{ "allocation": { "domain_verified_counts": 51, "feasible": true, "lower_bound": "45953.29370334040685583575928817197213657", "objective_gap": "0", "recomputed_capital": "1010360.288170355003400074485975385471151", "recomputed_cash": "232300000.00", "recomputed_cost": "45953.29370334040685583575928817197213657", "violations": [] }, "branch": { "EM_mark_is_not_settlement_cash": true, "cash_journal_row": 1, "collateral_eligibility": "BB non-sovereign below the selected eligibility floor; not Lydora", "defaults": { "borrower_default": false, "collateral_issuer_default": false, "funding_provider_default": false, "hedge_provider_default": false, "reference_issuer_default": false }, "event_id": "EVENT_W3", "usable_facility_limit": "500000000" }, "evidence_scope": "Exact financial panel/locator integrity and source-entailing institutional assertions; no exact prose or recommendation matching", "financial_no_cross_obligation_candidate_dependencies": true, "institutional": { "approval_requests_are_permissions": false, "assessment_context": "existing_substitution_proposal", "client_outcome": { "approvals_satisfied": true, "bank_viable": true, "borrowing_ceiling_satisfied": true, "capital_shortfall": "0", "cash_delivered": "1000000000", "cash_required": "1000000000", "classification": "secured_borrowing", "classification_consistent": true, "client_executable": true, "contractual_spread": "0.04", "currency": "USD", "deadline_met": true, "deadline_shortfall": "0", "delivered_at": "2026-09-19T12:00:00Z", "failures": [], "funding_deadline": "2026-09-19", "inherited_delivery": true, "legal_form": "issued_security_pledge", "legal_form_allowed": true, "maximum_spread_satisfied": true, "party_id": "BORROWER", "return_obligation_met": true, "successful": true }, "legal_status": { "AAA_SECURITY": "conditional", "ACTUAL_FACILITY": "permitted", "CDS_AGREEMENT": "conditional", "COLL_AAA": "conditional", "COLL_DEP": "permitted", "CONDITIONAL_PREFUND": "permitted", "CUSTODY": "permitted", "DEP_LOAN": "permitted", "DEP_SECURITY": "permitted", "FUND_TRS": "permitted", "H_CSA": "permitted", "H_MASTER": "permitted", "LEGACY_FUNDING": "permitted", "LOAN_MASTER": "permitted", "MASTER": "permitted", "MASTER_P_CONSOLIDATED": "conditional", "NEW_CSA": "conditional", "OFFSET_MASTER": "permitted", "OFFSET_TRS": "permitted", "OIS_ACCOUNT": "permitted", "SALE_U": "permitted" } }, "panels": [ { "obligation": "O1", "panel_id": "RATES_INCEPTION", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Normal inception legal mark, not a stress mark: same quantity U, locked spread and reset-to-today quote; add old-reference adjustment once, derive positive exposure. Five-year funding-allocation DV01 is reported as a positive magnitude, mismatch as signed net long funding DV01. Funding at year five is the residual tenor. OIS reinvestment is the actual specified principal destination.", "snapshot_id": "BASE_CASH" }, { "obligation": "O2", "panel_id": "CREDIT_INCEPTION", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Accounting CVA is the normal funding-component default integral, not CVA capital. Own funding uses unsecured bonds over OIS; the separately reported basis is initial own bond minus own CDS. Baseline funding has no executed CSA and uses no cash VM. The positive legal contract mark drives exposure. Noncash reserve charges do not create borrowing. The separately executed prefunding experiment is required for the quadratic cash cost.", "snapshot_id": "BASE_CASH" }, { "obligation": "O2", "panel_id": "ACTUAL_CASH_STRESS", "passed": true, "scenario_ids": [ "AAA_LOSS" ], "selection_rule": "Present value of actual spread expense on settled-cash deficit borrowing over the full twenty-year ledger: reference credit move from cash_ledger.reference_stress_move, replacement funding move from cash_ledger.funding_stress_move, own spread from stressed_own_bond_spread. A conditional execution/capital gate is disclosed; no equity is injected. Provider and EM shocks are not added to this cash-only counterfactual.", "snapshot_id": "AAA_LOSS" }, { "obligation": "O2", "panel_id": "MARK_ONLY_CASH", "passed": true, "scenario_ids": [ "MARK_ONLY" ], "selection_rule": "Run the same cash ledger with zero reference-credit change and the quoted funding move, not an exposure-sized debt balance. The mark is noncash. All actual contractual coupon, fee and principal obligations remain.", "snapshot_id": "MARK_ONLY" }, { "obligation": "O2", "panel_id": "CONDITIONAL_PREFUNDING", "passed": true, "scenario_ids": [ "MARK_ONLY" ], "selection_rule": "PV of the primary executed exposure-prefunding facility spread cost alone; not secondary coupon-cash funding or base-book debt. The target is the positive incremental replacement funding mark, funded and deposited externally at OIS under its own balanced cash/equity snapshot.", "snapshot_id": "CONDITIONAL_PREFUNDING" }, { "obligation": "O3", "panel_id": "FUNDING_CAPITAL_INCEPTION", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Normal inception unmargined credit-only SA-CCR under the fictional classification letter; U was sold and is