{
  "actions": {
    "CDS": {
      "CCR_qualified": true,
      "CCR_scope": "CRE51.16(1) exception only for qualified cover",
      "CVA_designation_eligible": true,
      "CVA_scope": "MAR50 provider exposure calculated by regular SA-CCR for CVA method annex despite CCR purchased-protection exception",
      "annual_administration_fee": "24750.225",
      "baseline_executed": false,
      "covered_events": [
        "failure_to_pay",
        "bankruptcy",
        "restructuring"
      ],
      "default_correlation": "0",
      "direct_irrevocable_unconditional": true,
      "effective_business_days": "2",
      "executable": true,
      "fee": "247502.25",
      "guarantee_equivalent": true,
      "hedge_CVA_gap_spread_move": "0.0009900658",
      "hedge_economic_term": "Five-year fixed-notional cash-settled CDS on P; no automatic renewal and no protection after expiry",
      "hedge_provider_CDS": "0.0039603092",
      "hedge_provider_CSA": "Executed two-way cash VM, 20BD MPOR",
      "hedge_provider_CVA_method": "desk_annex_normal_saccr",
      "hedge_provider_mpor_days": "20",
      "hedge_provider_recovery": "0.4",
      "hedge_provider_short_term_exception": false,
      "margin_terms": {
        "NICA": "0",
        "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"
          }
        },
        "threshold": "0"
      },
      "notional": "316802880",
      "premium": "0.0084151402",
      "protection_provider_id": "H",
      "provider_independent": true,
      "quote_id": "SYN-CDS-FUND_01-S1",
      "quoted_at": "2027-06-05",
      "recognition_terms": {
        "cash_settlement_valuation_robust": true,
        "credit_event_determination_independent": true,
        "grace_period_covered": true,
        "legally_enforceable": true,
        "protection_provider_eligible": true,
        "reference_obligation_not_senior": true,
        "source_evidence": {
          "file": "docs/reference-input-contract.md",
          "locator": "protection-recognition-facts"
        },
        "underlying_contract_id": "FUND_TRS"
      },
      "reference_provider_id": "P",
      "replacement_quote": {
        "base_market_premium": "0.0084151402",
        "conversion": "cds_spread_difference_remaining_annuity",
        "executable": true,
        "id": "SYN-CDS-ROLL-FUND_01-S1",
        "locked_premium": "0.0084151402",
        "notional": "316802880",
        "protection_provider_id": "H",
        "quoted_at": "2027-06-05",
        "reference_provider_id": "P",
        "remaining_years": "4",
        "source_evidence": {
          "file": "docs/exhibit-fields.md",
          "locator": "fictional-quote-board"
        },
        "stressed_market_premium": "0.0168302804"
      },
      "same_currency": true,
      "same_obligor_cross_default": true,
      "source_evidence": {
        "file": "docs/exhibit-fields.md",
        "locator": "fictional-actions"
      },
      "tenor_starts": "execution",
      "timely_cash_settlement": true,
      "undesignated_market_risk_basis": "Synthetic separately allocated trading-book stress capital, not a derived MAR10-40 minimum; zero in designated branch only under eligible CVA purpose",
      "undesignated_market_risk_capital": "495004.5",
      "year1_quote_clock": "One year after CDS execution; actual remaining CDS term is four years",
      "years": "5"
    },
    "CSA": {
      "annual_administration_fee": "24750.225",
      "annual_commitment_fee": "49500.45",
      "baseline_executed": false,
      "cost_scope": "Deterministic stress price, not probability-weighted expected value",
      "effective_business_days": "2",
      "executable": true,
      "facility_commitment_rate": "0.0009900752",
      "facility_draw_ois": "0.0356420304",
      "facility_limit": "99000900",
      "facility_repayment_source": "Posted cash VM returned after stress interval; base book cash is not silently this separate snapshot buffer",
      "facility_spread": "0.0148506015",
      "facility_upfront_fee": "99000.9",
      "fee": "990009",
      "full_mark_coverage": true,
      "leverage_vm": {
        "cash_settled": true,
        "daily_exchange": true,
        "full_mark_exchange": true,
        "non_segregated": true,
        "same_currency": true,
        "single_enforceable_master": true,
        "source_evidence": {
          "file": "docs/reference-input-contract.md",
          "locator": "leverage-recognition-facts"
        }
      },
      "liquidity_buffer": "19800180",
      "margin_remuneration_spread": "0",
      "quote_id": "SYN-CSA-FUND_01-S1",
      "quoted_at": "2027-06-05",
      "rehypothecation_allowed": true,
      "requires": "Signed bilateral daily cash VM CSA and enforceability opinion",
      "source_evidence": {
        "file": "docs/exhibit-fields.md",
        "locator": "fictional-actions"
      },
      "stress_days": "30",
      "stress_funding_move": "-0.009900736",
      "stress_scenario_probability": "1",
      "two_way": true
    },
    "hold": {
      "action_id": "hold",
      "description": "Keep existing contracts and capital; no imagined cash release or forced refinancing",
      "effective_business_days": "0",
      "executable": true,
      "fee": "0",
      "source_evidence": {
        "file": "docs/exhibit-fields.md",
        "locator": "fictional-actions"
      }
    },
    "netting": {
      "baseline_executed": false,
      "covered_trade_ids": [
        "FUND_TRS",
        "OFFSET_TRS"
      ],
      "effective_business_days": "30",
      "executable": true,
      "fee": "742506.75",
      "legal_status": "Pending until all signed opinions and novation confirmations delivered",
      "master_id": "MASTER_P_CONSOLIDATED",
