{ "schema_version": "back_to_back_funding_book.v1r2", "assumption_status": "Synthetic educational pricing and decision annex. Basel parameters identified separately in capital-rulebook.md. No exposure path supplied.", "currency": "USD", "notional": "1000000000", "funding_years": "20", "deployment_years": "5", "quarter": "0.25", "ois": "0.04", "internal_AAA_initial": "0.002", "execution_margin": "0.005", "replacement_margin": "0.008", "reference_coupon_spread": "0.01", "provider_CDS": "0.008", "provider_recovery": "0.4", "own_bond_spread": "0.005", "own_CDS_spread": "0.003", "stressed_own_bond_spread": "0.015", "stressed_provider_CDS": "0.016", "deployment_coupon_spread": "0.04", "opening_free_cash": "100000000", "opening_legacy_funding": "1000000000", "opening_legacy_spread": "0", "conditional_reserve_facility": { "executed": true, "scope": "Standalone opt-in sensitivity, not the base funding book", "target": "positive_incremental_funding_mark_ois_deposit", "reusable_VM": "0", "own_spread_initial": "0.005", "funding_spread_beta": "1", "fee": "0", "default_model": "deterministic_no_default", "opening_cash": "100000000", "opening_equity": "100000000", "deposit_remuneration": "OIS", "cash_interest": "OIS", "coupons_paid_from": "opening_cash_then_executed_deficit_facility" }, "regulatory": { "alpha": "1.4", "sd_decay": "0.05", "single_name_AAA_sf": "0.0038", "single_name_A_sf": "0.0042", "IR_sf": "0.005", "credit_rho": "0.5", "multiplier_floor": "0.05", "business_days": "250", "min_maturity_days": "10", "bespoke_mpor_days": "20", "margin_scale": "1.5", "provider_rw": "0.3", "protection_provider_rw": "0.2", "deployment_rw": "1", "minimum_total_capital": "0.08", "leverage_minimum": "0.03", "BA_financial_IG_rw": "0.05", "BA_discount_decay": "0.05", "BA_scalar": "0.65", "BA_rho": "0.5", "BA_beta": "0.25", "maturity_cap": "5", "protection_floor": "0.25", "credit_protection_original_minimum": "1", "AAA_other_haircuts": { "up_to_1": "0.01", "up_to_3": "0.03", "up_to_5": "0.04", "up_to_10": "0.06", "over_10": "0.12" }, "BBB_other_haircuts": { "up_to_1": "0.02", "up_to_3": "0.04", "up_to_5": "0.06", "up_to_10": "0.12", "over_10": "0.20" }, "BB_sovereign_haircut": "0.15", "gold_haircut": "0.20", "main_index_equity_haircut": "0.20", "FX_haircut": "0.08", "secured_lending_holding_days": "20", "repo_holding_days": "5", "haircut_table_days": "10", "BA_one_year_floor": "1", "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", "AAA_sovereign_haircuts": { "up_to_1": "0.005", "up_to_3": "0.02", "up_to_5": "0.02", "up_to_10": "0.04", "over_10": "0.04" }, "BBB_sovereign_haircuts": { "up_to_1": "0.01", "up_to_3": "0.03", "up_to_5": "0.03", "up_to_10": "0.06", "over_10": "0.06" }, "AAA_securitisation_haircuts": { "up_to_1": "0.02", "up_to_3": "0.08", "up_to_5": "0.08", "up_to_10": "0.16", "over_10": "0.16" }, "BBB_securitisation_haircuts": { "up_to_1": "0.04", "up_to_3": "0.12", "up_to_5": "0.12", "up_to_10": "0.24", "over_10": "0.24" }, "haircut_revaluation_days": "1", "CVA_RWA_multiplier": "12.5" }, "desk": { "equity_hurdle": "0.10", "capital_sampling": "beginning_interval_end_payment", "discount_convention": "nominal_ois_compounded_contract_quarter", "day1_fee": "1000000", "day1_deferral_policy": "frozen_pricing_annuity_management_deferral", "CVA_default_grid": "quarter_end_constant_cds_lgd", "CSA_closeout_gap_funding_move": "0.0025", "CVA_KVA_survival": "default_weighted_cva_contractual_kva", "funding_KVA_scope": "Standalone CCR+CVA component, not bank max-constraint KVA", "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.", "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." }, "actions": { "CSA": { "fee": "1000000", "annual_commitment_fee": "50000", "facility_limit": "100000000", "liquidity_buffer": "20000000", "stress_funding_move": "-0.01", "stress_days": "30", "facility_spread": "0.015", "effective_business_days": "2", "quote_id": "SYN-CSA-20260919", "quoted_at": "2026-09-19", "executable": true, "baseline_executed": false, "requires": "Signed