{ "schema_version": "desk-policy.v3", "name": "Settled synthetic desk conventions, 2026-09-19", "status": "Public fictional desk policies. These conventions supplement, and never replace, authenticated instrument terms, quotes, legal rights or cash receipts.", "source_documents": [ "docs/desk-runtime-contract.md", "docs/economic-specification.md", "docs/capital-actions.md", "docs/capital-rulebook.md", "docs/reference-input-contract.md", "schemas/daily-report.schema.json", "docs/reserve-module.md" ], "resource_limits": { "max_input_bytes": 1048576, "max_json_depth": 32, "max_json_nodes": 50000, "max_string_length": 16384, "max_actions_per_day": 64, "max_assignments": 512, "max_decimal_digits": 80, "max_decimal_places": 40, "max_packet_bytes": 33554432, "max_output_bytes": 1048576, "max_source_bytes": 16777216, "max_events": 4096, "max_contracts": 16384, "max_lots": 16384, "max_obligations": 262144, "max_pending": 16384, "max_decision_premises": 16, "max_rationale_chars": 2000, "max_premise_value_items": 32, "max_legal_decisions": 256, "max_legal_approvals": 256 }, "institutional": { "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.", "decision_actions": ["escalate", "decline"], "decision_record_ids": {"escalate": "decision: and approval:", "decline": "decision:"}, "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.", "approval_calendar": { "unit": "calendar_day", "requested_at": "the accepted escalation's as_of date", "effective_at": "requested_at plus the rule's approval_delay_days", "expires_at": "effective_at plus the rule's approval_valid_days", "valid_interval": "[effective_at, expires_at)" }, "approval_status_transitions": { "pending": ["approved", "declined", "expired"], "approved": ["consumed", "expired"], "declined": [], "consumed": [], "expired": [] }, "decisions_are_immutable": true, "used_by_is_set_only_when_consumed": true, "premises": { "sources": ["case", "state", "book", "report"], "pointer": "RFC 6901 JSON pointer into the named public source", "relations": ["eq", "ne", "gte", "lte", "contains"], "values": "strings, integers, booleans, null, or a flat bounded list of those; decimal amounts are cited as decimal strings, never floats" }, "other_routes_remain": "Decisions never replace settlement, quote, right, default or cash-based refusals; every other refusal route continues to apply unchanged." }, "daily_report": { "schema_version": "daily-book.v2", "numeric_tolerances": { "money": "0.000001", "scalar": "0.000000000001" }, "max_bytes": 1048576, "max_depth": 24, "max_nodes": 30000, "max_string_length": 4096, "max_collection_items": 4096 }, "calendar": { "business_day_convention": "following", "weekend_days": [5, 6], "holidays": [], "contract_quarter_months": 3, "contract_quarter_year_fraction": "0.25", "original_payment_dates": "unadjusted_calendar_anniversaries_preserving_inception_end_of_month", "new_payment_dates": "following_business_day_own_execution_anniversaries", "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.", "debt_day_count": "ACT/365F", "debt_year_days": "365", "cash_interest": "OIS_ACT365F_on_settled_opening_day_balance", "opening_quote_moves": { "funding_move": "0", "reference_move": "0", "em_move": "0" }, "receipt_clock": "calendar_day_offset_from_window_start", "prewindow_history": "Only explicit compiled opening_history settled_periods and source contractual schedule. No external event, trade, default, funding facility or reinvestment is inferred." }, "opening": { "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.", "restriction_effective": "funding_inception", "restricted_cash_location": "central_bank_OIS_account", "fee_cash_source": "unrestricted_cash", "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.", "funding_title": "P", "funding_retained_accounting": "retained_U", "automatic_reinvestment": false, "static_deficit_facility": "not_executed_in_actual_daily_book", "contractual_unpaid_cash": "create_identified_obligation_without_negative_cash_or_invented_borrowing" }, "execution": { "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.", "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.", "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." }, "rights": { "initial_transfer_blocks": {"custody_delivery": false, "cash_remittance": false}, "initial_market_open": true, "initial_defaults": { "borrower": false, "provider": false, "reference_issuer": false }, "issuance": "effective_only_for_source_issued_instruments", "delivery": "effective_for_existing_controlled_source_lots_only", "remittance": "denied_until_explicit_scoped_event", "substitution": "conditional_until_priced_custody_settlement", "restitution": "borrower_only_and_subject_to_outstanding_secured_obligations", "reuse": "source_permission_and_effective_enforcement_and_preserved_return_obligation", "funding_reference_disposal": "prohibited_for_desk_after_settled_sale", "identical_return_disposal": "prohibited", "equivalent_return_disposal": "only_explicit_reuse_permission_with_preserved_identified_return_liability" }, "repo": { "day_count": "ACT/365F", "fee": "0", "rate": "ois_plus_lender_spread", "maturity_days_source": "allocation.days", "cash_cost": "interest_and_explicit_fee_only", "allocation_objective": "haircut_funding_and_equity_hurdle_are_noncash_opportunity_costs", "principal_source": "actual_accepted_lender_advance", "return_requires": "principal_and_due_interest_paid", "reuse_of_pledged_lots": false }, "reinvestment": { "allowed_tenor_years": ["0.25", "0.5", "1", "2", "5", "10", "15"], "spread": "0", "fee": "0", "minimum_amount": "0.01", "day_count": "ACT/365F", "payment_frequency_months": 3, "principal_source": "received_unreinvested_deployment_maturity_principal", "instrument": "central_bank_OIS_deposit", "redemption": "principal_plus_due_accrued_interest" }, "inventory": { "unit_price": "1", "coupon_spread": "0", "price_rule": "disclosed_value_frozen_until_quote_or_credit_event", "contribution": "in_kind_equity", "allocation_reuse_permitted": true, "allocation_instrument_id": "source_lot_id", "allocation_quantity": "disclosed_source_value_in_one_USD_units", "IG_bond_coupon_convention": "OIS_flat_par_floater_with_zero_extra_spread", "coupon_day_count": "quarter_actual_fraction", "coupon_schedule": "funding_inception_three_month_anniversaries_preserving_inception_end_of_month_until_source_maturity", "clean_price_excludes_accrued_interest": true, "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", "coupon_record_date": "payment_date_current_beneficial_coupon_owner", "repo_coupon_rights": "Contributed_owned_inventory_retain_issuer_coupon_entitlement_under_repo;_lender_remits_distribution_without_second_income", "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.", "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.", "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.", "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.", "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.", "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.", "maturity": "Redeem_actual_owned_security_once_at_source_principal_plus_due_interest;_received_collateral_equivalent_return_duties_survive_as_identified_return_cash_or_claim", "main_index_equity_cash_distribution": "0", "equity_maturity_date": null, "allocation_maturity_basis": "source_residual_years_from_funding_inception", "missing_market_quote": "ReferenceError_except_explicit_frozen_source_inventory_quote" }, "prices": { "allocation": "source_value", "equivalent": "same_instrument_current_unit_price", "sale_bid_multiplier": "1", "buy_ask_multiplier": "1", "sale_fee": "0", "buy_fee": "0", "market_maker_id": "DESK_SECURITY_MARKET_MAKER", "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.", "execution": "same_day_delivery_versus_payment", "settlement_lag_business_days": 0, "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.", "funding_reference": "source_reference_price_remaining_financial_tenor", "deployment_security": "source_coupon_current_em_curve_remaining_financial_tenor", "independent_security": "source_coupon_independent_issuer_curve", "payment_rights": "no_traded_security_price", "unissued_promise": "no_inventory_no_price_no_liquidation" }, "csa": { "quote_scope": "Actual agreement only. The quoted standalone stress credit line is a separate static comparison and is not executed by