      "opinion_delivered_at_execution": true,
      "opinion_jurisdictions": [
        "Meridian home law",
        "P insolvency law"
      ],
      "other_trade": {
        "contract_id": "OFFSET_TRS",
        "credit_delta": "1",
        "netting_set_id": "OFFSET_P",
        "notional": "495004500",
        "provider_id": "P",
        "quantity": "495004500",
        "quote": {
          "contract_id": "OFFSET_TRS",
          "conversion": "upfront_implied_spread_remaining_annuity",
          "executable": true,
          "id": "SYN-OFFSET-FUND_01-S1",
          "notional": "495004500",
          "provider_id": "P",
          "quantity": "495004500",
          "quoted_at": "2027-06-05",
          "quoted_upfront": "-49500450",
          "reference_id": "U",
          "remaining_years": "20",
          "scenario_margin_beta": "0",
          "source_evidence": {
            "file": "docs/exhibit-fields.md",
            "locator": "fictional-quote-board"
          }
        },
        "reference_id": "U",
        "remaining_years": "20",
        "role": "total_return_payer"
      },
      "quote_id": "SYN-NETTING-FUND_01-S1",
      "quoted_at": "2027-06-05",
      "same_provider_required": true,
      "source_evidence": {
        "file": "docs/exhibit-fields.md",
        "locator": "fictional-actions"
      }
    },
    "substitute": {
      "annual_spread_concession": "0.0089108784",
      "baseline_executed": false,
      "effective_business_days": "2",
      "eligibility_source_evidence": {
        "file": "docs/reference-input-contract.md",
        "locator": "substitution-eligibility"
      },
      "executable": true,
      "original_years": "5",
      "quote_id": "SYN-SUBSTITUTE-FUND_01-S1",
      "quoted_at": "2027-06-05",
      "replacement_coupon_spread": "0.009900578",
      "replacement_credit_move": "0",
      "replacement_enforceable": true,
      "replacement_issue_rating": "AAA",
      "replacement_issued": true,
      "replacement_issuer": "FUND_01 independent substitution issuer series 1",
      "replacement_issuer_kind": "other",
      "replacement_market_liquid": true,
      "replacement_material_positive_correlation": false,
      "replacement_quantity": "990009000",
      "replacement_residual_years": "5",
      "replacement_same_currency": true,
      "requires": "Signed issuer-independent AAA collateral substitution, custody control and daily revaluation",
      "reversal_effective_business_days": "2",
      "source_evidence": {
        "file": "docs/exhibit-fields.md",
        "locator": "fictional-actions"
      },
      "unwind_fee": "247502.25",
      "upfront_fee": "990009"
    }
  },
  "allocation": {
    "assignment_rule": "Every lot exactly once. Indivisible, no double pledge. No cross-trade regulatory netting; each repo exposure calculated separately. Both quotes take every assigned lot at full market advance.",
    "capital_budget": "1980018",
    "days": "7",
    "equity_hurdle": "0.10",
    "lenders": {
      "Div": {
        "CDS": "0.0178208082",
        "currency": "USD",
        "days": "7",
        "executable": true,
        "haircut": "0.079200512",
        "legal_name": "FUND_01 weaker cheaper allocation lender series 1",
        "maximum_name_fraction": "0.05",
        "maximum_pool_value": "39600360",
        "minimum_names": 40,
        "quote_id": "SYN-DIV-7D-FUND_01-S1",
        "quoted_at": "2027-06-05",
        "rating": "BBB",
        "rw": "0.50",
        "source_evidence": {
          "file": "docs/exhibit-fields.md",
          "locator": "fictional-quote-board"
        },
        "spread": "0.0108903245"
      },
      "Tol": {
        "CDS": "0.0059402694",
        "currency": "USD",
        "days": "7",
        "executable": true,
        "haircut": "0.14850096",
        "legal_name": "FUND_01 stronger dearer allocation lender series 1",
        "maximum_name_fraction": "1",
        "maximum_pool_value": "267302430",
        "minimum_names": 1,
        "quote_id": "SYN-TOL-7D-FUND_01-S1",
        "quoted_at": "2027-06-05",
        "rating": "AA",
        "rw": "0.20",
        "source_evidence": {
          "file": "docs/exhibit-fields.md",
          "locator": "fictional-quote-board"
        },
        "spread": "0.0193605769"
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    },
    "lots": [
      {
        "asset_class": "IG_bond",
        "available_for_pledge": true,
        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.04",
        "id": "L1",
        "issue_rating": "AAA",
        "issued": true,
        "issuer": "FUND_01 allocation issuer L1 series 1",
        "issuer_kind": "other",
        "material_positive_correlation": false,
        "residual_years": "5",
        "right_to_return_collateral": true,
        "same_currency": true,
        "source_evidence": {
          "file": "docs/exhibit-fields.md",
          "locator": "fictional-actions"
        },
        "value": "118801080"
      },
      {
        "asset_class": "IG_bond",
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        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.04",
        "id": "L2",
        "issue_rating": "AAA",
        "issued": true,
        "issuer": "FUND_01 allocation issuer L2 series 1",
        "issuer_kind": "other",
        "material_positive_correlation": false,
        "residual_years": "5",
        "right_to_return_collateral": true,
        "same_currency": true,
        "source_evidence": {
          "file": "docs/exhibit-fields.md",
          "locator": "fictional-actions"
        },
        "value": "108900990"
      },
      {
        "asset_class": "main_index_equity",
