk_weight_source\": \"current_underlying_issuer_weight\", \"leverage_included\": true},\n      \"deployment_collateral\": {\"recognition\": \"CRM_only_no_duplicate_statutory_asset\", \"leverage_included\": false},\n      \"replacement\": {\"recognition\": \"CRM_only_until_own_cash_purchase\", \"leverage_included\": false},\n      \"equivalent\": {\"risk_weight_source\": \"current_underlying_issuer_weight\", \"leverage_included\": true},\n      \"payment_rights\": {\"recognition\": \"security_only_until_identified_receipt\", \"leverage_included\": false}\n    },\n    \"receivable_kinds\": {\n      \"funding_cash\": {\"risk_weight_source\": \"regulatory.provider_rw\", \"no_duplicate_current_derivative_EAD\": true},\n      \"loan_coupon\": {\"risk_weight_source\": \"whole_book.deployment_rw\"},\n      \"loan_principal\": {\"risk_weight_source\": \"whole_book.deployment_rw\"},\n      \"reinvestment_interest\": {\"risk_weight\": \"0\"},\n      \"reinvestment_principal\": {\"risk_weight\": \"0\"},\n      \"deposit_return\": {\"risk_weight_source\": \"regulatory.provider_rw\"},\n      \"protection_claim\": {\"risk_weight_source\": \"regulatory.protection_provider_rw\"},\n      \"default_claim\": {\"risk_weight_source\": \"identified_counterparty\"},\n      \"derivative_FV\": {\"risk_weight\": \"0\", \"basis\": \"SA_CCR_already_counts_separate_contract_exposure\"},\n      \"inventory_coupon\": {\"risk_weight_source\": \"identified_source_lot\"},\n      \"inventory_principal\": {\"risk_weight_source\": \"identified_source_lot\"}\n    },\n    \"rating_buckets\": {\n      \"AAA\": \"AAA\", \"AA+\": \"AA\", \"AA\": \"AA\", \"AA-\": \"AA\",\n      \"A+\": \"A\", \"A\": \"A\", \"A-\": \"A\",\n      \"BBB+\": \"BBB\", \"BBB\": \"BBB\", \"BBB-\": \"BBB\",\n      \"BB+\": \"BB\", \"BB\": \"BB\", \"BB-\": \"BB\",\n      \"B+\": \"B\", \"B\": \"B\", \"B-\": \"B\",\n      \"CCC+\": \"CCC\", \"CCC\": \"CCC\", \"CCC-\": \"CCC\",\n      \"CC\": \"CCC\", \"C\": \"CCC\", \"D\": \"D\"\n    },\n    \"bank_risk_weights\": {\"AAA\": \"0.2\", \"AA\": \"0.2\", \"A\": \"0.3\", \"BBB\": \"0.5\", \"BB\": \"1\", \"B\": \"1\", \"CCC\": \"1.5\", \"D\": \"1.5\"},\n    \"other_mdb_risk_weights\": {\"AAA\": \"0.2\", \"AA\": \"0.2\", \"A\": \"0.3\", \"BBB\": \"0.5\", \"BB\": \"1\", \"B\": \"1\", \"CCC\": \"1.5\", \"D\": \"1.5\"},\n    \"other_mdb_authority\": \"docs/capital-rulebook.md section 4.1; CRE20.13 definition and CRE20.15 Table 5 rated branch. Requires the actual supranational party's source-evidenced capital_treatment with exposure_class=other_mdb, external_ratings_permitted=true and zero_weight_eligible=false. Neither treaty status nor a rating elects this treatment; CRE20.14 zero-weight eligibility is not granted.\",\n    \"credit_supervisory_factors\": {\"AAA\": \"0.0038\", \"AA\": \"0.0038\", \"A\": \"0.0042\", \"BBB\": \"0.0054\", \"BB\": \"0.0106\", \"B\": \"0.016\", \"CCC\": \"0.06\", \"D\": \"0.06\"},\n    \"financial_cva_risk_weights\": {\"AAA\": \"0.05\", \"AA\": \"0.05\", \"A\": \"0.05\", \"BBB\": \"0.05\", \"BB\": \"0.12\", \"B\": \"0.12\", \"CCC\": \"0.12\", \"D\": \"0.12\"},\n    \"financial_cva_authority\": \"docs/capital-rulebook.md MAR50.16 Table 1 financial-sector IG and HY/NR columns\",\n    \"borrower_risk_weights\": {\n      \"sovereign\": {\"AAA\": \"0\", \"AA\": \"0\", \"A\": \"0.2\", \"BBB\": \"0.5\", \"BB\": \"1\", \"B\": \"1\", \"CCC\": \"1.5\", \"D\": \"1.5\"},\n      \"corporate\": {\"AAA\": \"0.2\", \"AA\": \"0.2\", \"A\": \"0.5\", \"BBB\": \"0.75\", \"BB\": \"1\", \"B\": \"1.5\", \"CCC\": \"1.5\", \"D\": \"1.5\"},\n      \"bank\": {\"AAA\": \"0.2\", \"AA\": \"0.2\", \"A\": \"0.3\", \"BBB\": \"0.5\", \"BB\": \"1\", \"B\": \"1\", \"CCC\": \"1.5\", \"D\": \"1.5\"}\n    },\n    \"borrower_mapping_scope\": \"Named synthetic current-rating desk mapping by authenticated case party kind; no bank eligibility inferred from a rating label. Source unaltered whole_book baseline remains separately disclosed.\",\n    \"defaulted_unsecured_risk_weight\": \"1.5\",\n    \"unknown_rating\": \"ReferenceError\",\n    \"due_diligence_uplift\": \"source_input_required\",\n    \"equity_contribution\": \"contributed_equity_in_Tier1_only_with_matching_capital_and_leverage_exposed_asset\",\n    \"cash_claims\": \"Matured_or_defaulted_legal_cash_claims_use_identified_ordinary_receivable_risk_weight_without_derivative_alpha_or_future_PFE; surviving_claims_are_not_erased_at_maturity\",\n    \"liability_netting\": \"none_except_source_authorised_current_CSA_recognition\"\n  },\n  \"prudent_valuation\": {\n    \"scope\": \"actual_recognised_fair_value_exposures_only\",\n    \"method\": \"incremental_core_model_risk_method_1\",\n    \"alpha\": \"0.5\",\n    \"confidence\": \"0.9\",\n    \"replacement_equity_years\": \"20\",\n    \"exposures\": [\n      {\n        \"id\": \"ACTUAL_PROVIDER_CLOSEOUT\",\n        \"account\": \"unpaid_receivable\",\n        \"obligation_kind\": \"default_claim\",\n        \"low_exit_cost_rate\": \"0.01\",\n        \"high_exit_cost_rate\": \"0.05\",\n        \"same_source_accounting_prudence_rate\": \"0\",\n        \"cet1_sensitivity\": \"1\",\n        \"source_evidence\": [{\"file\": \"fixtures/desk-policy.json\", \"locator\": \"/prudent_valuation/exposures/0\"}]\n      },\n      {\n        \"id\": \"ACTUAL_PURCHASED_PROTECTION_FV\",\n        \"account\": \"statutory_derivative_asset\",\n        \"contract_kind\": \"buy_protection\",\n        \"low_exit_cost_rate\": \"0.002\",\n        \"high_exit_cost_rate\": \"0.01\",\n        \"same_source_accounting_prudence_rate\": \"0\",\n        \"cet1_sensitivity\": \"1\",\n        \"source_evidence\": [{\"file\": \"fixtures/desk-policy.json\", \"locator\": \"/prudent_valuation/exposures/1\"}]\n      }\n    ],\n    \"exit_cost_quote_status\": \"Named fictional actual-exposure exit-cost bounds applied only to a recognized surviving balance of the matched kind. No source VA1/VA2 or management reserve is mapped into this registry.\",\n    \"accounting_prudence\": \"Only separately booked same_source_accounting_prudence_rate is deducted from AVA. Exit-cost quote bounds are not an extra financial loss or a second credit allowance.\",\n    \"no_matching_exposure\": \"zero_actual_AVA\",\n    \"new_exposure_without_uncertainty\": \"ReferenceError_when_prudent_valuation_is_claimed\",\n    \"management_reserves_in_scope\": false,\n    \"replacement_equity\": \"only_actual_identified_CET1_deduction\"\n  },\n  \"source_evidence\": [\n    {\"file\": \"fixtures/desk-policy.json\", \"locator\": \"/name\"},\n    {\"file\": \"docs/desk-runtime-contract.md\", \"locator\": \"## State and receipts\"}\n  ]\n}\n"
    },
    {
      "name": "schemas/daily-report.schema.json",
      "sha256": "08ba89e6b7d0709a080d2e4f32ee2eb7271b5b8cbdc9b875de8b9c5d7409211b",
      "text": "{\n  \"$schema\": \"https://json-schema.org/draft/2020-12/schema\",\n  \"$id\": \"urn:back-to-back-funding:daily-book.v2\",\n  \"title\": \"Settled parent-checkpoint financial and institutional assertions\",\n  \"description\": \"Five financial sections use exact current-source assertions. Legal, compliance, structure and recommendation sections use entailed premises, independent client outcomes and supported alternatives, never exact reference prose.\",\n  \"type\": \"object\",\n  \"additionalProperties\": false,\n  \"required\": [\n    \"schema_version\",\n    \"parent_state_hash\",\n    \"rates\",\n    \"credit_xva\",\n    \"capital\",\n    \"liquidity\",\n    \"accounting\",\n    \"legal\",\n    \"compliance\",\n    \"structure\",\n    \"recommendation\"\n  ],\n  \"properties\": {\n    \"schema_version\": {\n      \"const\": \"daily-book.v2\"\n    },\n    \"parent_state_hash\": {\n      \"type\": \"string\",\n      \"pattern\": \"^[0-9a-f]{64}$\"\n    },\n    \"rates\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"funding_notional\",\n        \"unsettled_stub\",\n        \"legal_funding_mark\",\n        \"quoted_funding_component\",\n        \"management_funding_gain\",\n        \"reference_return_adjustment\",\n        \"funding_remaining_years\",\n        \"deployment_remaining_years\",\n        \"last_reset_price\",\n        \"next_payment_delay\",\n        \"reference_price\",\n        \"replacement_spread\",\n        \"quote_annuity\",\n        \"quote_id\",\n        \"principal_source\",\n        \"trs_principal_received\",\n        \"deployment_coupon_spread\",\n        \"roles\",\n        \"evidence\"\n      ],\n      \"properties\": {\n        \"funding_notional\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"unsettled_stub\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"legal_funding_mark\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"quoted_funding_component\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"management_funding_gain\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"reference_return_adjustment\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"funding_remaining_years\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"deployment_remaining_years\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"last_reset_price\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"next_payment_delay\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"reference_price\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"replacement_spread\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"quote_annuity\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"quote_id\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"principal_source\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 256\n        },\n        \"trs_principal_received\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"deployment_coupon_spread\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"roles\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"funding_receiver\",\n            \"financing_payer\",\n            \"funding_provider\",\n            \"borrower\",\n            \"funding_reference_owner\",\n            \"accounting_unit\"\n          ],\n          \"properties\": {\n            \"funding_receiver\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"financing_payer\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"funding_provider\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"borrower\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"funding_reference_owner\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"accounting_unit\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            }\n          }\n        },\n        \"evidence\": {\n          \"type\": \"array\",\n          \"maxItems\": 4096,\n          \"items\": {\n            \"$ref\": \"#/$defs/citation\"\n          }\n        }\n      }\n    },\n    \"credit_xva\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"provider_cds\",\n        \"own_bond_spread\",\n        \"own_cds_spread\",\n        \"bond_cds_basis\",\n        \"CVA\",\n        \"KVA_component\",\n        \"UFVA\",\n        \"actual_unsecured_debt\",\n        \"annual_debt_funding_cost\",\n        \"reserve_borrowing\",\n        \"projection\",\n        \"protection\",\n        \"evidence\"\n      ],\n      \"properties\": {\n        \"provider_cds\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"own_bond_spread\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"own_cds_spread\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"bond_cds_basis\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"CVA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"KVA_component\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"UFVA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"actual_unsecured_debt\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"annual_debt_funding_cost\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"reserve_borrowing\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"projection\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"default_grid\",\n            \"capital_sampling\",\n            \"quarters\",\n            \"economic_tail_CVA\",\n            \"hedge_provider_CVA\",\n            \"debt_funding_PV\"\n          ],\n          \"properties\": {\n            \"default_grid\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"capital_sampling\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"quarters\": {\n              \"type\": \"integer\",\n              \"minimum\": 0,\n              \"maximum\": 9007199254740991\n            },\n            \"economic_tail_CVA\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"hedge_provider_CVA\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"debt_funding_PV\": {\n              \"$ref\": \"#/$defs/money\"\n            }\n          }\n        },\n        \"protection\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"contracts\",\n            \"notional\",\n            \"protected_exposure\",\n            \"uncovered_exposure\",\n            \"hedge_provider_EAD\",\n            \"hedge_provider_CVA\",\n            \"hedge_mark\",\n            \"premium_accrued\",\n            \"premium_paid\",\n            \"designated_notional\",\n            \"SNH\",\n            \"market_risk_K\",\n            \"remaining_years\",\n            \"unprotected_tail_years\"\n          ],\n          \"properties\": {\n            \"contracts\": {\n              \"type\": \"object\",\n              \"maxProperties\": 4096,\n              \"propertyNames\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"maxLength\": 256\n              },\n              \"additionalProperties\": {\n                \"$ref\": \"#/$defs/protection_contract\"\n              }\n            },\n            \"notional\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"protected_exposure\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"uncovered_exposure\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"hedge_provider_EAD\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"hedge_provider_CVA\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"hedge_mark\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"premium_accrued\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"premium_paid\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"designated_notional\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"SNH\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"market_risk_K\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"remaining_years\": {\n              \"$ref\": \"#/$defs/scalar\"\n            },\n            \"unprotected_tail_years\": {\n              \"$ref\": \"#/$defs/scalar\"\n            }\n          }\n        },\n        \"evidence\": {\n          \"type\": \"array\",\n          \"maxItems\": 4096,\n          \"items\": {\n            \"$ref\": \"#/$defs/citation\"\n          }\n        }\n      }\n    },\n    \"capital\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"SA_CCR\",\n        \"CCR_RWA\",\n        \"CCR_K\",\n        \"CVA_K\",\n        \"market_risk_K\",\n        \"RWA\",\n        \"leverage_exposure\",\n        \"risk_requirement\",\n        \"leverage_requirement\",\n        \"required_capital\",\n        \"Tier1_before_AVA\",\n        \"AVA\",\n        \"Tier1_after_AVA\",\n        \"capital_shortfall\",\n        \"capital_release_cash\",\n        \"executable_under_stated_capital\",\n        \"binding_constraint\",\n        \"deployment\",\n        \"asset_map\",\n        \"repo\",\n        \"evidence\"\n      ],\n      \"properties\": {\n        \"SA_CCR\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"RC\",\n            \"PFE\",\n            \"EAD\",\n            \"add_on\",\n            \"margin_collateral\",\n            \"margined\",\n            \"netting_sets\",\n            \"reference_rating\",\n            \"provider_rating\"\n          ],\n          \"properties\": {\n            \"RC\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"PFE\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"EAD\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"add_on\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"margin_collateral\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"margined\": {\n              \"type\": \"boolean\"\n            },\n            \"netting_sets\": {\n              \"type\": \"object\",\n              \"maxProperties\": 4096,\n              \"propertyNames\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"maxLength\": 256\n              },\n              \"additionalProperties\": {\n                \"$ref\": \"#/$defs/netting_set\"\n              }\n            },\n            \"reference_rating\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"provider_rating\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            }\n          }\n        },\n        \"CCR_RWA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"CCR_K\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"CVA_K\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"market_risk_K\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"RWA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"leverage_exposure\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"risk_requirement\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"leverage_requirement\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"required_capital\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"Tier1_before_AVA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"AVA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"Tier1_after_AVA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"capital_shortfall\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"capital_release_cash\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"executable_under_stated_capital\": {\n          \"type\": \"boolean\"\n        },\n        \"binding_constraint\": {\n          \"enum\": [\n            \"risk_based\",\n            \"leverage\"\n          ]\n        },\n        \"deployment\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"principal\",\n            \"accrued\",\n            \"collateral_market_value\",\n            \"recognised_mitigation\",\n            \"E_star\",\n            \"RWA\",\n            \"capital\",\n            \"collateral_remaining_years\",\n            \"haircut_10day\",\n            \"haircut_scaled\",\n            \"maturity_factor\",\n            \"collateral_lot_id\",\n            \"eligible\",\n            \"reason\"\n          ],\n          \"properties\": {\n            \"principal\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"accrued\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"collateral_market_value\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"recognised_mitigation\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"E_star\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"RWA\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"capital\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"collateral_remaining_years\": {\n              \"$ref\": \"#/$defs/scalar\"\n            },\n            \"haircut_10day\": {\n              \"$ref\": \"#/$defs/scalar\"\n            },\n            \"haircut_scaled\": {\n              \"$ref\": \"#/$defs/scalar\"\n            },\n            \"maturity_factor\": {\n              \"$ref\": \"#/$defs/scalar\"\n            },\n            \"collateral_lot_id\": {\n              \"type\": [\n                \"string\",\n                \"null\"\n              ],\n              \"minLength\": 1,\n              \"maxLength\": 256\n            },\n            \"eligible\": {\n              \"type\": \"boolean\"\n            },\n            \"reason\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            }\n          }\n        },\n        \"asset_map\": {\n          \"type\": \"object\",\n          \"maxProperties\": 4096,\n          \"propertyNames\": {\n            \"type\": \"string\",\n            \"minLength\": 1,\n            \"maxLength\": 256\n          },\n          \"additionalProperties\": {\n            \"$ref\": \"#/$defs/capital_asset\"\n          }\n        },\n        \"repo\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"contracts\",\n            \"principal\",\n            \"counterparty_RWA\",\n            \"capital\",\n            \"cash_interest_accrued\",\n            \"noncash_haircut_funding_cost\",\n            \"noncash_capital_cost\"\n          ],\n          \"properties\": {\n            \"contracts\": {\n              \"type\": \"object\",\n              \"maxProperties\": 4096,\n              \"propertyNames\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"maxLength\": 256\n              },\n              \"additionalProperties\": {\n                \"$ref\": \"#/$defs/repo_contract\"\n              }\n            },\n            \"principal\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"counterparty_RWA\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"capital\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"cash_interest_accrued\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"noncash_haircut_funding_cost\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"noncash_capital_cost\": {\n              \"$ref\": \"#/$defs/money\"\n            }\n          }\n        },\n        \"evidence\": {\n          \"type\": \"array\",\n          \"maxItems\": 4096,\n          \"items\": {\n            \"$ref\": \"#/$defs/citation\"\n          }\n        }\n      }\n    },\n    \"liquidity\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"cash\",\n        \"restricted_cash\",\n        \"restricted_collections\",\n        \"posted_vm\",\n        \"received_vm\",\n        \"facility_debt\",\n        \"facility_limit\",\n        \"facility_available\",\n        \"repo_debt\",\n        \"unpaid_receivable\",\n        \"unpaid_payable\",\n        \"due_payables\",\n        \"deadline_shortfall\",\n        \"market_open\",\n        \"transfer_blocks\",\n        \"inventory\",\n        \"obligations\",\n        \"allocation\",\n        \"accepted_action_count\",\n        \"evidence\"\n      ],\n      \"properties\": {\n        \"cash\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"restricted_cash\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"restricted_collections\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"posted_vm\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"received_vm\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"facility_debt\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"facility_limit\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"facility_available\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"repo_debt\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"unpaid_receivable\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"unpaid_payable\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"due_payables\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"deadline_shortfall\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"market_open\": {\n          \"type\": \"boolean\"\n        },\n        \"transfer_blocks\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\"custody_delivery\", \"cash_remittance\"],\n          \"properties\": {\n            \"custody_delivery\": {\"type\": \"boolean\"},\n            \"cash_remittance\": {\"type\": \"boolean\"}\n          }\n        },\n        \"inventory\": {\n          \"type\": \"object\",\n          \"maxProperties\": 4096,\n          \"propertyNames\": {\n            \"type\": \"string\",\n            \"minLength\": 1,\n            \"maxLength\": 256\n          },\n          \"additionalProperties\": {\n            \"$ref\": \"#/$defs/inventory_lot\"\n          }\n        },\n        \"obligations\": {\n          \"type\": \"object\",\n          \"maxProperties\": 4096,\n          \"propertyNames\": {\n            \"type\": \"string\",\n            \"minLength\": 1,\n            \"maxLength\": 256\n          },\n          \"additionalProperties\": {\n            \"$ref\": \"#/$defs/obligation\"\n          }\n        },\n        \"allocation\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"contributed_inventory_value\",\n            \"current_inventory_value\",\n            \"encumbered_inventory_value\",\n            \"available_inventory_value\",\n            \"repo_proceeds\",\n            \"cash_action_fees\",\n            \"noncash_haircut_funding_cost\",\n            \"noncash_capital_cost\"\n          ],\n          \"properties\": {\n            \"contributed_inventory_value\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"current_inventory_value\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"encumbered_inventory_value\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"available_inventory_value\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"repo_proceeds\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"cash_action_fees\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"noncash_haircut_funding_cost\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"noncash_capital_cost\": {\n              \"$ref\": \"#/$defs/money\"\n            }\n          }\n        },\n        \"accepted_action_count\": {\n          \"type\": \"integer\",\n          \"minimum\": 0,\n          \"maximum\": 9007199254740991\n        },\n        \"evidence\": {\n          \"type\": \"array\",\n          \"maxItems\": 4096,\n          \"items\": {\n            \"$ref\": \"#/$defs/citation\"\n          }\n        }\n      }\n    },\n    \"accounting\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"statutory\",\n        \"management\",\n        \"bridge\",\n        \"attribution\",\n        \"terminal\",\n        \"evidence\"\n      ],\n      \"properties\": {\n        \"statutory\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"accounting_unit\",\n            \"assets\",\n            \"liabilities\",\n            \"allowances\",\n            \"contributed_equity\",\n            \"equity\",\n            \"cumulative_pnl\",\n            \"trial_balance\",\n            \"funding_derivative_asset\",\n            \"owner_contribution_pnl\",\n            \"balances\",\n            \"booked_balances\",\n            \"valuation_postings\"\n          ],\n          \"properties\": {\n            \"accounting_unit\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"assets\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"liabilities\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"allowances\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"contributed_equity\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"equity\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"cumulative_pnl\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"trial_balance\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"funding_derivative_asset\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"owner_contribution_pnl\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"balances\": {\n              \"type\": \"object\",\n              \"maxProperties\": 4096,\n              \"propertyNames\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"maxLength\": 256\n              },\n              \"additionalProperties\": {\n                \"$ref\": \"#/$defs/money\"\n              }\n            },\n            \"booked_balances\": {\n              \"type\": \"object\",\n              \"maxProperties\": 4096,\n              \"propertyNames\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"maxLength\": 256\n              },\n              \"additionalProperties\": {\n                \"$ref\": \"#/$defs/money\"\n              }\n            },\n            \"valuation_postings\": {\n              \"type\": \"object\",\n              \"maxProperties\": 4096,\n              \"propertyNames\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"maxLength\": 256\n              },\n              \"additionalProperties\": {\n                \"$ref\": \"#/$defs/money\"\n              }\n            }\n          }\n        },\n        \"management\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"funding_mark\",\n            \"hedge_asset\",\n            \"gross_inception_gain\",\n            \"deferred_gain\",\n            \"CVA_reserve\",\n            \"KVA_reserve\",\n            \"overlay_equity\",\n            \"equity\",\n            \"cumulative_pnl\",\n            \"trial_balance\",\n            \"balances\",\n            \"valuation_postings\",\n            \"observable_at_inception\",\n            \"currently_observable\",\n            \"deferral_released_by_evidence\"\n          ],\n          \"properties\": {\n            \"funding_mark\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"hedge_asset\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"gross_inception_gain\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"deferred_gain\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"CVA_reserve\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"KVA_reserve\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"overlay_equity\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"equity\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"cumulative_pnl\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"trial_balance\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"balances\": {\n              \"type\": \"object\",\n              \"maxProperties\": 4096,\n              \"propertyNames\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"maxLength\": 256\n              },\n              \"additionalProperties\": {\n                \"$ref\": \"#/$defs/money\"\n              }\n            },\n            \"valuation_postings\": {\n              \"type\": \"object\",\n              \"maxProperties\": 4096,\n              \"propertyNames\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"maxLength\": 256\n              },\n              \"additionalProperties\": {\n                \"$ref\": \"#/$defs/money\"\n              }\n            },\n            \"observable_at_inception\": {\n              \"type\": \"boolean\"\n            },\n            \"currently_observable\": {\n              \"type\": \"boolean\"\n            },\n            \"deferral_released_by_evidence\": {\n              \"type\": \"boolean\"\n            }\n          }\n        },\n        \"bridge\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"management_equity\",\n            \"remove_funding_mark\",\n            \"remove_hedge_asset\",\n            \"restore_gross_deferral\",\n            \"restore_management_xva\",\n            \"statutory_equity\",\n            \"residual\"\n          ],\n          \"properties\": {\n            \"management_equity\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"remove_funding_mark\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"remove_hedge_asset\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"restore_gross_deferral\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"restore_management_xva\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"statutory_equity\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"residual\": {\n              \"$ref\": \"#/$defs/money\"\n            }\n          }\n        },\n        \"attribution\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"opening_as_of\",\n            \"closing_as_of\",\n            \"carry\",\n            \"statutory_mark\",\n            \"funding_theta\",\n            \"funding_mtm\",\n            \"funding_action\",\n            \"deferral_theta\",\n            \"deferral_observability\",\n            \"reserve_theta\",\n            \"reserve_mtm\",\n            \"reserve_action\",\n            \"hedge_mark\",\n            \"hedge_cash\",\n            \"hedge_accrual\",\n            \"cash_funding_drag\",\n            \"operating_cost\",\n            \"claim_loss\",\n            \"owner_contributions\",\n            \"statutory_equity_change\",\n            \"overlay_equity_change\",\n            \"management_equity_change\",\n            \"pnl_total\",\n            \"statutory_journal_pnl\",\n            \"overlay_journal_pnl\",\n            \"tie_difference\"\n          ],\n          \"properties\": {\n            \"opening_as_of\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"closing_as_of\": {\n              \"type\": \"string\",\n              \"minLength\": 1,\n              \"maxLength\": 4096\n            },\n            \"carry\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"statutory_mark\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"funding_theta\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"funding_mtm\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"funding_action\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"deferral_theta\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"deferral_observability\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"reserve_theta\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"reserve_mtm\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"reserve_action\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"hedge_mark\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"hedge_cash\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"hedge_accrual\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"cash_funding_drag\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"operating_cost\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"claim_loss\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"owner_contributions\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"statutory_equity_change\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"overlay_equity_change\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"management_equity_change\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"pnl_total\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"statutory_journal_pnl\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"overlay_journal_pnl\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"tie_difference\": {\n              \"$ref\": \"#/$defs/money\"\n            }\n          }\n        },\n        \"terminal\": {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"scheduled_funding_maturity\",\n            \"scheduled_deployment_maturity\",\n            \"open_obligations\",\n            \"unpaid_receivables\",\n            \"unpaid_payables\",\n            \"return_liabilities\",\n            \"claim_allowance\",\n            \"AVA\",\n            \"replacement_equity\",\n            \"replacement_equity_KVA\",\n            \"AVA_exposures\",\n            \"all_obligations_settled\"\n          ],\n          \"properties\": {\n            \"scheduled_funding_maturity\": {\n              \"type\": \"boolean\"\n            },\n            \"scheduled_deployment_maturity\": {\n              \"type\": \"boolean\"\n            },\n            \"open_obligations\": {\n              \"type\": \"object\",\n              \"maxProperties\": 4096,\n              \"propertyNames\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"maxLength\": 256\n              },\n              \"additionalProperties\": {\n                \"$ref\": \"#/$defs/terminal_obligation\"\n              }\n            },\n            \"unpaid_receivables\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"unpaid_payables\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"return_liabilities\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"claim_allowance\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"AVA\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"replacement_equity\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"replacement_equity_KVA\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"AVA_exposures\": {\n              \"type\": \"array\",\n              \"maxItems\": 4096,\n              \"items\": {\n                \"$ref\": \"#/$defs/ava_exposure\"\n              }\n            },\n            \"all_obligations_settled\": {\n              \"type\": \"boolean\"\n            }\n          }\n        },\n        \"evidence\": {\n          \"type\": \"array\",\n          \"maxItems\": 4096,\n          \"items\": {\n            \"$ref\": \"#/$defs/citation\"\n          }\n        }\n      }\n    },\n    \"legal\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"findings\"\n      ],\n      \"properties\": {\n        \"findings\": {\n          \"type\": \"array\",\n          \"minItems\": 1,\n          \"items\": {\n            \"type\": \"object\",\n            \"additionalProperties\": false,\n            \"required\": [\n              \"subject_id\",\n              \"status\",\n              \"premises\",\n              \"rationale\"\n            ],\n            \"properties\": {\n              \"subject_id\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"pattern\": \"\\\\S\"\n              },\n              \"status\": {\n                \"enum\": [\n                  \"permitted\",\n                  \"conditional\",\n                  \"blocked\"\n                ]\n              },\n              \"premises\": {\n                \"type\": \"array\",\n                \"minItems\": 1,\n                \"items\": {\n                  \"type\": \"object\",\n                  \"additionalProperties\": false,\n                  \"required\": [\n                    \"source\",\n                    \"pointer\",\n                    \"relation\",\n                    \"value\"\n                  ],\n                  \"properties\": {\n                    \"source\": {\n                      \"enum\": [\n                        \"case\",\n                        \"state\",\n                        \"book\",\n                        \"report\"\n                      ]\n                    },\n                    \"pointer\": {\n                      \"type\": \"string\",\n                      \"pattern\": \"^(?:/(?:[^~/]|~[01])*)*(?![\\\\s\\\\S])\"\n                    },\n                    \"relation\": {\n                      \"enum\": [\n                        \"eq\",\n                        \"ne\",\n                        \"gte\",\n                        \"lte\",\n                        \"contains\"\n                      ]\n                    },\n                    \"value\": {\n                      \"anyOf\": [\n                        {\n                          \"type\": [\n                            \"string\",\n                            \"integer\",\n                            \"boolean\",\n                            \"null\"\n                          ]\n                        },\n                        {\n                          \"type\": \"array\",\n                          \"items\": {\n                            \"type\": [\n                              \"string\",\n                              \"integer\",\n                              \"boolean\",\n                              \"null\"\n                            ]\n                          }\n                        }\n                      ]\n                    }\n                  }\n                }\n              },\n              \"rationale\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"pattern\": \"\\\\S\"\n              }\n            }\n          }\n        }\n      }\n    },\n    \"compliance\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"decisions\"\n      ],\n      \"properties\": {\n        \"decisions\": {\n          \"type\": \"array\",\n          \"minItems\": 1,\n          \"items\": {\n            \"type\": \"object\",\n            \"additionalProperties\": false,\n            \"required\": [\n              \"rule_id\",\n              \"decision\",\n              \"premises\",\n              \"rationale\"\n            ],\n            \"properties\": {\n              \"rule_id\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"pattern\": \"\\\\S\"\n              },\n              \"decision\": {\n                \"enum\": [\n                  \"execute\",\n                  \"escalate\",\n                  \"decline\",\n                  \"await_approval\"\n                ]\n              },\n              \"premises\": {\n                \"type\": \"array\",\n                \"minItems\": 1,\n                \"items\": {\n                  \"type\": \"object\",\n                  \"additionalProperties\": false,\n                  \"required\": [\n                    \"source\",\n                    \"pointer\",\n                    \"relation\",\n                    \"value\"\n                  ],\n                  \"properties\": {\n                    \"source\": {\n                      \"enum\": [\n                        \"case\",\n                        \"state\",\n                        \"book\",\n                        \"report\"\n                      ]\n                    },\n                    \"pointer\": {\n                      \"type\": \"string\",\n                      \"pattern\": \"^(?:/(?:[^~/]|~[01])*)*(?![\\\\s\\\\S])\"\n                    },\n                    \"relation\": {\n                      \"enum\": [\n                        \"eq\",\n                        \"ne\",\n                        \"gte\",\n                        \"lte\",\n                        \"contains\"\n                      ]\n                    },\n                    \"value\": {\n                      \"anyOf\": [\n                        {\n                          \"type\": [\n                            \"string\",\n                            \"integer\",\n                            \"boolean\",\n                            \"null\"\n                          ]\n                        },\n                        {\n                          \"type\": \"array\",\n                          \"items\": {\n                            \"type\": [\n                              \"string\",\n                              \"integer\",\n                              \"boolean\",\n                              \"null\"\n                            ]\n                          }\n                        }\n                      ]\n                    }\n                  }\n                }\n              },\n              \"rationale\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"pattern\": \"\\\\S\"\n              }\n            }\n          }\n        }\n      }\n    },\n    \"structure\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"party_id\",\n        \"legal_form\",\n        \"client_executable\",\n        \"classification\",\n        \"cash_required\",\n        \"cash_delivered\",\n        \"deadline_met\",\n        \"bank_viable\",\n        \"premises\",\n        \"rationale\"\n      ],\n      \"properties\": {\n        \"party_id\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"pattern\": \"\\\\S\"\n        },\n        \"legal_form\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"pattern\": \"\\\\S\"\n        },\n        \"client_executable\": {\n          \"type\": \"boolean\"\n        },\n        \"classification\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"pattern\": \"\\\\S\"\n        },\n        \"cash_required\": {\n          \"type\": \"string\",\n          \"pattern\": \"^-?(?:0|[1-9][0-9]*)(?:\\\\.[0-9]+)?(?![\\\\s\\\\S])\",\n          \"x-exact-decimal\": true,\n          \"x-dimension\": \"money\"\n        },\n        \"cash_delivered\": {\n          \"type\": \"string\",\n          \"pattern\": \"^-?(?:0|[1-9][0-9]*)(?:\\\\.[0-9]+)?