bilateral daily cash VM CSA and enforceability opinion", "two_way": true, "full_mark_coverage": true, "rehypothecation_allowed": true, "margin_remuneration_spread": "0", "leverage_vm": { "cash_settled": true, "daily_exchange": true, "non_segregated": true, "same_currency": true, "full_mark_exchange": true, "single_enforceable_master": true, "source_evidence": { "file": "docs/reference-input-contract.md", "locator": "leverage-recognition-facts" } }, "annual_administration_fee": "25000", "facility_upfront_fee": "100000", "facility_commitment_rate": "0.001", "facility_draw_ois": "0.04", "facility_repayment_source": "Posted cash VM returned after stress interval; base book cash is not silently this separate snapshot buffer", "stress_scenario_probability": "1", "cost_scope": "Deterministic stress price, not probability-weighted expected value", "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, "substitute": { "upfront_fee": "1000000", "annual_spread_concession": "0.009", "unwind_fee": "250000", "effective_business_days": "2", "quote_id": "SYN-SUBSTITUTE-20260919", "quoted_at": "2026-09-19", "executable": true, "baseline_executed": false, "requires": "Signed issuer-independent AAA collateral substitution, custody control and daily revaluation", "replacement_issuer": "Westhaven Bank", "replacement_issuer_kind": "other", "replacement_issue_rating": "AAA", "replacement_quantity": "1000000000", "replacement_coupon_spread": "0.01", "replacement_credit_move": "0", "replacement_material_positive_correlation": false, "replacement_issued": true, "replacement_enforceable": true, "replacement_market_liquid": true, "replacement_same_currency": true, "eligibility_source_evidence": { "file": "docs/reference-input-contract.md", "locator": "substitution-eligibility" }, "original_years": "5", "replacement_residual_years": "5", "reversal_effective_business_days": "2", "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, "netting": { "fee": "750000", "effective_business_days": "30", "legal_status": "Pending until all signed opinions and novation confirmations delivered", "quote_id": "SYN-NETTING-20260919", "quoted_at": "2026-09-19", "executable": true, "baseline_executed": false, "same_provider_required": true, "opinion_delivered_at_execution": true, "opinion_jurisdictions": [ "Meridian home law", "P insolvency law" ], "master_id": "MASTER_P_CONSOLIDATED", "covered_trade_ids": [ "FUND_TRS", "OFFSET_TRS" ], "other_trade": { "contract_id": "OFFSET_TRS", "provider_id": "P", "netting_set_id": "OFFSET_P", "reference_id": "U", "notional": "500000000", "quantity": "500000000", "remaining_years": "20", "credit_delta": "1", "role": "total_return_payer", "quote": { "id": "SYN-OFFSET-20260919", "quoted_at": "2026-09-19", "executable": true, "contract_id": "OFFSET_TRS", "reference_id": "U", "provider_id": "P", "notional": "500000000", "quantity": "500000000", "remaining_years": "20", "quoted_upfront": "-50000000", "conversion": "upfront_implied_spread_remaining_annuity", "scenario_margin_beta": "0", "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-quote-board" } } }, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, "CDS": { "notional": "320000000", "years": "5", "premium": "0.008", "fee": "250000", "hedge_provider_CDS": "0.004", "hedge_provider_recovery": "0.4", "hedge_provider_CSA": "Executed two-way cash VM, 20BD MPOR", "hedge_CVA_gap_spread_move": "0.001", "CCR_scope": "CRE51.16(1) exception only for qualified cover", "CVA_scope": "MAR50 provider exposure calculated by regular SA-CCR for CVA method annex despite CCR purchased-protection exception", "hedge_provider_CVA_method": "desk_annex_normal_saccr", "effective_business_days": "2", "quote_id": "SYN-CDS-20260919", "quoted_at": "2026-09-19", "executable": true, "baseline_executed": false, "protection_provider_id": "H", "reference_provider_id": "P", "same_currency": true, "guarantee_equivalent": true, "CCR_qualified": true, "CVA_designation_eligible": true, "provider_independent": true, "covered_events": [ "failure_to_pay", "bankruptcy", "restructuring" ], "direct_irrevocable_unconditional": true, "same_obligor_cross_default": true, "timely_cash_settlement": true, "recognition_terms": { "underlying_contract_id": "FUND_TRS", "reference_obligation_not_senior": true, "grace_period_covered": true, "cash_settlement_valuation_robust": true, "credit_event_determination_independent": true, "legally_enforceable": true, "protection_provider_eligible": true, "source_evidence": { "file": "docs/reference-input-contract.md", "locator": "protection-recognition-facts" } }, "hedge_provider_mpor_days": "20", "hedge_provider_short_term_exception": false, "default_correlation": "0", "hedge_economic_term": "Five-year fixed-notional cash-settled CDS on P; no automatic renewal and no protection after expiry", "annual_administration_fee": "25000", "undesignated_market_risk_capital": "500000", "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", "replacement_quote": { "id": "SYN-CDS-ROLL-20260919", "quoted_at": "2026-09-19", "executable": true, "reference_provider_id": "P", "protection_provider_id": "H", "notional": "320000000", "remaining_years": "4", "locked_premium": "0.008", "base_market_premium": "0.008", "stressed_market_premium": "0.016", "conversion": "cds_spread_difference_remaining_annuity", "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-quote-board" } }, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" }, "margin_terms": { "threshold": "0", "mpor_floor": { "non_centrally_cleared": true, "remargin_interval_days": "1", "illiquid_or_hard_to_replace": true, "over_5000_transactions": false, "repeated_disputes": false, "source_evidence": { "file": "docs/reference-input-contract.md", "locator": "mpor-floor-facts" } }, "minimum_transfer_amount": "0", "NICA": "0" }, "tenor_starts": "execution", "year1_quote_clock": "One year after CDS execution; actual remaining CDS term is four years" }, "hold": { "action_id": "hold", "effective_business_days": "0", "fee": "0", "executable": true, "description": "Keep existing contracts and capital; no imagined cash release or forced refinancing", "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } } }, "leverage_snapshot": { "retained_U": "1000000000", "deployment": "1000000000", "other_cash": "100000000", "written_credit_notional": "1000000000", "use_30_35_PFE_exclusion": true, "available_Tier1": "100000000", "AVA": "600000", "preexisting_purchased_protection": "none", "status": "Same stated balances in unmitigated versus eligible AAA substitution snapshot. RWA is recomputed, never supplied as an unexplained total." }, "collateral_gate": { "ratings_permitted": true, "book": "banking", "collateral_owner": "Meridian secured interest", "obligor": "Lydora Republic", "issuer": "Lydora Republic", "issue_rating": "B", "residual_years": "5", "material_positive_correlation": true, "issued": true, "enforceable": true, "same_currency": true, "market_liquid": true, "collateral_value": "1000000000", "haircut_method": "supervisory", "issuer_kind": "sovereign", "quantity": "1000000000", "coupon_spread": "0.04", "credit_move": "0", "original_years": "5", "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-executed-agreements" } }, "reserve_uncertainty": { "method": "incremental_core_model_risk_method_1", "alpha": "0.5", "confidence": "0.9", "exposures": [ { "id": "VA1", "gross_value": "100000000", "low_exit_cost": "1750000", "high_exit_cost": "4250000", "same_source_accounting_prudence": "200000", "recognised_fair_value": true, "cet1_sensitivity": "1" }, { "id": "VA2", "gross_value": "50000000", "low_exit_cost": "1375000", "high_exit_cost": "2625000", "same_source_accounting_prudence": "100000", "recognised_fair_value": true, "cet1_sensitivity": "1" } ], "CET1_before_AVA": "12000000", "fixed_RWA": "100000000", "target_CET1_ratio": "0.12", "future_equity_years": "20", "other_categories": "Unchanged