{ "schema_version": "funding-world.v1", "run_id": "9r9p6s9g", "family_id": "FUND_01", "as_of": "2027-09-02", "day": 0, "state_hash": "6d1645a487425409f4da8db6aa0d4fcaab93ce7b8516b65ce41eaaf60d2ad165", "title": "Registered pledge and a coupon arriving after the debit", "status": "stopped_before_settlement", "outcome": "The spending gate stopped this attempt before a candidate could be submitted. 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"147718769.6318558338025220656210829648416", "currency": true }, { "label": "Tier 1 after AVA", "value": "404642835.874032800357", "currency": true }, { "label": "Capital shortfall", "value": "0", "currency": true }, { "label": "Binding constraint", "value": "risk_based", "currency": false } ], "deals": [ { "id": "DEP_LOAN", "name": "Client deployment loan", "party": "Brackenford Trade Bank [FUND_01 series 1]", "amount": "990009000", "amount_label": "Notional", "status": "active", "execution_date": "2027-06-05", "maturity_date": "2032-06-05", "terms": { "borrower_id": "BORROWER", "coupon_spread": "0.0455411592", "notional": "990009000", "ois": "0.0356420304", "principal": "990009000", "quarter": "0.25", "security_contract_id": "DEP_SECURITY" } }, { "id": "DEP_SECURITY", "name": "Issued-security pledge", "party": "Brackenford Trade Bank [FUND_01 series 1]", "amount": "990009000", "amount_label": "Collateral market value", "status": "active", "execution_date": "2027-06-05", "maturity_date": "2032-06-05", "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": 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"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, 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"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" } ] } }, "FACILITY": { "effective_date": "2027-06-05", "execution_date": "2027-06-05", "id": "FACILITY", "kind": "facility", "maturity_date": "2047-06-05", "payment_dates": [ "2027-09-05", "2027-12-05", "2028-03-05", "2028-06-05", "2028-09-05", "2028-12-05", "2029-03-05", "2029-06-05", "2029-09-05", "2029-12-05", "2030-03-05", "2030-06-05", "2030-09-05", "2030-12-05", "2031-03-05", "2031-06-05", "2031-09-05", "2031-12-05", "2032-03-05", "2032-06-05", "2032-09-05", "2032-12-05", "2033-03-05", "2033-06-05", "2033-09-05", "2033-12-05", "2034-03-05", "2034-06-05", "2034-09-05", "2034-12-05", "2035-03-05", "2035-06-05", "2035-09-05", "2035-12-05", "2036-03-05", "2036-06-05", "2036-09-05", "2036-12-05", "2037-03-05", "2037-06-05", "2037-09-05", "2037-12-05", "2038-03-05", "2038-06-05", "2038-09-05", "2038-12-05", "2039-03-05", "2039-06-05", "2039-09-05", "2039-12-05", "2040-03-05", "2040-06-05", "2040-09-05", "2040-12-05", "2041-03-05", "2041-06-05", "2041-09-05", "2041-12-05", "2042-03-05", "2042-06-05", "2042-09-05", "2042-12-05", "2043-03-05", "2043-06-05", "2043-09-05", "2043-12-05", "2044-03-05", "2044-06-05", "2044-09-05", "2044-12-05", "2045-03-05", "2045-06-05", "2045-09-05", "2045-12-05", "2046-03-05", "2046-06-05", "2046-09-05", "2046-12-05", "2047-03-05", "2047-06-05" ], "source_evidence": [ { "file": "worker/legal-terms.txt", "locator": "actual-deployment-terms" }, { "file": "worker/docs/desk-runtime-contract.md", "locator": "## Clock and settlement order" } ], "state": { "interest_accrued": "0", "interest_paid": "0", "last_accrual_date": "2027-09-02", "outstanding_principal": "0", "paid_periods": [] }, "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" } }, "FUND_TRS": { "effective_date": "2027-06-05", "execution_date": "2027-06-05", "id": "FUND_TRS", "kind": "funding_trs", "maturity_date": "2047-06-05", "payment_dates": [ "2027-09-05", "2027-12-05", "2028-03-05", "2028-06-05", "2028-09-05", "2028-12-05", "2029-03-05", "2029-06-05", "2029-09-05", "2029-12-05", "2030-03-05", "2030-06-05", "2030-09-05", "2030-12-05", "2031-03-05", "2031-06-05", "2031-09-05", "2031-12-05", "2032-03-05", "2032-06-05", "2032-09-05", "2032-12-05", "2033-03-05", "2033-06-05", "2033-09-05", "2033-12-05", "2034-03-05", "2034-06-05", "2034-09-05", "2034-12-05", "2035-03-05", "2035-06-05", "2035-09-05", "2035-12-05", "2036-03-05", "2036-06-05", "2036-09-05", "2036-12-05", "2037-03-05", "2037-06-05", "2037-09-05", "2037-12-05", "2038-03-05", "2038-06-05", "2038-09-05", "2038-12-05", "2039-03-05", "2039-06-05", "2039-09-05", "2039-12-05", "2040-03-05", "2040-06-05", "2040-09-05", "2040-12-05", "2041-03-05", "2041-06-05", "2041-09-05", "2041-12-05", "2042-03-05", "2042-06-05", "2042-09-05", "2042-12-05", "2043-03-05", "2043-06-05", "2043-09-05", "2043-12-05", "2044-03-05", "2044-06-05", "2044-09-05", "2044-12-05", "2045-03-05", "2045-06-05", "2045-09-05", "2045-12-05", "2046-03-05", "2046-06-05", "2046-09-05", "2046-12-05", "2047-03-05", "2047-06-05" ], "source_evidence": [ { "document_id": "SYNTHETIC_PACKET", "locator": "fictional-executed-agreements" } ], "state": { "checkpoint_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": 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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" }, "financing_coupon_accrued": "10193163.186945957065", "last_accrual_date": "2027-09-02", "last_reset_date": "2027-06-05", "last_reset_price": "1", "netting_id": "FUNDING_P", "observability_history": [ { "day": -89, "observable": false } ], "paid_periods": [], "principal": "990009000", "reference_coupon_accrued": "10904336.156938392391", "reset_periods": [], "unsettled_stub": "0", "vm_balance": "0" }, "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" } }, "LEGACY": { "effective_date": "2027-06-05", "execution_date": "2027-06-05", "id": "LEGACY", "kind": "legacy", "maturity_date": "2047-06-05", "payment_dates": [ "2027-09-05", "2027-12-05", "2028-03-05", "2028-06-05", "2028-09-05", "2028-12-05", "2029-03-05", "2029-06-05", "2029-09-05", 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"source_evidence": [ { "document_id": "SYNTHETIC_PACKET", "locator": "fictional-ledgers" } ], "state": { "interest_accrued": "8603966.706329727105", "interest_paid": "0", "last_accrual_date": "2027-09-02", "outstanding_principal": "990009000", "paid_periods": [] }, "status": "active", "terms": { "day_count": "ACT/365F", "ois": "0.0356420304", "principal": "990009000", "quarter": "0.25", "spread": "0" } }, "inventory:L1": { "effective_date": "2027-06-05", "execution_date": "2027-06-05", "id": "inventory:L1", "kind": "inventory_security", "maturity_date": "2032-06-05", "payment_dates": [ "2027-09-05", "2027-12-05", "2028-03-05", "2028-06-05", "2028-09-05", "2028-12-05", "2029-03-05", "2029-06-05", "2029-09-05", "2029-12-05", "2030-03-05", "2030-06-05", "2030-09-05", "2030-12-05", "2031-03-05", "2031-06-05", "2031-09-05", "2031-12-05", "2032-03-05", "2032-06-05" ], "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" }, "state": { "interest_accrued": 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"108900990", "paid_periods": [] }, "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" } } }, "day": 0, "family_id": "FUND_01", "financial_time": "0.2418478260869565217391304347826086956522", "last_receipt_hash": "0088a4f7766fb2319151fe963f9e7fba59db8bda2eb064b7dfce91cc9517be3c", "last_receipt_sequence": 415, "legal": { "approvals": {}, "decisions": {}, "defaults": { "borrower": false, "provider": false, "reference_issuer": false }, "disputes": {}, "facility_status": "available", "observable": false, "rights": { "delivery|contract|": "effective", "enforceability|contract|": "effective", "issuance|contract|": "effective", "remittance|contract|": "denied", "restitution|borrower_only|": "conditional", "reuse|contract|": "denied", "substitution|contract|": "conditional" }, "substitution_requests": {}, "transfer_blocks": { "cash_remittance": false, "custody_delivery": false } }, "legal_version": 0, "lots": { "DEPSEC": { "book_value": "990009000", "class": "deployment_collateral", "correlation": false, "coupon_spread": "0.0455411592", "encumbrance": "DEP_SECURITY", "enforceability": "effective", "id": "DEPSEC", "instrument_id": "DEPSEC", "issued": true, "issuer_id": "CELADON", "issuer_kind": "corporate", "location": "CUST_DEP", "maturity_date": "2032-06-05", "owner": "BORROWER", "quantity": "990009000", "rating": "BB", "return_obligation": "identical", "reuse_permitted": false, "source_evidence": [ { "file": "worker/legal-terms.txt", "locator": "actual-deployment-terms" }, { "file": "worker/docs/desk-runtime-contract.md", "locator": "## Clock and settlement order" } ] }, "L1": { "book_value": "118801080", "class": "allocation_inventory", "correlation": false, "coupon_spread": "0", "encumbrance": null, "enforceability": "effective", "id": "L1", "instrument_id": "L1", "issued": true, "issuer_id": "FUND_01 allocation issuer L1 