(?![\\\\s\\\\S])\",\n          \"x-exact-decimal\": true,\n          \"x-dimension\": \"money\"\n        },\n        \"deadline_met\": {\n          \"type\": \"boolean\"\n        },\n        \"bank_viable\": {\n          \"type\": \"boolean\"\n        },\n        \"premises\": {\n          \"type\": \"array\",\n          \"minItems\": 1,\n          \"items\": {\n            \"type\": \"object\",\n            \"additionalProperties\": false,\n            \"required\": [\n              \"source\",\n              \"pointer\",\n              \"relation\",\n              \"value\"\n            ],\n            \"properties\": {\n              \"source\": {\n                \"enum\": [\n                  \"case\",\n                  \"state\",\n                  \"book\",\n                  \"report\"\n                ]\n              },\n              \"pointer\": {\n                \"type\": \"string\",\n                \"pattern\": \"^(?:/(?:[^~/]|~[01])*)*(?![\\\\s\\\\S])\"\n              },\n              \"relation\": {\n                \"enum\": [\n                  \"eq\",\n                  \"ne\",\n                  \"gte\",\n                  \"lte\",\n                  \"contains\"\n                ]\n              },\n              \"value\": {\n                \"anyOf\": [\n                  {\n                    \"type\": [\n                      \"string\",\n                      \"integer\",\n                      \"boolean\",\n                      \"null\"\n                    ]\n                  },\n                  {\n                    \"type\": \"array\",\n                    \"items\": {\n                      \"type\": [\n                        \"string\",\n                        \"integer\",\n                        \"boolean\",\n                        \"null\"\n                      ]\n                    }\n                  }\n                ]\n              }\n            }\n          }\n        },\n        \"rationale\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"pattern\": \"\\\\S\"\n        }\n      }\n    },\n    \"recommendation\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"action_kind\",\n        \"subject_id\",\n        \"binding_constraint\",\n        \"position_id\",\n        \"premises\",\n        \"alternatives\",\n        \"rationale\"\n      ],\n      \"properties\": {\n        \"action_kind\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"pattern\": \"\\\\S\"\n        },\n        \"subject_id\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"pattern\": \"\\\\S\"\n        },\n        \"binding_constraint\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"pattern\": \"\\\\S\"\n        },\n        \"position_id\": {\n          \"type\": [\n            \"string\",\n            \"null\"\n          ],\n          \"minLength\": 1\n        },\n        \"premises\": {\n          \"type\": \"array\",\n          \"minItems\": 1,\n          \"items\": {\n            \"type\": \"object\",\n            \"additionalProperties\": false,\n            \"required\": [\n              \"source\",\n              \"pointer\",\n              \"relation\",\n              \"value\"\n            ],\n            \"properties\": {\n              \"source\": {\n                \"enum\": [\n                  \"case\",\n                  \"state\",\n                  \"book\",\n                  \"report\"\n                ]\n              },\n              \"pointer\": {\n                \"type\": \"string\",\n                \"pattern\": \"^(?:/(?:[^~/]|~[01])*)*(?![\\\\s\\\\S])\"\n              },\n              \"relation\": {\n                \"enum\": [\n                  \"eq\",\n                  \"ne\",\n                  \"gte\",\n                  \"lte\",\n                  \"contains\"\n                ]\n              },\n              \"value\": {\n                \"anyOf\": [\n                  {\n                    \"type\": [\n                      \"string\",\n                      \"integer\",\n                      \"boolean\",\n                      \"null\"\n                    ]\n                  },\n                  {\n                    \"type\": \"array\",\n                    \"items\": {\n                      \"type\": [\n                        \"string\",\n                        \"integer\",\n                        \"boolean\",\n                        \"null\"\n                      ]\n                    }\n                  }\n                ]\n              }\n            }\n          }\n        },\n        \"alternatives\": {\n          \"type\": \"array\",\n          \"minItems\": 1,\n          \"items\": {\n            \"type\": \"object\",\n            \"additionalProperties\": false,\n            \"required\": [\n              \"action_kind\",\n              \"subject_id\",\n              \"reason\",\n              \"premises\"\n            ],\n            \"properties\": {\n              \"action_kind\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"pattern\": \"\\\\S\"\n              },\n              \"subject_id\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"pattern\": \"\\\\S\"\n              },\n              \"reason\": {\n                \"type\": \"string\",\n                \"minLength\": 1,\n                \"pattern\": \"\\\\S\"\n              },\n              \"premises\": {\n                \"type\": \"array\",\n                \"minItems\": 1,\n                \"items\": {\n                  \"type\": \"object\",\n                  \"additionalProperties\": false,\n                  \"required\": [\n                    \"source\",\n                    \"pointer\",\n                    \"relation\",\n                    \"value\"\n                  ],\n                  \"properties\": {\n                    \"source\": {\n                      \"enum\": [\n                        \"case\",\n                        \"state\",\n                        \"book\",\n                        \"report\"\n                      ]\n                    },\n                    \"pointer\": {\n                      \"type\": \"string\",\n                      \"pattern\": \"^(?:/(?:[^~/]|~[01])*)*(?![\\\\s\\\\S])\"\n                    },\n                    \"relation\": {\n                      \"enum\": [\n                        \"eq\",\n                        \"ne\",\n                        \"gte\",\n                        \"lte\",\n                        \"contains\"\n                      ]\n                    },\n                    \"value\": {\n                      \"anyOf\": [\n                        {\n                          \"type\": [\n                            \"string\",\n                            \"integer\",\n                            \"boolean\",\n                            \"null\"\n                          ]\n                        },\n                        {\n                          \"type\": \"array\",\n                          \"items\": {\n                            \"type\": [\n                              \"string\",\n                              \"integer\",\n                              \"boolean\",\n                              \"null\"\n                            ]\n                          }\n                        }\n                      ]\n                    }\n                  }\n                }\n              }\n            }\n          }\n        },\n        \"rationale\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"pattern\": \"\\\\S\"\n        }\n      }\n    }\n  },\n  \"$defs\": {\n    \"money\": {\n      \"type\": \"string\",\n      \"maxLength\": 82,\n      \"pattern\": \"^(?!-0(?:\\\\.0+)?$)-?(?:0|[1-9][0-9]*)(?:\\\\.[0-9]{1,40})?$\",\n      \"x-exact-decimal\": true,\n      \"x-dimension\": \"money\"\n    },\n    \"scalar\": {\n      \"type\": \"string\",\n      \"maxLength\": 82,\n      \"pattern\": \"^(?!-0(?:\\\\.0+)?$)-?(?:0|[1-9][0-9]*)(?:\\\\.[0-9]{1,40})?$\",\n      \"x-exact-decimal\": true,\n      \"x-dimension\": \"scalar\"\n    },\n    \"citation\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"exhibit_id\",\n        \"locator\",\n        \"claim\"\n      ],\n      \"properties\": {\n        \"exhibit_id\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"locator\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"claim\": {\n          \"enum\": [\n            \"DAILY_FUNDING\",\n            \"DAILY_CREDIT\",\n            \"DAILY_CAPITAL\",\n            \"DAILY_PROTECTION\",\n            \"DAILY_ALLOCATION\",\n            \"DAILY_LIQUIDITY\",\n            \"DAILY_RECOGNITION\",\n            \"DAILY_ATTRIBUTION\"\n          ]\n        }\n      }\n    },\n    \"protection_contract\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"notional\",\n        \"protected_exposure\",\n        \"hedge_provider_EAD\",\n        \"hedge_provider_collateral\",\n        \"hedge_mark\",\n        \"premium_accrued\",\n        \"premium_paid\",\n        \"remaining_years\",\n        \"maturity_factor\",\n        \"CCR_eligible\",\n        \"designated\",\n        \"expiry\"\n      ],\n      \"properties\": {\n        \"notional\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"protected_exposure\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"hedge_provider_EAD\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"hedge_provider_collateral\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"hedge_mark\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"premium_accrued\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"premium_paid\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"remaining_years\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"maturity_factor\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"CCR_eligible\": {\n          \"type\": \"boolean\"\n        },\n        \"designated\": {\n          \"type\": \"boolean\"\n        },\n        \"expiry\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        }\n      }\n    },\n    \"netting_set\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"RC\",\n        \"PFE\",\n        \"EAD\",\n        \"add_on\",\n        \"unmargined_cap\",\n        \"V\",\n        \"collateral\",\n        \"SCVA\",\n        \"MF\",\n        \"SD\",\n        \"multiplier\",\n        \"remaining\",\n        \"margined\",\n        \"contracts\"\n      ],\n      \"properties\": {\n        \"RC\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"PFE\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"EAD\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"add_on\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"unmargined_cap\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"V\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"collateral\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"SCVA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"MF\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"SD\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"multiplier\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"remaining\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"margined\": {\n          \"type\": \"boolean\"\n        },\n        \"contracts\": {\n          \"type\": \"array\",\n          \"maxItems\": 4096,\n          \"items\": {\n            \"type\": \"string\",\n            \"minLength\": 1,\n            \"maxLength\": 4096\n          }\n        }\n      }\n    },\n    \"inventory_lot\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"instrument_id\",\n        \"class\",\n        \"quantity\",\n        \"owner\",\n        \"location\",\n        \"issued\",\n        \"encumbrance\",\n        \"return_obligation\",\n        \"reuse_permitted\",\n        \"enforceability\",\n        \"unit_price\",\n        \"market_value\",\n        \"realizable_now\"\n      ],\n      \"properties\": {\n        \"instrument_id\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"class\": {\n          \"enum\": [\n            \"funding_reference\",\n            \"deployment_collateral\",\n            \"allocation_inventory\",\n            \"replacement\",\n            \"equivalent\",\n            \"payment_rights\"\n          ]\n        },\n        \"quantity\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"owner\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"location\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"issued\": {\n          \"type\": \"boolean\"\n        },\n        \"encumbrance\": {\n          \"type\": [\n            \"string\",\n            \"null\"\n          ],\n          \"minLength\": 1,\n          \"maxLength\": 256\n        },\n        \"return_obligation\": {\n          \"type\": [\n            \"string\",\n            \"null\"\n          ],\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"reuse_permitted\": {\n          \"type\": \"boolean\"\n        },\n        \"enforceability\": {\n          \"enum\": [\n            \"effective\",\n            \"conditional\",\n            \"denied\"\n          ]\n        },\n        \"unit_price\": {\n          \"anyOf\": [\n            {\n              \"$ref\": \"#/$defs/scalar\"\n            },\n            {\n              \"type\": \"null\"\n            }\n          ]\n        },\n        \"market_value\": {\n          \"anyOf\": [\n            {\n              \"$ref\": \"#/$defs/money\"\n            },\n            {\n              \"type\": \"null\"\n            }\n          ]\n        },\n        \"realizable_now\": {\n          \"type\": \"boolean\"\n        }\n      }\n    },\n    \"repo_lot\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"lender_id\",\n        \"principal\",\n        \"market_value\",\n        \"counterparty_exposure\",\n        \"RWA\",\n        \"noncash_haircut_funding_cost\",\n        \"noncash_capital_cost\",\n        \"market_haircut\",\n        \"supervisory_haircut\"\n      ],\n      \"properties\": {\n        \"lender_id\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"principal\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"market_value\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"counterparty_exposure\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"RWA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"noncash_haircut_funding_cost\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"noncash_capital_cost\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"market_haircut\": {\n          \"$ref\": \"#/$defs/scalar\"\n        },\n        \"supervisory_haircut\": {\n          \"$ref\": \"#/$defs/scalar\"\n        }\n      }\n    },\n    \"repo_contract\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"principal\",\n        \"RWA\",\n        \"interest_accrued\",\n        \"maturity_date\",\n        \"lots\"\n      ],\n      \"properties\": {\n        \"principal\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"RWA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"interest_accrued\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"maturity_date\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"lots\": {\n          \"type\": \"object\",\n          \"maxProperties\": 4096,\n          \"propertyNames\": {\n            \"type\": \"string\",\n            \"minLength\": 1,\n            \"maxLength\": 256\n          },\n          \"additionalProperties\": {\n            \"$ref\": \"#/$defs/repo_lot\"\n          }\n        }\n      }\n    },\n    \"asset_detail\": {\n      \"oneOf\": [\n        {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"value\",\n            \"RWA\",\n            \"risk_weight\"\n          ],\n          \"properties\": {\n            \"value\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"RWA\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"risk_weight\": {\n              \"$ref\": \"#/$defs/scalar\"\n            }\n          }\n        },\n        {\n          \"type\": \"object\",\n          \"additionalProperties\": false,\n          \"required\": [\n            \"gross\",\n            \"allowance\",\n            \"RWA\",\n            \"risk_weight\",\n            \"included_in_derivative\"\n          ],\n          \"properties\": {\n            \"gross\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"allowance\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"RWA\": {\n              \"$ref\": \"#/$defs/money\"\n            },\n            \"risk_weight\": {\n              \"$ref\": \"#/$defs/scalar\"\n            },\n            \"included_in_derivative\": {\n              \"type\": \"boolean\"\n            }\n          }\n        }\n      ]\n    },\n    \"capital_asset\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"balance\",\n        \"exposure\",\n        \"RWA\",\n        \"leverage_exposure\",\n        \"basis\",\n        \"details\"\n      ],\n      \"properties\": {\n        \"balance\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"exposure\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"RWA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"leverage_exposure\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"basis\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"details\": {\n          \"type\": \"object\",\n          \"maxProperties\": 4096,\n          \"propertyNames\": {\n            \"type\": \"string\",\n            \"minLength\": 1,\n            \"maxLength\": 256\n          },\n          \"additionalProperties\": {\n            \"$ref\": \"#/$defs/asset_detail\"\n          }\n        }\n      }\n    },\n    \"obligation\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"kind\",\n        \"contract_id\",\n        \"side\",\n        \"remaining\",\n        \"due_day\",\n        \"status\"\n      ],\n      \"properties\": {\n        \"kind\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"contract_id\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"side\": {\n          \"enum\": [\n            \"payable\",\n            \"receivable\"\n          ]\n        },\n        \"remaining\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"due_day\": {\n          \"type\": \"integer\",\n          \"minimum\": -366000\n        },\n        \"status\": {\n          \"enum\": [\n            \"open\",\n            \"paid\",\n            \"written_off\",\n            \"disputed\"\n          ]\n        }\n      }\n    },\n    \"terminal_obligation\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"kind\",\n        \"side\",\n        \"remaining\",\n        \"status\"\n      ],\n      \"properties\": {\n        \"kind\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"side\": {\n          \"enum\": [\n            \"payable\",\n            \"receivable\"\n          ]\n        },\n        \"remaining\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"status\": {\n          \"enum\": [\n            \"open\",\n            \"paid\",\n            \"written_off\",\n            \"disputed\"\n          ]\n        }\n      }\n    },\n    \"ava_exposure\": {\n      \"type\": \"object\",\n      \"additionalProperties\": false,\n      \"required\": [\n        \"id\",\n        \"exposure_id\",\n        \"account\",\n        \"recognised_fair_value\",\n        \"low_exit_cost\",\n        \"high_exit_cost\",\n        \"expected_exit_cost_benchmark\",\n        \"q90_exit_cost\",\n        \"same_source_accounting_prudence\",\n        \"residual_uncertainty\",\n        \"AVA\",\n        \"cet1_sensitivity\"\n      ],\n      \"properties\": {\n        \"id\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"exposure_id\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"account\": {\n          \"type\": \"string\",\n          \"minLength\": 1,\n          \"maxLength\": 4096\n        },\n        \"recognised_fair_value\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"low_exit_cost\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"high_exit_cost\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"expected_exit_cost_benchmark\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"q90_exit_cost\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"same_source_accounting_prudence\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"residual_uncertainty\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"AVA\": {\n          \"$ref\": \"#/$defs/money\"\n        },\n        \"cet1_sensitivity\": {\n          \"$ref\": \"#/$defs/scalar\"\n        }\n      }\n    }\n  },\n  \"x-daily-owners\": {\n    \"O1\": {\n      \"weight\": 7,\n      \"panel\": \"DAILY_FUNDING\",\n      \"evidence_array\": \"/rates/evidence\",\n      \"fields\": [\n        \"/rates/funding_notional\",\n        \"/rates/unsettled_stub\",\n        \"/rates/legal_funding_mark\",\n        \"/rates/quoted_funding_component\",\n        \"/rates/management_funding_gain\",\n        \"/rates/reference_return_adjustment\",\n        \"/rates/funding_remaining_years\",\n        \"/rates/deployment_remaining_years\",\n        \"/rates/last_reset_price\",\n        \"/rates/next_payment_delay\",\n        \"/rates/reference_price\",\n        \"/rates/replacement_spread\",\n        \"/rates/quote_annuity\",\n        \"/rates/quote_id\",\n        \"/rates/principal_source\",\n        \"/rates/trs_principal_received\",\n        \"/rates/deployment_coupon_spread\",\n        \"/rates/roles\"\n      ]\n    },\n    \"O2\": {\n      \"weight\": 7,\n      \"panel\": \"DAILY_CREDIT\",\n      \"evidence_array\": \"/credit_xva/evidence\",\n      \"fields\": [\n        \"/credit_xva/provider_cds\",\n        \"/credit_xva/own_bond_spread\",\n        \"/credit_xva/own_cds_spread\",\n        \"/credit_xva/bond_cds_basis\",\n        \"/credit_xva/CVA\",\n        \"/credit_xva/KVA_component\",\n        \"/credit_xva/UFVA\",\n        \"/credit_xva/actual_unsecured_debt\",\n        \"/credit_xva/annual_debt_funding_cost\",\n        \"/credit_xva/reserve_borrowing\",\n        \"/credit_xva/projection\"\n      ]\n    },\n    \"O3\": {\n      \"weight\": 10,\n      \"panel\": \"DAILY_CAPITAL\",\n      \"evidence_array\": \"/capital/evidence\",\n      \"fields\": [\n        \"/capital/SA_CCR\",\n        \"/capital/CCR_RWA\",\n        \"/capital/CCR_K\",\n        \"/capital/CVA_K\",\n        \"/capital/market_risk_K\",\n        \"/capital/RWA\",\n        \"/capital/leverage_exposure\",\n        \"/capital/risk_requirement\",\n        \"/capital/leverage_requirement\",\n        \"/capital/required_capital\",\n        \"/capital/Tier1_before_AVA\",\n        \"/capital/AVA\",\n        \"/capital/Tier1_after_AVA\",\n        \"/capital/capital_shortfall\",\n        \"/capital/capital_release_cash\",\n        \"/capital/executable_under_stated_capital\",\n        \"/capital/binding_constraint\",\n        \"/capital/deployment\",\n        \"/capital/asset_map\"\n      ]\n    },\n    \"O4\": {\n      \"weight\": 7,\n      \"panel\": \"DAILY_PROTECTION\",\n      \"evidence_array\": \"/credit_xva/evidence\",\n      \"fields\": [\n        \"/credit_xva/protection\"\n      ]\n    },\n    \"O5\": {\n      \"weight\": 8,\n      \"panel\": \"DAILY_ALLOCATION\",\n      \"evidence_array\": \"/liquidity/evidence\",\n      \"fields\": [\n        \"/capital/repo\",\n        \"/liquidity/allocation\",\n        \"/liquidity/facility_limit\",\n        \"/liquidity/facility_available\"\n      ]\n    },\n    \"O6\": {\n      \"weight\": 7,\n      \"panel\": \"DAILY_LIQUIDITY\",\n      \"evidence_array\": \"/liquidity/evidence\",\n      \"fields\": [\n        \"/liquidity/cash\",\n        \"/liquidity/restricted_cash\",\n        \"/liquidity/restricted_collections\",\n        \"/liquidity/posted_vm\",\n        \"/liquidity/received_vm\",\n        \"/liquidity/facility_debt\",\n        \"/liquidity/repo_debt\",\n        \"/liquidity/unpaid_receivable\",\n        \"/liquidity/unpaid_payable\",\n        \"/liquidity/due_payables\",\n        \"/liquidity/deadline_shortfall\",\n        \"/liquidity/market_open\",\n        \"/liquidity/transfer_blocks\",\n        \"/liquidity/inventory\",\n        \"/liquidity/obligations\",\n        \"/liquidity/accepted_action_count\"\n      ]\n    },\n    \"O7\": {\n      \"weight\": 6,\n      \"panel\": \"DAILY_RECOGNITION\",\n      \"evidence_array\": \"/accounting/evidence\",\n      \"fields\": [\n        \"/accounting/statutory/accounting_unit\",\n        \"/accounting/statutory/funding_derivative_asset\",\n        \"/accounting/statutory/owner_contribution_pnl\",\n        \"/accounting/management/gross_inception_gain\",\n        \"/accounting/management/deferred_gain\",\n        \"/accounting/management/observable_at_inception\",\n        \"/accounting/management/currently_observable\",\n        \"/accounting/management/deferral_released_by_evidence\"\n      ]\n    },\n    \"O8\": {\n      \"weight\": 8,\n      \"panel\": \"DAILY_ATTRIBUTION\",\n      \"evidence_array\": \"/accounting/evidence\",\n      \"fields\": [\n        \"/accounting/statutory/assets\",\n        \"/accounting/statutory/liabilities\",\n        \"/accounting/statutory/allowances\",\n        \"/accounting/statutory/contributed_equity\",\n        \"/accounting/statutory/equity\",\n        \"/accounting/statutory/cumulative_pnl\",\n        \"/accounting/statutory/trial_balance\",\n        \"/accounting/statutory/balances\",\n        \"/accounting/statutory/booked_balances\",\n        \"/accounting/statutory/valuation_postings\",\n        \"/accounting/management/funding_mark\",\n        \"/accounting/management/hedge_asset\",\n        \"/accounting/management/CVA_reserve\",\n        \"/accounting/management/KVA_reserve\",\n        \"/accounting/management/overlay_equity\",\n        \"/accounting/management/equity\",\n        \"/accounting/management/cumulative_pnl\",\n        \"/accounting/management/trial_balance\",\n        \"/accounting/management/balances\",\n        \"/accounting/management/valuation_postings\",\n        \"/accounting/bridge\",\n        \"/accounting/attribution\",\n        \"/accounting/terminal\"\n      ]\n    },\n    \"O9\": {\n      \"weight\": 10,\n      \"section\": \"legal\",\n      \"fields\": [\n        \"/legal\"\n      ]\n    },\n    \"O10\": {\n      \"weight\": 10,\n      \"section\": \"compliance\",\n      \"fields\": [\n        \"/compliance\"\n      ]\n    },\n    \"O11\": {\n      \"weight\": 10,\n      \"section\": \"structure\",\n      \"fields\": [\n        \"/structure\"\n      ]\n    },\n    \"O12\": {\n      \"weight\": 10,\n      \"section\": \"recommendation\",\n      \"fields\": [\n        \"/recommendation\"\n      ]\n    }\n  },\n  \"x-resource-policy\": \"fixtures/desk-policy.json#/daily_report\",\n  \"x-evidence-contract\": \"Financial owners require exact current exhibit_id, locator and DAILY_* claim bindings. Institutional owners require source-entailing conclusion-specific premises and accept supported alternative positions. Reference defects are UNSCORABLE; wording is not graded. Client outcome credit requires an actually workable result, not merely an accurate report.\",\n  \"x-fatal-scope\": \"Legal roles/title, phantom cash, ineligible mitigation, fabricated facility capacity, duplicate funding statutory asset, omitted surviving claims and actual overdue obligations are independent qualification predicates, never arithmetic score multipliers.\"\n}\n"
    }
  ],
  "exact_book": {
    "accounting": {
      "attribution": {
        "carry": "33376419.767308484527",
        "cash_funding_drag": "18797129.89327568417",
        "claim_loss": "0",
        "closing_as_of": "2027-09-02",
        "deferral_observability": "-41581875.436912685824",
        "deferral_theta": "0",
        "funding_action": "41581875.436912685824",
        "funding_mtm": "0",
        "funding_theta": "0",
        "hedge_accrual": "0",
        "hedge_cash": "0",
        "hedge_mark": "0",
        "management_equity_change": "374455742.38934580729",
        "opening_as_of": "2027-06-05",
        "operating_cost": "990009",
        "overlay_equity_change": "-30187093.484686993067",
        "overlay_journal_pnl": "-30187093.484686993067",
        "owner_contributions": "391053555",
        "pnl_total": "-16597812.61065419271",
        "reserve_action": "-30187093.484686993067",
        "reserve_mtm": "0",
        "reserve_theta": "0",
        "scope": "Actual journal P&L. Reserve theta is old-market elapsed-time repricing; MTM changes only current market inputs; action is received legal, settlement and accepted-position change, never a residual accounting plug. Cash and debt principal are excluded.",
        "statutory_equity_change": "404642835.874032800357",
        "statutory_journal_pnl": "13589280.874032800357",
        "statutory_mark": "0",
        "tie_difference": "0"
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      "bridge": {
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        "remove_funding_mark": "-41581875.436912685824",
        "remove_hedge_asset": "0",
        "residual": "0",
        "restore_gross_deferral": "41581875.436912685824",
        "restore_management_xva": "30187093.484686993067",
        "statutory_equity": "404642835.874032800357"
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      "management": {
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        "KVA_reserve": "27417977.73172811628825345315094078939732",
        "balances": {
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          "management_hedge_asset": "0",
          "management_income_deferral": "41581875.436912685824",
          "management_income_hedge": "0",
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        "deferral_released_by_evidence": false,
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        "hedge_asset": "0",
        "observable_at_inception": false,
        "overlay_equity": "-30187093.484686993067",
        "scope": "Statutory actual book plus management funding opportunity, frozen deferral and standalone CCR/CVA reserves. Executed hedge and offset fair values are already statutory; no duplicate overlay asset.",
        "trial_balance": "0",
        "valuation_postings": {}
      },
      "statutory": {
        "accounting_unit": "retained_asset_financing_with_separate_executed_derivatives",
        "allowances": "0",
        "assets": "2403457965.767308484527",
        "balances": {
          "cash": "123832604.859317781832",
          "claim_allowance": "0",
          "contributed_equity": "-391053555",
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          "deployment_principal": "990009000",
          "expense_fees": "990009",
          "expense_funding": "18797129.89327568417",
          "expense_loss": "0",
          "facility_debt": "0",
          "income_carry": "-33376419.767308484527",
          "income_hedge": "0",
          "income_mark": "0",
          "inventory": "267302430",
          "legacy_debt": "-990009000",
          "posted_vm": "0",
          "received_vm": "0",
          "reinvestment_principal": "0",
          "repo_debt": "0",
          "restricted_cash": "0",
          "restricted_collections": "0",
          "retained_U": "990009000",
          "return_liability": "0",
          "sale_financing": "-990009000",
          "statutory_derivative_asset": "0",
          "statutory_derivative_liability": "0",
          "unpaid_payable": "-18797129.89327568417",
          "unpaid_receivable": "12867116.061819861391"
        },
        "booked_balances": {
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          "claim_allowance": "0",
          "contributed_equity": "-391053555",
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          "deployment_principal": "990009000",
          "expense_fees": "990009",
          "expense_funding": "18797129.89327568417",
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          "facility_debt": "0",
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          "inventory": "267302430",
          "legacy_debt": "-990009000",
          "posted_vm": "0",
          "received_vm": "0",
          "reinvestment_principal": "0",
          "repo_debt": "0",
          "restricted_cash": "0",
          "restricted_collections": "0",
          "retained_U": "990009000",
          "return_liability": "0",
          "sale_financing": "-990009000",
          "statutory_derivative_asset": "0",
          "statutory_derivative_liability": "0",
          "unpaid_payable": "-18797129.89327568417",
          "unpaid_receivable": "12867116.061819861391"
        },
        "contributed_equity": "391053555",
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        "equity": "404642835.874032800357",
        "funding_derivative_asset": "0",
        "liabilities": "1998815129.89327568417",
        "owner_contribution_pnl": "0",
        "trial_balance": "0",
        "valuation_postings": {}
      },
      "terminal": {
        "AVA": "0",
        "AVA_exposures": [],
        "all_obligations_settled": false,
        "claim_allowance": "0",
        "open_obligations": {},
        "replacement_equity": "0",
        "replacement_equity_KVA": "0",
        "return_liabilities": "0",
        "scheduled_deployment_maturity": false,
        "scheduled_funding_maturity": false,
        "unpaid_payables": "18797129.89327568417",
        "unpaid_receivables": "12867116.061819861391"
      }
    },
    "as_of": "2027-09-02",
    "capital": {
      "AVA": "0",
      "CCR_K": "3007787.608786617346478449836283676034307",
      "CCR_RWA": "37597345.10983271683098062295354595042884",
      "CVA_K": "36520383.23689744564772361578479928880734",
      "RWA": "1846484620.39819792253152582026353706052",
      "SA_CCR": {
        "EAD": "125324483.6994423894366020765118198347628",
        "PFE": "47224439.94983944273355281332338845829512",
        "RC": "42293048.40690512114973438418505428082114",
        "add_on": "47224439.94983944273355281332338845829512",
        "margin_collateral": "0",
        "margined": false,
        "netting_sets": {
          "FUND_TRS": {
            "EAD": "125324483.6994423894366020765118198347628",
            "MF": "1",
            "PFE": "47224439.94983944273355281332338845829512",
            "RC": "42293048.40690512114973438418505428082114",
            "SCVA": "56185204.97984222407342094736122967508821",
            "SD": "12.55290022345874546636306850251081138367",
            "V": "42293048.40690512114973438418505428082114",
            "add_on": "47224439.94983944273355281332338845829512",
            "collateral": "0",
            "contracts": [
              "FUND_TRS"
            ],
            "margined": false,
            "multiplier": "1",
            "remaining": "19.75815217391304347826086956521739130435",
            "unmargined_cap": "125324483.6994423894366020765118198347628"
          }
        },
        "provider_rating": "A",
        "reference_rating": "AAA"
      },
      "Tier1_after_AVA": "404642835.874032800357",
      "Tier1_before_AVA": "404642835.874032800357",
      "asset_map": {
        "cash": {
          "RWA": "0",
          "balance": "123832604.859317781832",
          "basis": "source_central_bank_OIS_cash",
          "details": {},
          "exposure": "123832604.859317781832",
          "leverage_exposure": "123832604.859317781832"
        },
        "claim_allowance": {
          "RWA": "0",
          "balance": "0",
          "basis": "specific_credit_allowance_reduces_only_identified_related_asset",
          "details": {},
          "exposure": "0",