in incremental comparison; not declared zero or a complete EU return", "scope": "Only identified in-scope accounting FV instruments; not management KVA or unrecognised funding opportunity" }, "terminal": { "contractual_maturity_reached": true, "provider_dispute_receivable": "500000", "dispute_settled": false, "reserve_against_unresolved_claim": "500000", "all_obligations_settled": false }, "allocation": { "days": "7", "year_days": "365", "requirement": "230000000", "capital_budget": "2000000", "own_spread": "0.015", "equity_hurdle": "0.10", "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.", "status": "Synthetic 7-day schedules, not calibrated from the supplied empirical study", "lots": [ { "id": "L1", "value": "120000000", "issuer": "Juniper Finance", "h10": "0.04", "asset_class": "IG_bond", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "AAA", "residual_years": "5", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "L2", "value": "110000000", "issuer": "Pine Finance", "h10": "0.04", "asset_class": "IG_bond", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "AAA", "residual_years": "5", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S01", "value": "800000", "issuer": "Seabrook Equity Issuer 01", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S02", "value": "800000", "issuer": "Seabrook Equity Issuer 02", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S03", "value": "800000", "issuer": "Seabrook Equity Issuer 03", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S04", "value": "800000", "issuer": "Seabrook Equity Issuer 04", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S05", "value": "800000", "issuer": "Seabrook Equity Issuer 05", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S06", "value": "800000", "issuer": "Seabrook Equity Issuer 06", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S07", "value": "800000", "issuer": "Seabrook Equity Issuer 07", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S08", "value": "800000", "issuer": "Seabrook Equity Issuer 08", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S09", "value": "800000", "issuer": "Seabrook Equity Issuer 09", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S10", "value": "800000", "issuer": "Seabrook Equity Issuer 10", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S11", "value": "800000", "issuer": "Seabrook Equity Issuer 11", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S12", "value": "800000", "issuer": "Seabrook Equity Issuer 12", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S13", "value": "800000", "issuer": "Seabrook Equity Issuer 13", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S14", "value": "800000", "issuer": "Seabrook Equity Issuer 14", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S15", "value": "800000", "issuer": "Seabrook Equity Issuer 15", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, "available_for_pledge": true, "issuer_kind": "other", "issue_rating": "not_applicable_equity", "residual_years": "0", "same_currency": true, "material_positive_correlation": false, "enforceable": true, "right_to_return_collateral": true, "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-actions" } }, { "id": "S16", "value": "800000", "issuer": "Seabrook Equity Issuer 16", "h10": "0.20", "asset_class": "main_index_equity", "eligible_lenders": [ "Tol", "Div" ], "issued": true, 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Not a mandatory seven-day regulatory minimum. Other eligibility and bank-permission conditions are case assumptions.", "short_term_optional_rw": { "Tol": "0.20", "Div": "0.20" }, "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.", "normalised_haircut_comparison": { "safe_market_haircut": "0.02", "safe_annual_volatility_low": "0.04", "safe_annual_volatility_high": "0.05", "equity_market_haircut": "0.08", "equity_annual_volatility": "0.30", "scope": "Synthetic