execute_csa.", "cost_fields": ["fee", "annual_administration_fee"], "excluded_static_comparison_fields": ["facility_limit", "liquidity_buffer", "facility_upfront_fee", "annual_commitment_fee", "facility_commitment_rate", "facility_spread"], "VM_source": "actual_settled_cash_only", "VM_treatment": "deposit_asset_or_returnable_received_cash_not_income", "consolidated_netting_coverage": "funding_contract_only_without_explicit_joint_margin_coverage_opinion", "facility_capacity": "only_current_committed_branch_FACILITY" }, "substitution": { "custody_confirmation": "authenticated_source_quote_conditions_complete_at_quoted_effective_business_day_unless_current_legal_gate_blocks_delivery", "requires_existing_issued_replacement": true, "borrower_contributes_replacement": true, "cash_principal": "0", "yield_concession_starts": "actual_custody_settlement", "reversal_restores": "exact_saved_original_rights_not_invented_inventory", "encumbered_original": "reject_until_downstream_rights_and_return_obligations_discharged" }, "offset": { "fee": "0", "upfront": "cash_to_desk_equals_negative_current_quote_fair_value", "quoted_upfront_meaning": "fair_value_of_off_market_contract_to_desk_before_upfront_exchange", "coupon": "source_upfront_implied_spread_remaining_annuity", "day_count": "quarter_actual_fraction", "statutory_recognition": "separate_derivative_FV_in_statutory_derivative_asset_or_statutory_derivative_liability", "initial_pnl": "zero_before_explicit_fees" }, "protection": { "premium_clock": "own_effective_date_anniversaries", "expiry": "own_effective_date_plus_source_original_years", "premium_day_count": "quarter_actual_fraction", "administration_day_count": "ACT/365F", "statutory_recognition": "separate_derivative_FV_in_statutory_derivative_asset_or_statutory_derivative_liability", "default_cash": "identified_executed_contract_claim_only_after_authenticated_settlement", "new_trade_notional": "source_executable_quote_notional", "designation": "no_premium_history_rewrite" }, "defaults": { "same_issuer_collateral_recovery": "0", "same_issuer_scope": "only_already_issued_borrower_collateral_when_borrower_defaults", "independent_collateral": "does_not_inherit_borrower_default_zero", "borrower_unsecured_recovery": "0", "provider_recovery_source": "parameters.provider_recovery", "reference_issuer_recovery": "0.4", "recoveries_are_cash": false, "provider_closeout": "crystallise_full_current_legal_mark_once_into_identified_claim_or_payable_preserve_existing_unpaid_obligations_stop_future_TRS_payments", "provider_closeout_allowance": "positive_identified_claim_times_one_minus_source_provider_recovery", "reference_default_value": "source_notional_times_explicit_reference_issuer_recovery_is_claim_not_cash", "settlement": "recognized_claims_survive_until_authenticated_cash_or_evidenced_discharge", "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", "liquidation_trigger": "borrower_default_or_identified_due_unpaid_secured_loan_obligation", "liquidation_waterfall": ["due_loan_coupon", "outstanding_loan_principal", "borrower_surplus_return_liability"], "liquidation_surplus": "Actual_sale_cash_excess_is_borrower_property_matched_by_identified_return_liability_never_desk_income", "zero_liquidation": "No_cash_receipt_and_no_duplicate_loss_beyond_identified_credit_allowance", "facility_default_effect": "source_legal_availability_controls_undrawn_capacity_debt_survives", "automatic_deficit_draw": false, "terminal_static_claim": "controlled_report_only_no_runtime_claim_without_authentic_origin" }, "facility": { "fee": "0", "day_count": "ACT/365F", "year_days": "365", "maturity": "funding_maturity_date", "spread_rule": "source_lender_spread_plus_current_own_bond_minus_inception_own_bond", "rate_reset": "daily", "payment_frequency_months": 3, "child_servicing": "base_FACILITY_aggregates_all_debt_and_interest_children_are_lineage_only_repaid_FIFO", "child_repayment_order": ["execution_date", "id"], "availability": "source_unconditional_by_selected_cutoff_until_current_explicit_status_event_otherwise_conditional", "required_instruction": "accepted_worker_draw_or_authenticated_external_draw", "principal_and_interest_survive_suspension": true }, "collections": { "opening_recognition": "controlled_payment_rights_are_security_for_existing_loan_not_a_second_asset", "restricted_receipt": "restricted_collections_asset_and_identified_return_liability_no_equity", "ownership_when_enforcement_denied": "borrower", "ownership_otherwise": "assigned_claim", "remittance": "only_exact_batch_with_effective_scoped_permission", "loan_application": "discharge_identified_loan_receivable_and_matching_collection_return_obligation_once", "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", "restitution_or_correspondent_setoff": "consume_identified_batch_and_return_liability_without_desk_cash" }, "accounting": { "management_funding_mark": "source_internal_funding_opportunity_not_legal_exposure", "funding_derivative_recognition": "none_for_retained_U_failed_sale_unit", "deferral": "frozen_inception_pricing_annuity", "observable_release": "irreversible_on_authenticated_observable_significant_input_evidence", "hedge_and_offset_marks": "statutory_separate_contract_FV_with_management_overlay_explicit_bridge", "mark_accounts": {"asset": "statutory_derivative_asset", "liability": "statutory_derivative_liability"}, "no_balancing_plug": true, "journal_decimal_places": 12, "journal_rounding": "ROUND_HALF_EVEN", "rounding_stage": "Financial amounts are rounded before the same amount updates obligation, contract and journal. Journal never independently rounds postings or inserts a residual.", "cash_interest_credit": "income_carry", "debt_interest_debit": "expense_funding", "deposit_interest": "source_OIS_unless_contract_specifies_spread" }, "capital": { "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.", "accounts": { "cash": {"risk_weight": "0", "leverage_included": true, "basis": "source_central_bank_OIS_cash"}, "restricted_cash": {"risk_weight": "0", "leverage_included": true, "basis": "mandated_central_bank_OIS_cash"}, "restricted_collections": {"risk_weight": "0.2", "leverage_included": true, "basis": "named_synthetic_correspondent_exposure"}, "retained_U": {"risk_weight_source": "current_underlying_issuer_weight", "leverage_included": true, "basis": "retained_source_security_current_rating"}, "deployment_principal": {"risk_weight_source": "whole_book.deployment_rw", "leverage_included": true, "basis": "loan_after_current_CRM"}, "deployment_accrued": {"risk_weight_source": "whole_book.deployment_rw", "leverage_included": true, "basis": "borrower_accrued_receivable"}, "reinvestment_principal": {"risk_weight": "0", "leverage_included": true, "basis": "central_bank_OIS_deposit"}, "inventory": {"risk_weight_source": "capital.lot_classes", "leverage_included": true, "basis": "actual_owned_lot_by_class"}, "posted_vm": {"risk_weight_source": "regulatory.provider_rw", "leverage_included": true, "basis": "actual_returnable_deposit_no_assumed_netting"}, "unpaid_receivable": {"risk_weight_source": "capital.receivable_kinds", "leverage_included": true, "basis": "identified_claim_not_account_aggregate_shortcut"}, "statutory_derivative_asset": {"risk_weight": "0", "leverage_included": false, "basis": "same_actual_contract_counted_by_derivative_SA_CCR_and_derivative_leverage_once"}, "statutory_derivative_liability": {"risk_weight": "0", "leverage_included": false, "basis": "derivative_liability_no_unrelated_gross_asset_offset"}, "repo_debt": {"risk_weight": "0", "leverage_included": false, "basis": "liability_no_gross_asset_offset"}, "facility_debt": {"risk_weight": "0", "leverage_included": false, "basis": "liability_no_gross_asset_offset"}, "sale_financing": {"risk_weight": "0", "leverage_included": false, "basis": "liability_no_retained_U_offset"}, "legacy_debt": {"risk_weight": "0", "leverage_included": false, "basis": "liability_no_gross_asset_offset"}, "received_vm": {"risk_weight": "0", "leverage_included": false, "basis": "returnable_VM_qualified_netting_only"}, "return_liability": {"risk_weight": "0", "leverage_included": false, "basis": "recognised_return_obligation_does_not_erase_cash_or_inventory"}, "unpaid_payable": {"risk_weight": "0", "leverage_included": false, "basis": "liability_no_gross_asset_offset"}, "claim_allowance": {"risk_weight": "0", "leverage_included": false, "basis": "specific_credit_allowance_reduces_only_identified_related_asset"} }, "lot_classes": { "IG_bond": {"risk_weight": "0.2", "leverage_included": true}, "main_index_equity": {"risk_weight": "2.5", "leverage_included": true}, "funding_reference": {"risk_weight_source": "current_underlying_issuer_weight", "leverage_included": true}, "deployment_collateral": {"recognition": "CRM_only_no_duplicate_statutory_asset", "leverage_included": false}, "replacement": {"recognition": "CRM_only_until_own_cash_purchase", "leverage_included": false}, "equivalent": {"risk_weight_source": "current_underlying_issuer_weight", "leverage_included": true}, "payment_rights": {"recognition": "security_only_until_identified_receipt", "leverage_included": false} }, "receivable_kinds": { "funding_cash": {"risk_weight_source": "regulatory.provider_rw", "no_duplicate_current_derivative_EAD": true}, "loan_coupon": {"risk_weight_source": "whole_book.deployment_rw"}, "loan_principal": {"risk_weight_source": "whole_book.deployment_rw"}, "reinvestment_interest": {"risk_weight": "0"}, "reinvestment_principal": {"risk_weight": "0"}, "deposit_return": {"risk_weight_source": "regulatory.provider_rw"}, "protection_claim": {"risk_weight_source": "regulatory.protection_provider_rw"}, "default_claim": {"risk_weight_source": "identified_counterparty"}, "derivative_FV": {"risk_weight": "0", "basis": "SA_CCR_already_counts_separate_contract_exposure"}, "inventory_coupon": {"risk_weight_source": "identified_source_lot"}, "inventory_principal": {"risk_weight_source": "identified_source_lot"} }, "rating_buckets": { "AAA": "AAA", "AA+": "AA", "AA": "AA", "AA-": "AA", "A+": "A", "A": "A", "A-": "A", "BBB+": "BBB", "BBB": "BBB", "BBB-": "BBB", "BB+": "BB", "BB": "BB", "BB-": "BB", "B+": "B", "B": "B", "B-": "B", "CCC+": "CCC", "CCC": "CCC", "CCC-": "CCC", "CC": "CCC", "C": "CCC", "D": "D" }, "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"}, "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"}, "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.", "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"}, "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"}, "financial_cva_authority": "docs/capital-rulebook.md MAR50.16 Table 1 financial-sector IG and HY/NR columns", "borrower_risk_weights": { "sovereign": {"AAA": "0", "AA": "0", "A": "0.2", "BBB": "0.5", "BB": "1", "B": "1", "CCC": "1.5", "D": "1.5"}, "corporate": {"AAA": "0.2", "AA": "0.2", "A": "0.5", "BBB": "0.75", "BB": "1", "B": "1.5", "CCC": "1.5", "D": "1.5"}, "bank": {"AAA": "0.2", "AA": "0.2", "A": "0.3", "BBB": "0.5", "BB": "1", "B": "1", "CCC": "1.5", "D": "1.5"} }, "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.", "defaulted_unsecured_risk_weight": "1.5", "unknown_rating": "ReferenceError", "due_diligence_uplift": "source_input_required", "equity_contribution": "contributed_equity_in_Tier1_only_with_matching_capital_and_leverage_exposed_asset", "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", "liability_netting": "none_except_source_authorised_current_CSA_recognition" }, "prudent_valuation": { "scope": "actual_recognised_fair_value_exposures_only", "method": "incremental_core_model_risk_method_1", "alpha": "0.5", "confidence": "0.9", "replacement_equity_years": "20", "exposures": [ { "id": "ACTUAL_PROVIDER_CLOSEOUT", "account": "unpaid_receivable", "obligation_kind": "default_claim", "low_exit_cost_rate": "0.01", "high_exit_cost_rate": "0.05", "same_source_accounting_prudence_rate": "0", "cet1_sensitivity": "1", "source_evidence": [{"file": "fixtures/desk-policy.json", "locator": "/prudent_valuation/exposures/0"}] }, { "id": "ACTUAL_PURCHASED_PROTECTION_FV", "account": "statutory_derivative_asset", "contract_kind": "buy_protection", "low_exit_cost_rate": "0.002", "high_exit_cost_rate": "0.01", "same_source_accounting_prudence_rate": "0", "cet1_sensitivity": "1", "source_evidence": [{"file": "fixtures/desk-policy.json", "locator": "/prudent_valuation/exposures/1"}] } ], "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.", "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.", "no_matching_exposure": "zero_actual_AVA", "new_exposure_without_uncertainty": "ReferenceError_when_prudent_valuation_is_claimed", "management_reserves_in_scope": false, "replacement_equity": "only_actual_identified_CET1_deduction" }, "source_evidence": [ {"file": "fixtures/desk-policy.json", "locator": "/name"}, {"file": "docs/desk-runtime-contract.md", "locator": "## State and receipts"} ] }