          "leverage_exposure": "0"
        },
        "deployment_accrued": {
          "RWA": "19437814.846170841304",
          "balance": "19437814.846170841304",
          "basis": "borrower_accrued_receivable",
          "details": {},
          "exposure": "19437814.846170841304",
          "leverage_exposure": "19437814.846170841304"
        },
        "deployment_principal": {
          "RWA": "990009000",
          "balance": "990009000",
          "basis": "loan_after_current_CRM",
          "details": {},
          "exposure": "990009000",
          "leverage_exposure": "990009000"
        },
        "facility_debt": {
          "RWA": "0",
          "balance": "0",
          "basis": "liability_no_gross_asset_offset",
          "details": {},
          "exposure": "0",
          "leverage_exposure": "0"
        },
        "inventory": {
          "RWA": "144541314",
          "balance": "267302430",
          "basis": "actual_owned_lot_by_class",
          "details": {
            "L1": {
              "RWA": "23760216",
              "risk_weight": "0.2",
              "value": "118801080"
            },
            "L2": {
              "RWA": "21780198",
              "risk_weight": "0.2",
              "value": "108900990"
            },
            "S01": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S02": {
              "RWA": "1980018",
              "risk_weight": "2.5",
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            },
            "S03": {
              "RWA": "1980018",
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            "S04": {
              "RWA": "1980018",
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            },
            "S05": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S06": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S07": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S08": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S09": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S10": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S11": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S12": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S13": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S14": {
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            },
            "S15": {
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              "value": "792007.2"
            },
            "S16": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S17": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S18": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S19": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S20": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S21": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S22": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
            },
            "S23": {
              "RWA": "1980018",
              "risk_weight": "2.5",
              "value": "792007.2"
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          "exhibit_id": "docs/capital-rulebook.md",
          "locator": "## 6. Guarantees and CDS against P's default risk"
        },
        {
          "claim": "DAILY_PROTECTION",
          "exhibit_id": "docs/capital-rulebook.md",
          "locator": "## 7. Regulatory CVA capital"
        },
        {
          "claim": "DAILY_PROTECTION",
          "exhibit_id": "CURRENT_INPUTS.json",
          "locator": "/parameters/actions/CDS"
        }
      ],
      "DAILY_RECOGNITION": [
        {
          "claim": "DAILY_RECOGNITION",
          "exhibit_id": "docs/desk-runtime-contract.md",
          "locator": "## Valuation and accounting"
        },
        {
          "claim": "DAILY_RECOGNITION",
          "exhibit_id": "fixtures/desk-policy.json",
          "locator": "/"
        },
        {
          "claim": "DAILY_RECOGNITION",
          "exhibit_id": "docs/reserve-module.md",
          "locator": "## 3. The two management pots and the P&L identity"
        },
        {
          "claim": "DAILY_RECOGNITION",
          "exhibit_id": "FUND_TRS",
          "locator": "/"
        }
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            "locator": "actual-deployment-terms"
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          {
            "file": "worker/docs/desk-runtime-contract.md",
            "locator": "## Clock and settlement order"
          }
        ],
        "state": {
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          "scope": "actual_daily_book",
          "source_evidence": [
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              "locator": "actual-deployment-terms"
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            {
              "file": "worker/docs/desk-runtime-contract.md",
              "locator": "## Clock and settlement order"
            }
          ]
        }
      },
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          "2040-06-05",
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          "2040-12-05",
          "2041-03-05",
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          "2041-09-05",
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          "2042-03-05",
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          "2042-09-05",
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          "2044-09-05",
          "2044-12-05",
          "2045-03-05",
          "2045-06-05",
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          "2047-06-05"
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        "source_evidence": [
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            "locator": "actual-deployment-terms"
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          {
            "file": "worker/docs/desk-runtime-contract.md",
            "locator": "## Clock and settlement order"
          }
        ],
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        "source_evidence": [
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            "locator": "fictional-executed-agreements"
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            "executable": true,
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              "file": "docs/exhibit-fields.md",
              "locator": "fictional-quote-board"
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            "status": "Fictional binding quote convention for this educational instance, not an observed market quote"
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      },
      "LEGACY": {
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        "id": "LEGACY",
        "kind": "legacy",
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        "source_evidence": [
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            "locator": "fictional-ledgers"
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        ],
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      },
      "inventory:L1": {
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        "kind": "inventory_security",
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      "recorded_at": "2026-09-20T08:47:00.364828+00:00",
      "error": "llm call: openai request failed after 3 attempts: openai 429 Too Many Requests: At most four inference requests may be pending.",
      "cause": "Amplio local inference bridge rejected excess concurrency: MAX_PENDING=4, queue_full, HTTP429.",
      "scope": "Helper failure at this point in the trajectory; this is not a claim that the whole episode failed.",
      "recovery_note": "The helper subsequently resumed at 2026-09-20T08:44:45.216Z. This failure remains recorded.",
      "parent_status_at_observation": "ongoing",
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        "event": {
          "child_session_id": "bright-stork",
          "content": "llm call: openai request failed after 3 attempts: openai 429 Too Many Requests: At most four inference requests may be pending.",
          "type": "child_result",
          "verdict": "crashed"
        }
      },
      "source_observation_sha256": "1f206ba07010009804c878adbfcea16f6894d91ff8e3357d176297960aa6f993",
      "source_observation": ".scratch/funding-trader/paid-05/helper-crash-01.json",
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    },
    {
      "schema_version": "amplio-failure-checkpoint.v1",
      "id": "checkpoint-002-main-agent-failed",
      "status": "failed",
      "title": "FAILED \u2014 main agent at step 10; episode stopped",
      "run_id": "1zx0ecgn",
      "session_id": "main-agent",
      "step": 10,
      "occurred_at": "2026-09-20T08:44:57.302Z",
      "recorded_at": "2026-09-20T08:51:22.838520+00:00",
      "error": "llm call: openai request failed after 3 attempts: openai 429 Too Many Requests: At most four inference requests may be pending.",
      "scope": "Terminal episode failure before any candidate submission, accepted action or settled day.",
      "recovery_note": "The supervisor ended with ControllerLifecycleError. A pending upstream call was cancelled during cleanup and remains financially unresolved. The exported database contains offline recovery markers; these are not a resumed live run.",
      "source_event": {
        "session_id": "main-agent",
        "step": 10,
        "occurred_at": "2026-09-20T08:44:57.302Z",
        "event": {
          "content": "llm call: openai request failed after 3 attempts: openai 429 Too Many Requests: At most four inference requests may be pending.",
          "marker": "error",
          "type": "system"
        }
      },
      "controller_failure": {
        "error_type": "ControllerLifecycleError",
        "message": "Inference controller ended without a completed worker: ControllerError",
        "occurred_at": "2026-09-20T08:45:36.512457+00:00",
        "phase": "supervise",
        "status": "error",
        "traceback": "Traceback (most recent call last):\n  File \"/Users/eddy/dev/amplio/evals/structured-credit-trader/back-to-back-funding-book/tools/run_worker_smoke.py\", line 669, in run_smoke\n    result = supervise(FinancialGate(runtime, gate, supervisor), supervisor, [family_root],\n                       policy=POLICY, max_attempts=MAX_ATTEMPTS, worker_timeout=WORKER_TIMEOUT,\n                       exposure_manifest=exposure_manifest,\n                       backend=\"bedrock\", region=REGION)\n  File \"/Users/eddy/dev/amplio/evals/structured-credit-trader/back-to-back-funding-book/src/worker_boundary.py\", line 985, in supervise\n    worker = _run_worker(record_path, manifest, attempt[\"artifact_name\"], policy, worker_timeout,\n                         attempt_dir / \"worker.json\", api_key_env, backend=backend, region=region)\n  File \"/Users/eddy/dev/amplio/evals/structured-credit-trader/back-to-back-funding-book/src/worker_boundary.py\", line 834, in _run_worker\n    raise ControllerLifecycleError(\"Inference controller ended without a completed worker: \" + reason)\nworker_boundary.ControllerLifecycleError: Inference controller ended without a completed worker: ControllerError\n"
      },
      "accepted_actions": 0,
      "elapsed_days": 0,
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}