        "available_for_pledge": true,
        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S01",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S01 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",
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        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S02",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S02 series 1",
        "issuer_kind": "other",
        "material_positive_correlation": false,
        "residual_years": "0",
        "right_to_return_collateral": true,
        "same_currency": true,
        "source_evidence": {
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        "value": "792007.2"
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        "asset_class": "main_index_equity",
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        "eligible_lenders": [
          "Tol",
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        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S03",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S03 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",
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        },
        "value": "792007.2"
      },
      {
        "asset_class": "main_index_equity",
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        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S04",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S04 series 1",
        "issuer_kind": "other",
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        "residual_years": "0",
        "right_to_return_collateral": true,
        "same_currency": true,
        "source_evidence": {
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        "value": "792007.2"
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      {
        "asset_class": "main_index_equity",
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        "eligible_lenders": [
          "Tol",
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        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S05",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S05 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",
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        },
        "value": "792007.2"
      },
      {
        "asset_class": "main_index_equity",
        "available_for_pledge": true,
        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S06",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S06 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",
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        },
        "value": "792007.2"
      },
      {
        "asset_class": "main_index_equity",
        "available_for_pledge": true,
        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S07",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S07 series 1",
        "issuer_kind": "other",
        "material_positive_correlation": false,
        "residual_years": "0",
        "right_to_return_collateral": true,
        "same_currency": true,
        "source_evidence": {
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        },
        "value": "792007.2"
      },
      {
        "asset_class": "main_index_equity",
        "available_for_pledge": true,
        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S08",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S08 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",
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        },
        "value": "792007.2"
      },
      {
        "asset_class": "main_index_equity",
        "available_for_pledge": true,
        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S09",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S09 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",
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        },
        "value": "792007.2"
      },
      {
        "asset_class": "main_index_equity",
        "available_for_pledge": true,
        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S10",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S10 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",
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        },
        "value": "792007.2"
      },
      {
        "asset_class": "main_index_equity",
        "available_for_pledge": true,
        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S11",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S11 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",
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        },
        "value": "792007.2"
      },
      {
        "asset_class": "main_index_equity",
        "available_for_pledge": true,
        "eligible_lenders": [
          "Tol",
          "Div"
        ],
        "enforceable": true,
        "h10": "0.20",
        "id": "S12",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S12 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": "S13",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S13 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": "S14",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S14 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": "S15",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S15 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": "S16",
        "issue_rating": "not_applicable_equity",
        "issued": true,
        "issuer": "FUND_01 allocation issuer S16 series 1",
        "issuer_kind": "other",
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        "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"
  }
}