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true, "unit_price": "1" }, "S47": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S47", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S48": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S48", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S49": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S49", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S50": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S50", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "U": { "class": "funding_reference", "encumbrance": "FUND_TRS", "enforceability": "effective", "instrument_id": "U", "issued": true, "location": "CUST_U_PROVIDER", "market_value": "990009000", "owner": "P", "quantity": "990009000", "realizable_now": false, "return_obligation": null, "reuse_permitted": false, "unit_price": "1" } }, "market_open": true, "obligations": {}, "posted_vm": "0", "received_vm": "0", "repo_debt": "0", "restricted_cash": "0", "restricted_collections": "0", "transfer_blocks": { "cash_remittance": false, "custody_delivery": false }, "unpaid_payable": "18797129.89327568417", "unpaid_receivable": "12867116.061819861391" }, "parent_state_hash": "6d1645a487425409f4da8db6aa0d4fcaab93ce7b8516b65ce41eaaf60d2ad165", "rates": { "deployment_coupon_spread": "0.0455411592", "deployment_remaining_years": "4.758152173913043478260869565217391304348", "funding_notional": "990009000", "funding_remaining_years": "19.75815217391304347826086956521739130435", "last_reset_price": "1", "legal_funding_mark": "42293048.40690512114973438418505428082114", "management_funding_gain": "41581875.43691268582373438418505428082114", "next_payment_delay": "0.0081521739130434782608695652173913043478", "principal_source": "identified_asset_sale", "quote_annuity": "14.13952779070819481520015052116028403569", "quote_id": "SYN-REPL-FUND-FUND_01-S1", "quoted_funding_component": "41581875.43691268582373438418505428082114", "reference_price": "1", "reference_return_adjustment": "0", "replacement_spread": "0.009900825", "roles": { "accounting_unit": "retained_asset_financing", "borrower": "BORROWER", "financing_payer": "MERIDIAN", "funding_provider": "P", "funding_receiver": "MERIDIAN", "funding_reference_owner": "P" }, "trs_principal_received": "0", "unsettled_stub": "711172.969992435326" }, "schema_version": "daily-book-value.v2", "source_evidence": { "DAILY_ALLOCATION": [ { "claim": "DAILY_ALLOCATION", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_ALLOCATION", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_ALLOCATION", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Executable action set" }, { "claim": "DAILY_ALLOCATION", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/parameters/allocation" }, { "claim": "DAILY_ALLOCATION", "exhibit_id": "FACILITY", "locator": "/terms" } ], "DAILY_ATTRIBUTION": [ { "claim": "DAILY_ATTRIBUTION", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_ATTRIBUTION", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_ATTRIBUTION", "exhibit_id": "docs/reserve-module.md", "locator": "## 3. The two management pots and the P&L identity" }, { "claim": "DAILY_ATTRIBUTION", "exhibit_id": "FUND_TRS", "locator": "/" } ], "DAILY_CAPITAL": [ { "claim": "DAILY_CAPITAL", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "docs/capital-rulebook.md", "locator": "## 3. SA-CCR" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "docs/capital-rulebook.md", "locator": "## 5. Comprehensive banking-book collateral" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "FUND_TRS", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "DEP_LOAN", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "DEP_SECURITY", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "FACILITY", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/parameters/leverage_snapshot" } ], "DAILY_CREDIT": [ { "claim": "DAILY_CREDIT", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_CREDIT", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_CREDIT", "exhibit_id": "docs/capital-rulebook.md", "locator": "## 9. Capital ratios and the desk KVA annex" }, { "claim": "DAILY_CREDIT", "exhibit_id": "FUND_TRS", "locator": "/" } ], "DAILY_FUNDING": [ { "claim": "DAILY_FUNDING", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_FUNDING", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_FUNDING", "exhibit_id": "docs/economic-specification.md", "locator": "### 3.1 Quote-conditioned valuation" }, { "claim": "DAILY_FUNDING", "exhibit_id": "FUND_TRS", "locator": "/" }, { "claim": "DAILY_FUNDING", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/parameters/replacement_quote" }, { "claim": "DAILY_FUNDING", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/family/deployment_contract" }, { "claim": "DAILY_FUNDING", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/parameters/book" }, { "claim": "DAILY_FUNDING", "exhibit_id": "DEP_LOAN", "locator": "/terms" } ], "DAILY_LIQUIDITY": [ { "claim": "DAILY_LIQUIDITY", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Clock and settlement order" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "DEP_LOAN", "locator": "/" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "DEP_SECURITY", "locator": "/" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "FACILITY", "locator": "/" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/family/deployment_contract" } ], "DAILY_PROTECTION": [ { "claim": "DAILY_PROTECTION", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_PROTECTION", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_PROTECTION", "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": "/" } ] } }, "runtime_result": { "accepted_action_count": 0, "as_of": "2027-09-02", "checkpoints": { "count": 0, "missing_days": 0, "represented_days": 0, "statuses": {} }, "configured_days": 2, "coverage": { "elapsed_over_configured": "0", "reported_over_configured": "0" }, "day": 0, "elapsed_days": 0, "elapsed_reported_days": 0, "engine_sha256": "3feff1c20fd0c2301342651e9de6060efdda7e0d118c6f3d4f4f0deb45b018e7", "family_id": "FUND_01", "final_replay_valued_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" }, "bridge": { "management_equity": "374455742.38934580729", "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" }, "management": { "CVA_reserve": "2769115.752958876778477207885905632644022", "KVA_reserve": "27417977.73172811628825345315094078939732", "balances": { "management_deferral": "-41581875.436912685824", "management_funding_mark": "41581875.436912685824", "management_hedge_asset": "0", "management_income_deferral": "41581875.436912685824", "management_income_hedge": "0", "management_income_mark": "-41581875.436912685824", "management_income_reserve": "30187093.484686993067", "management_xva": "-30187093.484686993067" }, "cumulative_pnl": "-16597812.61065419271", "currently_observable": false, "deferral_released_by_evidence": false, "deferred_gain": "41581875.436912685824", "equity": "374455742.38934580729", "funding_mark": "41581875.436912685824", "gross_inception_gain": "41931608.61725529086748430498599281292833", "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", "deployment_accrued": "19437814.846170841304", "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": { "cash": "123832604.859317781832", "claim_allowance": "0", "contributed_equity": "-391053555", "deployment_accrued": "19437814.846170841304", "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" }, "contributed_equity": "391053555", "cumulative_pnl": "13589280.874032800357", "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": 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"1" }, "S41": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S41", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S42": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S42", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S43": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S43", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S44": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S44", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S45": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S45", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S46": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S46", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S47": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S47", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S48": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S48", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S49": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S49", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "S50": { "class": "allocation_inventory", "encumbrance": null, "enforceability": "effective", "instrument_id": "S50", "issued": true, "location": "DESK_INVENTORY", "market_value": "792007.2", "owner": "MERIDIAN", "quantity": "792007.2", "realizable_now": true, "return_obligation": null, "reuse_permitted": true, "unit_price": "1" }, "U": { "class": "funding_reference", "encumbrance": "FUND_TRS", "enforceability": "effective", "instrument_id": "U", "issued": true, "location": "CUST_U_PROVIDER", "market_value": "990009000", "owner": "P", "quantity": "990009000", "realizable_now": false, "return_obligation": null, "reuse_permitted": false, "unit_price": "1" } }, "market_open": true, "obligations": {}, "posted_vm": "0", "received_vm": "0", "repo_debt": "0", "restricted_cash": "0", "restricted_collections": "0", "transfer_blocks": { "cash_remittance": false, "custody_delivery": false }, "unpaid_payable": "18797129.89327568417", "unpaid_receivable": "12867116.061819861391" }, "parent_state_hash": "6d1645a487425409f4da8db6aa0d4fcaab93ce7b8516b65ce41eaaf60d2ad165", "rates": { "deployment_coupon_spread": "0.0455411592", "deployment_remaining_years": "4.758152173913043478260869565217391304348", "funding_notional": "990009000", "funding_remaining_years": "19.75815217391304347826086956521739130435", "last_reset_price": "1", "legal_funding_mark": "42293048.40690512114973438418505428082114", "management_funding_gain": "41581875.43691268582373438418505428082114", "next_payment_delay": "0.0081521739130434782608695652173913043478", "principal_source": "identified_asset_sale", "quote_annuity": "14.13952779070819481520015052116028403569", "quote_id": "SYN-REPL-FUND-FUND_01-S1", "quoted_funding_component": "41581875.43691268582373438418505428082114", "reference_price": "1", "reference_return_adjustment": "0", "replacement_spread": "0.009900825", "roles": { "accounting_unit": "retained_asset_financing", "borrower": "BORROWER", "financing_payer": "MERIDIAN", "funding_provider": "P", "funding_receiver": "MERIDIAN", "funding_reference_owner": "P" }, "trs_principal_received": "0", "unsettled_stub": "711172.969992435326" }, "schema_version": "daily-book-value.v2", "source_evidence": { "DAILY_ALLOCATION": [ { "claim": "DAILY_ALLOCATION", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_ALLOCATION", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_ALLOCATION", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Executable action set" }, { "claim": "DAILY_ALLOCATION", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/parameters/allocation" }, { "claim": "DAILY_ALLOCATION", "exhibit_id": "FACILITY", "locator": "/terms" } ], "DAILY_ATTRIBUTION": [ { "claim": "DAILY_ATTRIBUTION", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_ATTRIBUTION", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_ATTRIBUTION", "exhibit_id": "docs/reserve-module.md", "locator": "## 3. The two management pots and the P&L identity" }, { "claim": "DAILY_ATTRIBUTION", "exhibit_id": "FUND_TRS", "locator": "/" } ], "DAILY_CAPITAL": [ { "claim": "DAILY_CAPITAL", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "docs/capital-rulebook.md", "locator": "## 3. SA-CCR" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "docs/capital-rulebook.md", "locator": "## 5. Comprehensive banking-book collateral" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "FUND_TRS", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "DEP_LOAN", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "DEP_SECURITY", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "FACILITY", "locator": "/" }, { "claim": "DAILY_CAPITAL", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/parameters/leverage_snapshot" } ], "DAILY_CREDIT": [ { "claim": "DAILY_CREDIT", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_CREDIT", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_CREDIT", "exhibit_id": "docs/capital-rulebook.md", "locator": "## 9. Capital ratios and the desk KVA annex" }, { "claim": "DAILY_CREDIT", "exhibit_id": "FUND_TRS", "locator": "/" } ], "DAILY_FUNDING": [ { "claim": "DAILY_FUNDING", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_FUNDING", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_FUNDING", "exhibit_id": "docs/economic-specification.md", "locator": "### 3.1 Quote-conditioned valuation" }, { "claim": "DAILY_FUNDING", "exhibit_id": "FUND_TRS", "locator": "/" }, { "claim": "DAILY_FUNDING", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/parameters/replacement_quote" }, { "claim": "DAILY_FUNDING", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/family/deployment_contract" }, { "claim": "DAILY_FUNDING", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/parameters/book" }, { "claim": "DAILY_FUNDING", "exhibit_id": "DEP_LOAN", "locator": "/terms" } ], "DAILY_LIQUIDITY": [ { "claim": "DAILY_LIQUIDITY", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Clock and settlement order" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "DEP_LOAN", "locator": "/" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "DEP_SECURITY", "locator": "/" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "FACILITY", "locator": "/" }, { "claim": "DAILY_LIQUIDITY", "exhibit_id": "CURRENT_INPUTS.json", "locator": "/family/deployment_contract" } ], "DAILY_PROTECTION": [ { "claim": "DAILY_PROTECTION", "exhibit_id": "docs/desk-runtime-contract.md", "locator": "## Valuation and accounting" }, { "claim": "DAILY_PROTECTION", "exhibit_id": "fixtures/desk-policy.json", "locator": "/" }, { "claim": "DAILY_PROTECTION", "exhibit_id": "docs/capital-rulebook.md", "locator": "## 6. 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