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breakpoint"},"rdenowcast":{"ok":true,"ours_bp_per_1pct":-0.301,"nyfed_bp_per_1pct":-0.268,"nyfed_band_68":[-0.439,-0.093],"nyfed_band_95":[-0.592,0.085],"divergence_bp":-0.034,"within_68_band":true,"direction_agree":true,"nyfed_zero_in_68_band":false,"our_side_of_kink":"below","nyfed_asof":"2026-07-06","kink_asof":"2026-08-05","nowcast_lead_days":30,"scorecard":[{"cutoff":"2025-02-25","nyfed_bp_per_1pct_current_vintage":-0.079,"nyfed_band_68_current_vintage":[-0.273,0.125],"ours_bp_per_1pct":-0.352,"gradable":true,"diff_bp":-0.273,"within_band":false,"direction_agree":true},{"cutoff":"2025-03-21","nyfed_bp_per_1pct_current_vintage":-0.168,"nyfed_band_68_current_vintage":[-0.374,0.047],"ours_bp_per_1pct":0.0,"gradable":true,"diff_bp":0.168,"within_band":true,"direction_agree":false},{"cutoff":"2025-04-23","nyfed_bp_per_1pct_current_vintage":-0.196,"nyfed_band_68_current_vintage":[-0.369,-0.009],"ours_bp_per_1pct":-0.344,"gradable":true,"diff_bp":-0.148,"within_band":true,"direction_agree":true},{"cutoff":"2025-05-27","nyfed_bp_per_1pct_current_vintage":-0.195,"nyfed_band_68_current_vintage":[-0.362,-0.025],"ours_bp_per_1pct":-0.348,"gradable":true,"diff_bp":-0.153,"within_band":true,"direction_agree":true},{"cutoff":"2025-06-23","nyfed_bp_per_1pct_current_vintage":-0.171,"nyfed_band_68_current_vintage":[-0.347,0.008],"ours_bp_per_1pct":0.0,"gradable":true,"diff_bp":0.171,"within_band":true,"direction_agree":false},{"cutoff":"2025-07-25","nyfed_bp_per_1pct_current_vintage":-0.193,"nyfed_band_68_current_vintage":[-0.357,-0.005],"ours_bp_per_1pct":-0.35,"gradable":true,"diff_bp":-0.158,"within_band":true,"direction_agree":true},{"cutoff":"2025-08-27","nyfed_bp_per_1pct_current_vintage":-0.136,"nyfed_band_68_current_vintage":[-0.334,0.059],"ours_bp_per_1pct":-0.336,"gradable":true,"diff_bp":-0.2,"within_band":false,"direction_agree":true},{"cutoff":"2025-09-23","nyfed_bp_per_1pct_current_vintage":-0.069,"nyfed_band_68_current_vintage":[-0.281,0.15],"ours_bp_per_1pct":-0.32,"gradable":true,"diff_bp":-0.251,"within_band":false,"direction_agree":true},{"cutoff":"2025-10-27","nyfed_bp_per_1pct_current_vintage":0.191,"nyfed_band_68_current_vintage":[-0.047,0.442],"ours_bp_per_1pct":-0.299,"gradable":true,"diff_bp":-0.49,"within_band":false,"direction_agree":false},{"cutoff":"2025-11-21","nyfed_bp_per_1pct_current_vintage":0.279,"nyfed_band_68_current_vintage":[0.022,0.546],"ours_bp_per_1pct":-0.295,"gradable":true,"diff_bp":-0.574,"within_band":false,"direction_agree":false},{"cutoff":"2025-12-26","nyfed_bp_per_1pct_current_vintage":0.257,"nyfed_band_68_current_vintage":[-0.005,0.516],"ours_bp_per_1pct":-0.307,"gradable":true,"diff_bp":-0.563,"within_band":false,"direction_agree":false},{"cutoff":"2026-01-23","nyfed_bp_per_1pct_current_vintage":0.08,"nyfed_band_68_current_vintage":[-0.147,0.334],"ours_bp_per_1pct":-0.299,"gradable":true,"diff_bp":-0.379,"within_band":false,"direction_agree":false},{"cutoff":"2026-02-19","nyfed_bp_per_1pct_current_vintage":0.172,"nyfed_band_68_current_vintage":[-0.064,0.428],"ours_bp_per_1pct":-0.299,"gradable":true,"diff_bp":-0.471,"within_band":false,"direction_agree":false},{"cutoff":"2026-03-24","nyfed_bp_per_1pct_current_vintage":0.182,"nyfed_band_68_current_vintage":[-0.043,0.431],"ours_bp_per_1pct":-0.307,"gradable":true,"diff_bp":-0.488,"within_band":false,"direction_agree":false},{"cutoff":"2026-04-24","nyfed_bp_per_1pct_current_vintage":-0.071,"nyfed_band_68_current_vintage":[-0.248,0.124],"ours_bp_per_1pct":-0.289,"gradable":true,"diff_bp":-0.218,"within_band":false,"direction_agree":true},{"cutoff":"2026-05-20","nyfed_bp_per_1pct_current_vintage":-0.304,"nyfed_band_68_current_vintage":[-0.483,-0.121],"ours_bp_per_1pct":-0.311,"gradable":true,"diff_bp":-0.007,"within_band":true,"direction_agree":true},{"cutoff":"2026-06-24","nyfed_bp_per_1pct_current_vintage":-0.312,"nyfed_band_68_current_vintage":[-0.493,-0.115],"ours_bp_per_1pct":-0.297,"gradable":true,"diff_bp":0.014,"within_band":true,"direction_agree":true},{"cutoff":"2026-07-06","nyfed_bp_per_1pct_current_vintage":-0.268,"nyfed_band_68_current_vintage":[-0.439,-0.093],"ours_bp_per_1pct":-0.299,"gradable":true,"diff_bp":-0.031,"within_band":true,"direction_agree":true}],"scorecard_summary":{"n":18,"within_band":8,"direction_agree":10,"mean_abs_diff_bp":0.264,"graded_against":"NY Fed current vintage, not their print as of each