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"#/$defs/decimal"}, "actual_ufva": {"$ref": "#/$defs/decimal"}, "mark_only_ufva": {"$ref": "#/$defs/decimal"}, "conditional_quadratic_ufva": {"$ref": "#/$defs/decimal"}, "own_funding_curve": { "type": "string", "enum": ["own_unsecured_bond", "own_CDS", "provider_CDS", "internal_AAA"] }, "basis_spread": {"$ref": "#/$defs/decimal"}, "noncash_charge_creates_borrowing": {"type": "boolean"}, "use_cash_vm": {"type": "boolean"}, "provider_default_exposure_source": { "type": "string", "enum": ["contract_mark", "supplied_path"] }, "conditional_quadratic_requires_cash_transaction": {"type": "boolean"}, "evidence": {"$ref": "#/$defs/evidence"} } }, "capital": { "type": "object", "additionalProperties": false, "required": ["saccr", "collateral", "protection", "capacity", "allocation", "evidence"], "properties": { "saccr": { "type": "object", "additionalProperties": false, "required": [ "RC", "PFE", "EAD", "MF", "supervisory_duration", "reference_sf", "provider_rw", "primary_class", "reference_asset_is_held_C" ], "properties": { "RC": {"$ref": "#/$defs/decimal"}, "PFE": {"$ref": "#/$defs/decimal"}, "EAD": {"$ref": "#/$defs/decimal"}, "MF": {"$ref": "#/$defs/decimal"}, "supervisory_duration": {"$ref": "#/$defs/decimal"}, "reference_sf": {"$ref": "#/$defs/decimal"}, "provider_rw": {"$ref": "#/$defs/decimal"}, "primary_class": { "type": "string", "enum": ["credit", "interest_rate", "both"] }, "reference_asset_is_held_C": {"type": "boolean"} } }, "collateral": { "type": "object", "additionalProperties": false, "required": [ "eligible", "recognised", "E_star", "RWA", "capital", "KVA", "charge_spread", "eligibility_reason", "rating_drives_eligibility_not_spread" ], "properties": { "eligible": {"type": "boolean"}, "recognised": {"$ref": "#/$defs/decimal"}, "E_star": {"$ref": "#/$defs/decimal"}, "RWA": {"$ref": "#/$defs/decimal"}, "capital": {"$ref": "#/$defs/decimal"}, "KVA": {"$ref": "#/$defs/decimal"}, "charge_spread": {"$ref": "#/$defs/decimal"}, "eligibility_reason": { "type": "string", "enum": ["eligible", "same_issuer", "rating_below_threshold", "nonsecurity", "missing_rights", "illiquid"] }, "rating_drives_eligibility_not_spread": {"type": "boolean"} } }, "protection": { "type": "object", "additionalProperties": false, "required": [ "Pa_initial", "Pa_year1", "Pa_year475", "tail_years", "full_initial_maturity_recognition", "economically_protected_tail", "cva_capital", "ccr_capital", "cva_designated", "cva_approach", "leverage_notional_offset" ], "properties": { "Pa_initial": {"$ref": "#/$defs/decimal"}, "Pa_year1": {"$ref": "#/$defs/decimal"}, "Pa_year475": {"$ref": "#/$defs/decimal"}, "tail_years": {"$ref": "#/$defs/decimal"}, "full_initial_maturity_recognition": {"type": "boolean"}, "economically_protected_tail": {"type": "boolean"}, "cva_capital": {"$ref": "#/$defs/decimal"}, "ccr_capital": {"$ref": "#/$defs/decimal"}, "cva_designated": {"type": "boolean"}, "cva_approach": { "type": "string", "enum": ["BA_reduced", "BA_full", "SA_approved"] }, "leverage_notional_offset": {"type": "boolean"} } }, "capacity": { "type": "object", "additionalProperties": false, "required": [ "leverage_exposure", "leverage_required", "Tier1", "capital_KVA", "structural_value", "capital_cash_credit", "binding", "chosen_action", "action_effective" ], "properties": { "leverage_exposure": {"$ref": "#/$defs/decimal"}, "leverage_required": {"$ref": "#/$defs/decimal"}, "Tier1": {"$ref": "#/$defs/decimal"}, "capital_KVA": {"$ref": "#/$defs/decimal"}, "structural_value": {"$ref": "#/$defs/decimal"}, "capital_cash_credit": {"$ref": "#/$defs/decimal"}, "binding": { "type": "string", "enum": ["risk_weighted", "leverage"] }, "chosen_action": { "type": "string", "enum": ["CSA", "substitute", "netting", "CDS", "hold", "release_substitution"] }, "action_effective": {"type": "boolean"} } }, "allocation": { "type": "object", "additionalProperties": false, "required": [ "objective_cost", "cash_raised", "required_cash", "feasible", "optimal", "lower_bound", "assignment", "evidence_dependent_unknowns" ], "properties": { "objective_cost": {"$ref": "#/$defs/decimal"}, "cash_raised": {"$ref": "#/$defs/decimal"}, "required_cash": {"$ref": "#/$defs/decimal"}, "feasible": {"type": "boolean"}, "optimal": {"type": "boolean"}, "lower_bound": {"$ref": "#/$defs/decimal"}, "assignment": { "type": "array", "items": { "type": "object", "additionalProperties": false, "required": ["lot_id", "lender_id"], "properties": { "lot_id": {"type": "string"}, "lender_id": {"type": "string"} } } }, "evidence_dependent_unknowns": { "type": "array", "items": {"type": "string", "minLength": 1} } } }, "evidence": {"$ref": "#/$defs/evidence"} } }, "liquidity": { "type": "object", "additionalProperties": false, "required": [ "branch", "branch_event", "default", "collateral_market_value", "collateral_cash_realisation", "call_due", "cash_available", "additional_borrowing", "residual_liquidity_shortfall", "reference_exists", "structure_decision", "correct_by_contract_not_label", "evidence" ], "properties": { "branch": { "type": "string", "enum": ["W1", "W2", "W3", "W4"] }, "branch_event": { "type": "string", "enum": ["joint_default", "transfer_ban_without_default", "joint_funding_EM_widening", "market_closed"] }, "default": {"type": "boolean"}, "collateral_market_value": {"$ref": "#/$defs/decimal"}, "collateral_cash_realisation": {"$ref": "#/$defs/decimal"}, "call_due": {"$ref": "#/$defs/decimal"}, "cash_available": {"$ref": "#/$defs/decimal"}, "additional_borrowing": {"$ref": "#/$defs/decimal"}, "residual_liquidity_shortfall": {"$ref": "#/$defs/decimal"}, "reference_exists": {"type": "boolean"}, "structure_decision": { "type": "string", "enum": ["issued_security_required", "DPR_transfer_risk", "joint_spread_funding_risk", "closed_market_cash_risk"] }, "correct_by_contract_not_label": {"type": "boolean"}, "evidence": {"$ref": "#/$defs/evidence"} } }, "accounting": { "type": "object", "additionalProperties": false, "required": ["recognition", "reserves", "evidence"], "properties": { "recognition": { "type": "object", "additionalProperties": false, "required": [ "unit", "internal_addon_observable", "day1_statutory_profit", "deferred_management_gain", "release_trigger", "gross_pots_reconciled_to_unit", "management_IFRS_bridge" ], "properties": { "unit": { "type": "string", "enum": ["retained_asset_financing", "standalone_derivative"] }, "internal_addon_observable": {"type": "boolean"}, "day1_statutory_profit": { "$ref": "#/$defs/decimal", "description": "Recognisable inception funding-opportunity gain before the separately paid service fee. This is not total statutory day-one P&L; the cash ledger includes the service expense and resulting equity reduction." }, "deferred_management_gain": {"$ref": "#/$defs/decimal"}, "release_trigger": { "type": "string", "enum": ["priced_time_or_observability", "spread_tightening", "arbitrary_time"] }, "gross_pots_reconciled_to_unit": {"type": "boolean"}, "management_IFRS_bridge": {"type": "boolean"} } }, "reserves": { "type": "object", "additionalProperties": false, "required": [ "D_open", "D_close", "X_open", "X_close", "carry", "clean_mtm", "deferral_release", "reserve_theta", "reserve_mtm", "reserve_action", "hedge_pnl", "cash_funding_drag", "reported_pnl", "independent_equity_change", "AVA", "CET1_after_AVA", "unfunded_reserve_balance", "terminal_reserve", "AVA_in_PnL", "all_obligations_settled", "reserve_charge_alone_draws_debt", "expected_release_counted_twice" ], "properties": { "D_open": {"$ref": "#/$defs/decimal"}, "D_close": {"$ref": "#/$defs/decimal"}, "X_open": {"$ref": "#/$defs/decimal"}, "X_close": {"$ref": "#/$defs/decimal"}, "carry": {"$ref": "#/$defs/decimal"}, "clean_mtm": {"$ref": "#/$defs/decimal"}, "deferral_release": {"$ref": "#/$defs/decimal"}, "reserve_theta": {"$ref": "#/$defs/decimal"}, "reserve_mtm": {"$ref": "#/$defs/decimal"}, "reserve_action": {"$ref": "#/$defs/decimal"}, "hedge_pnl": {"$ref": "#/$defs/decimal"}, "cash_funding_drag": {"$ref": "#/$defs/decimal"}, "reported_pnl": {"$ref": "#/$defs/decimal"}, "independent_equity_change": {"$ref": "#/$defs/decimal"}, "AVA": {"$ref": "#/$defs/decimal"}, "CET1_after_AVA": {"$ref": "#/$defs/decimal"}, "unfunded_reserve_balance": {"$ref": "#/$defs/decimal"}, "terminal_reserve": {"$ref": "#/$defs/decimal"}, "AVA_in_PnL": {"type": "boolean"}, "all_obligations_settled": {"type": "boolean"}, "reserve_charge_alone_draws_debt": {"type": "boolean"}, "expected_release_counted_twice": {"type": "boolean"} } }, "evidence": {"$ref": "#/$defs/evidence"} } } }, "$defs": { "decimal": { "type": "string", "pattern": "^-?(0|[1-9][0-9]*)(\\.[0-9]+)?(?![\\s\\S])", "description": "Finite decimal string without exponent notation, NaN or infinity." }, "evidence": { "type": "array", "description": "Required array. An empty array is structurally valid but fails every owner whose required panel citations are absent; the denominator stays 100.", "items": { "type": "object", "additionalProperties": false, "required": ["exhibit_id", "locator", "claim"], "properties": { "exhibit_id": {"type": "string"}, "locator": {"type": "string"}, "claim": { "type": "string", "pattern": "^[A-Z][A-Z0-9_]*(?![\\s\\S])", "description": "Exactly one financial reporting_panels panel_id for the selected case. Explanatory suffixes and free prose are rejected in claim; institutional reasoning uses typed premises in its own sections." } } } } } }