not collateral held against P. Compute RC, PFE, MF, supervisory duration, EAD and provider risk weight from legal terms and dated rules. No statutory incurred CVA write-down beyond the explicit canonical amount.", "snapshot_id": "CAPITAL_COMPARE" }, { "obligation": "O3", "panel_id": "COLLATERAL_CONTROLLED", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Use the independent Lydora controlled issued-sovereign loan in collateral_gate for every BOOK report. Same-issuer denial takes precedence over its below-threshold rating; compute unmitigated E*, RWA, capital, through-life KVA and required client capital spread. This is not W2 payment rights or the W3/W4 live deployment collateral. Branch eligibility must be exposed separately as a diagnostic, using the selected case legal records, without replacing this controlled O3 question.", "snapshot_id": "CAPITAL_COMPARE" }, { "obligation": "O4", "panel_id": "PROTECTION_CONTROLLED", "passed": true, "scenario_ids": [ "MARK_ONLY" ], "selection_rule": "Selected controlled five-year fixed-notional P CDS from H, eligible and designated for full BA-CVA, against the mark-only +100bp funding stress with P CDS held at its normal level. Pa and tail clocks are elapsed since actual CDS execution, not the two-business-day proposal date; observe inception, year one and year 4.75. ccr_capital and cva_capital are the selected post-execution initial stress-designated capital levels, never the proposal-state pre-execution level. No written-credit leverage notional offset is claimed for short protection. These are conditional action comparisons, not an assertion that CDS is executed in the base book.", "snapshot_id": "CAPITAL_COMPARE" }, { "obligation": "O5", "panel_id": "CAPACITY_CONTROLLED", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Same-balance controlled eligible-AAA-substitution comparator, after its quoted setup fee. Leverage exposure and minimum requirement use the normal FUND_TRS classification plus retained U, deployment and remaining cash. Tier1 is available qualifying capital after the setup fee and the explicitly allocated AVA. Binding compares recomputed risk-based and leverage requirements; it does not assert that this controlled panel is the actual base ledger.", "snapshot_id": "CAPITAL_COMPARE" }, { "obligation": "O5", "panel_id": "CAPITAL_COST_COMPONENT", "passed": true, "scenario_ids": [ "MARK_ONLY" ], "selection_rule": "Standalone funding CCR plus CVA KVA level under the mark-only +100bp quote stress, not whole-bank max-constraint KVA and not incremental KVA. Its scope is deliberately separate from the eligible-substitution leverage snapshot.", "snapshot_id": "MARK_ONLY" }, { "obligation": "O5", "panel_id": "CAPITAL_DECISION", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Requested decision is release_substitution in a controlled already-substituted portfolio: structural_value is its standalone reversal component NPV versus keeping the same substitution, with restored client yield, increased capital carrying cost, two-business-day execution lag and unwind fee. It is not a ranking against a different CDS/netting portfolio. The reversal is proposed, not effective at the observation date, and cannot execute without sufficient whole-book capital and actual settled title release. capital_cash_credit records no fictional capital-to-cash receipt.", "snapshot_id": "DECISION_COMPARE" }, { "obligation": "O5", "panel_id": "ALLOCATION_7D", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Choose the minimum disclosed seven-day financing objective among feasible assignments of every actual lot ID exactly once. Cash and capital are computed lot by lot in borrower direction with separate market and supervisory haircuts. The certificate is valid only within the published equal-small-lot/distinct-issuer/forced-large proof domain. Report evidence-dependent unknowns as an empty list for this complete synthetic annex; this does not resolve missing facts in a real market. Optional short-term bank risk weights are a separate countercase, not the selected conservative election.", "snapshot_id": "ALLOCATION_7D" }, { "obligation": "O7", "panel_id": "RECOGNITION_INCEPTION", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Failed-sale retained-asset financing is the stated accounting unit. Day-one statutory profit field is recognisable funding-opportunity gain before the separately paid service fee, not total day-one statutory P&L. Gross management D and X are reconciled out unless a separate statutory unit is evidenced. Deferral uses the frozen inception price-time schedule or evidenced observability, never spread tightening.", "snapshot_id": "BASE_CASH" }, { "obligation": "O8", "panel_id": "RESERVE_DIVERGENCE", "passed": true, "scenario_ids": [ "YEAR1_ROLL", "YEAR1_RESERVE" ], "selection_rule": "Instantaneous remeasurement at year one after the normal cash/valuation roll: open at core year1_roll, close at year1_stress with only funding quote +100bp and P CDS +80bp. Reference price, cash, hedge, EM, OIS and actual obligations are unchanged. D stays on the frozen A19 schedule; X