ratios illustrating safe haircut per volatility exceeds equity ratio; not a refutation of nominal haircut monotonicity or an empirical five-year calibration" } }, "incurred_CVA": "0", "source_evidence": { "rules": { "file": "docs/capital-rulebook.md", "locator": "## 1. Dated official source register" }, "quotes": { "file": "docs/exhibit-fields.md", "locator": "fictional-quote-board" }, "contracts": { "file": "docs/exhibit-fields.md", "locator": "fictional-executed-agreements" }, "classification": { "file": "docs/exhibit-fields.md", "locator": "fictional-classification" }, "actions": { "file": "docs/capital-actions.md", "locator": "## Executable terms and timing" }, "reference_input_contract": { "file": "docs/reference-input-contract.md", "locator": "supported-policy-ids" }, "cash_ledger": { "file": "docs/exhibit-fields.md", "locator": "fictional-ledgers" } }, "funding_contract": { "contract_id": "FUND_TRS", "provider_id": "P", "netting_set_id": "FUNDING_P", "reference_id": "U", "currency": "USD", "notional": "1000000000", "quantity": "1000000000", "remaining_years": "20", "locked_financing_spread": "0.007", "last_reset_price": "1", "stub": "0", "next_price_settlement_years": "0.25", "reference_price_basis": "USD per unit of original principal; final ex-distribution price zero", "reset_basis": "Quarterly reference-price return settlement; future financing advantage survives", "full_value_reset": false, "full_reset_countercase_executed": true, "full_reset_countercase_term": "At year five pay full pre-reset V, re-strike financing to the executable replacement quote, and reset reference base; mere price-return settlement is not this action", "regulatory_classification": "Credit-only SA-CCR plus LEV30 written credit under fictional classification letter; failed-sale IFRS retention reconciled separately", "classification_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-classification" }, "SA_CVA_approval": false, "ratings_permitted": true, "original_reference_rating": "AAA", "reference_issuer_kind": "other", "provider_sector": "financial", "provider_credit_quality": "IG", "provider_bank_eligible": true, "provider_ECRA_rating": "A", "provider_due_diligence_uplift": false, "ordinary_BA_maturity_floor_applies": true, "threshold": "0", "minimum_transfer_amount": "0", "NICA": "0", "mpor_floor": { "non_centrally_cleared": true, "remargin_interval_days": "1", "illiquid_or_hard_to_replace": true, "over_5000_transactions": false, "repeated_disputes": false, "source_evidence": { "file": "docs/reference-input-contract.md", "locator": "mpor-floor-facts" } }, "reference_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-executed-agreements" } }, "replacement_quote": { "id": "SYN-REPL-FUND-20260919", "quoted_at": "2026-09-19", "executable": true, "status": "Fictional binding quote convention for this educational instance, not an observed market quote", "contract_id": "FUND_TRS", "reference_id": "U", "currency": "USD", "notional": "1000000000", "quantity": "1000000000", "remaining_years": "20", "locked_financing_spread": "0.007", "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", "includes_old_reference_adjustment": false, "old_reference_adjustment_upfront": "0", "quoted_base_financing_spread": "0.010", "scenario_margin_beta": "1", "conversion": "remaining_quarterly_annuity", "off_quarter_convention": "fractional_remaining_annuity_clean_quote", "conversion_rate": "0.04", "quarter": "0.25", "roll_convention": "Same surviving contract, remaining maturity rolls down without renewal; margin beta applies only to stated synthetic parallel scenarios", "closeout_basis": "Full financing and return obligations under matched replacement terms, no own-spread-linked termination payment", "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-quote-board" }, "quote_basis": "reset_to_today", "provider_id": "P" }, "scenarios": [ { "id": "normal", "funding_move": "0", "reference_credit_move": "0", "provider_CDS": "0.008", "own_bond_spread": "0.005", "deployment_credit_move": "0" }, { "id": "mark_stress", "funding_move": "0.01", "reference_credit_move": "0", "provider_CDS": "0.008", "own_bond_spread": "0.015", "deployment_credit_move": "0" }, { "id": "joint_stress", "funding_move": "0.01", "reference_credit_move": "0.025", "provider_CDS": "0.016", "own_bond_spread": "0.015", "deployment_credit_move": "0.03" }, { "id": "reference25bp", "funding_move": "0.01", "reference_credit_move": "0.0025", "provider_CDS": "0.008", "own_bond_spread": "0.015", "deployment_credit_move": "0" }, { "id": "reference100bp", "funding_move": "0.01", "reference_credit_move": "0.01", "provider_CDS": "0.008", "own_bond_spread": "0.015", "deployment_credit_move": "0" }, { "id": "liquidity_reversal", "funding_move": "-0.01", "reference_credit_move": "0", "provider_CDS": "0.008", "own_bond_spread": "0.015", "deployment_credit_move": "0" } ], "cash_ledger": { "opening_equity": "100000000", "free_cash_remuneration": "OIS", "deficit_facility_executed": true, "deficit_facility_limit": "500000000", "deficit_facility_fee": "0", "reference_stress_move": "0.025", "funding_stress_move": "0.01", "base_hedge_executed": false, "price_return_accounting": "retained_asset_settled_price_adjusts_financing", "surplus_policy": "repay_deficit_then_retain_cash", "capital_covenant": "no_automatic_acceleration" }, "day_one_accounting": { "base_internal_addon_observable": false, "service_fee_treatment": "inception_consumed_service_expense", "independent_unit_example": { "unit": "standalone_derivative", "clean_value": "41000000", "statutory_xva": "12000000", "transaction_price": "0", "observable_case_evidenced": true, "unobservable_case_evidenced": true } }, "whole_book": { "retained_U_rw": "0.20", "deployment_rw": "1", "cash_rw": "0", "AVA": "0", "written_credit_notional": "1000000000", "written_credit_contract": { "contract_id": "FUND_TRS", "reference_id": "U", "unoffset": true, "source_evidence": { "file": "docs/reference-input-contract.md", "locator": "leverage-recognition-facts" } }, "other_RWA": "0", "other_leverage_exposure": "0", "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.", "capital_gate": "minimum_capital_blocks_new_execution" }, "collateral_comparison": { "issuer": "Westhaven Bank", "issuer_kind": "other", "quantity": "1000000000", "coupon_spread": "0.01", "original_years": "5", "residual_years": "5", "material_positive_correlation": false, "issued": true, "enforceable": true, "market_liquid": true, "same_currency": true, "eligibility_source_evidence": { "file": "docs/reference-input-contract.md", "locator": "substitution-eligibility" }, "market_haircut": "0.08", "market_spread": "0.0045", "market_quote_scope": "Separate synthetic same-currency collateral financing quote, not the supervisory haircut or a five-year empirical calibration", "states": [ { "id": "AAA_par", "issue_rating": "AAA", "credit_move": "0" }, { "id": "AAA_widening", "issue_rating": "AAA", "credit_move": "0.01" }, { "id": "BBB_same_price", "issue_rating": "BBB", "credit_move": "0.01" }, { "id": "BB_eligibility_cliff", "issue_rating": "BB", "credit_move": "0.01" } ], "rating_event_rule": "Rating changes are independent dated event facts; spread does not mechanically determine an agency rating. BBB and BB scenarios retain the identical market price.", "source_evidence": { "file": "docs/capital-actions.md", "locator": "## Collateral and the client price" } }, "classification_countercase": { "id": "DUAL_CREDIT_IR", "enabled": true, "credit_allocated": true, "interest_rate_allocated": true, "currency": "USD", "interest_rate_delta": "-1", "reference_start": "0", "source_evidence": { "file": "docs/exhibit-fields.md", "locator": "fictional-classification" }, "scope": "Separate fictional supervisory dual-driver allocation, not the credit-only baseline" } }