remeasures. No elapsed time means no new carry or theta. P&L is compared with the independently posted management journal/equity change. The separate whole-book first-year carry illustration is not added to this interval.", "snapshot_id": "YEAR1_RESERVE" }, { "obligation": "O8", "panel_id": "PRUDENT_VALUATION", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Separate identified recognised-fair-value model-risk exposures, uniform exit-cost uncertainty and same-source accounting prudence; EU-style incremental Method 1 AVA and CET1 deduction. No transfer of this panel capital, cash or AVA into the year-one remeasurement. An increased mean with unchanged uncertainty width need not increase incremental AVA.", "snapshot_id": "AVA_CONTROLLED" }, { "obligation": "O8", "panel_id": "TERMINAL_SETTLEMENT", "passed": true, "scenario_ids": [ "TERMINAL_DISPUTE" ], "selection_rule": "Observe the actual unresolved provider claim after contractual year-twenty runoff. Its contractual notional is not reset to zero by age. No later cash settlement or final write-off is assumed. A reserve remains until the specifically evidenced resolution occurs, even if the scheduled core funding/CVA/KVA profiles have ended.", "snapshot_id": "TERMINAL_DISPUTE" }, { "obligation": "O6", "panel_id": "BRANCH_LIQUIDITY", "passed": true, "scenario_ids": [ "EVENT" ], "selection_rule": "Only the selected case branch_event, its exact default flags, title/instrument existence, quotes, account availability and settlement cutoffs determine this panel. reference_exists asks whether the selected deployment collateral is an issued security, never whether funding U exists. No security or predefault price is invented for contingent issuance or future-payment rights. For W3 derive the actual first-quarter total-return cash call from the canonical ledger and joint curve state; for other branches use the independently sourced operating call. Borrowing is limited by the actually available named facility. Separately expose branch collateral eligibility/reason diagnostics from its own legal facts, without replacing the O3 Lydora comparator.", "snapshot_id": "BRANCH_LIQUIDITY" }, { "obligation": "O9", "panel_id": "LEGAL", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Use current inception source facts, client instructions and the scoped desk mandate. Judge conclusion-specific typed premises and supported alternatives independently; this section is not a numeric gold-equality comparison or a simultaneous later cash scenario.", "snapshot_id": "BASE_CASH" }, { "obligation": "O10", "panel_id": "COMPLIANCE", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Use current inception source facts, client instructions and the scoped desk mandate. Judge conclusion-specific typed premises and supported alternatives independently; this section is not a numeric gold-equality comparison or a simultaneous later cash scenario.", "snapshot_id": "BASE_CASH" }, { "obligation": "O11", "panel_id": "STRUCTURE", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Use current inception source facts, client instructions and the scoped desk mandate. Judge conclusion-specific typed premises and supported alternatives independently; this section is not a numeric gold-equality comparison or a simultaneous later cash scenario.", "snapshot_id": "BASE_CASH" }, { "obligation": "O12", "panel_id": "RECOMMENDATION", "passed": true, "scenario_ids": [ "BASE" ], "selection_rule": "Use current inception source facts, client instructions and the scoped desk mandate. Judge conclusion-specific typed premises and supported alternatives independently; this section is not a numeric gold-equality comparison or a simultaneous later cash scenario.", "snapshot_id": "BASE_CASH" } ], "qualification_coverage": { "cash_conservation_breach": { "accepted_action_enforcement": "pending_settled_desk", "status": "bounded_report_assertions" }, "double_pledge": { "accepted_action_enforcement": "pending_settled_desk", "status": "bounded_report_assertions" }, "double_sale": { "accepted_action_enforcement": "pending_settled_desk", "status": "not_expressible" }, "erased_economic_tail": { "accepted_action_enforcement": "pending_settled_desk", "status": "bounded_report_assertions" }, "fabricated_capacity": { "accepted_action_enforcement": "pending_settled_desk", "status": "bounded_report_assertions" }, "illegal_reuse": { "accepted_action_enforcement": "pending_settled_desk", "status": "bounded_report_assertions" }, "ineligible_mitigation": { "accepted_action_enforcement": "pending_settled_desk", "status": "bounded_report_assertions" }, "phantom_cash": { "accepted_action_enforcement": "pending_settled_desk", "status": "bounded_report_assertions" }, "title_conservation_breach": { "accepted_action_enforcement": "pending_settled_desk", "status": "bounded_report_assertions" }, "unfunded_settlement": { "accepted_action_enforcement": "pending_settled_desk", "status": "bounded_report_assertions" } }, "qualification_scope": "Financial fatal-assertion checks plus institutional blockers; not approval to execute the underlying book" }