cutoff"},"asof":"2026-08-05","method":"our hinge fit mapped to NY Fed RDE units: implied bp per 1 pct reserve change = -slope*x/100 below the kink, 0 above (x = reserves/GDP); latest print compared against their published median and bands; scorecard = walk-forward refits truncated to each monthly release period, graded against their current-vintage published history because no earlier vintage is published","caveats":["official series: NY Fed Reserve Demand Elasticity, methodology by Afonso, Giannone, La Spada and Williams; monthly release, 68/95 pct bands as published","units differ under the hood: they regress fed funds-IORB, we fit SOFR-IORB; the mapping -slope*x/100 assumes GDP fixed over the move","our hinge prints exactly 0 above the kink where their smooth coefficient can print small negatives; disagreement near the kink is expected, disagreement deep in either region is signal","scorecard cutoffs use their last obs date per month, which our public inputs predate by weeks at each release; GDP truncation by obs date is roughly one quarter optimistic on availability","the scorecard is point-in-time on our side only: we refit on data truncated to each cutoff, then grade against the NY Fed's current vintage, which they re-estimate across the whole history at every monthly release; their published file carries a date and five percentile columns and nothing else, no vintage stamp and no release date, so the number that was actually on the wire at each cutoff cannot be recovered; the graded rows read their later revisions as if we had them, and the size of that effect is not measurable from the public file"]},"weather":{"ok":true,"asof":"2026-08-10","current_reserves_b":2993.3,"fed_drift_per_bday_b":0.58,"path":[["2026-08-11",2998.8,2980.3,3019.5],["2026-08-12",3004.2,2974.5,3033.6],["2026-08-13",3009.5,2970.2,3044.2],["2026-08-14",3010.8,2963.5,3049.1],["2026-08-17",3000.2,2947.1,3042.2],["2026-08-18",3008.3,2947.3,3053.9],["2026-08-19",3005.5,2939.0,3056.0],["2026-08-20",3000.5,2929.7,3054.5],["2026-08-21",3004.7,2930.8,3059.8],["2026-08-24",3010.4,2929.7,3071.5],["2026-08-25",3014.9,2925.4,3078.8],["2026-08-26",3016.6,2917.6,3085.5],["2026-08-27",3014.8,2908.4,3086.6],["2026-08-28",3013.9,2904.8,3089.4],["2026-08-31",3013.8,2898.1,3092.6],["2026-09-01",2973.5,2851.6,3059.2],["2026-09-02",3027.9,2898.8,3115.9],["2026-09-03",3028.4,2895.2,3115.7],["2026-09-04",3052.7,2917.3,3145.4],["2026-09-07",3053.1,2916.7,3148.6],["2026-09-08",3053.7,2912.0,3146.9],["2026-09-09",3058.3,2912.6,3151.2],["2026-09-10",3064.1,2914.1,3161.0],["2026-09-11",3069.5,2916.9,3169.1],["2026-09-14",3070.9,2912.0,3172.2],["2026-09-15",3046.3,2885.5,3149.8],["2026-09-16",3021.8,2855.2,3124.5],["2026-09-17",3011.1,2838.6,3113.4],["2026-09-18",3019.3,2845.1,3121.8],["2026-09-21",3023.5,2844.0,3123.2],["2026-09-22",3023.2,2839.7,3125.2],["2026-09-23",3029.3,2840.8,3127.5],["2026-09-24",3035.0,2844.3,3138.5],["2026-09-25",3039.5,2846.2,3141.6],["2026-09-28",3038.6,2845.3,3139.5],["2026-09-29",3037.7,2838.9,3138.8],["2026-09-30",3028.1,2829.9,3131.8],["2026-10-01",2987.8,2787.3,3088.8],["2026-10-02",3042.2,2840.6,3143.1],["2026-10-05",3047.4,2842.8,3147.5],["2026-10-06",3046.8,2843.2,3148.9],["2026-10-07",3047.2,2839.5,3148.3]],"min_forecast_b":2973.5,"min_forecast_date":"2026-09-01","crunch_windows":[{"date":"2026-08-18","forecast_reserves_b":3008.3,"worst_case_b":2947.3,"settlement_b":282.0,"reason":"$282B auction settlement while reserves sit below the estimated kink"},{"date":"2026-08-31","forecast_reserves_b":3013.8,"worst_case_b":2898.1,"settlement_b":null,"reason":"calendar pressure date while reserves sit below the estimated kink"},{"date":"2026-09-15","forecast_reserves_b":3046.3,"worst_case_b":2885.5,"settlement_b":null,"reason":"calendar pressure date while reserves sit below the estimated kink"},{"date":"2026-09-16","forecast_reserves_b":3021.8,"worst_case_b":2855.2,"settlement_b":null,"reason":"calendar pressure date while reserves sit below the estimated kink"},{"date":"2026-09-30","forecast_reserves_b":3028.1,"worst_case_b":2829.9,"settlement_b":null,"reason":"calendar pressure date while reserves sit below the estimated kink"}],"upcoming_settlements":[{"date":"2026-08-17","amount_b":67.0},{"date":"2026-08-18","amount_b":282.0}],"method":"reserves + trailing-8wk WALCL drift - seasonal dTGA (day-of-month median buckets, tax/qtr-end aware); bands = 20/80% backtested cumulative error; auction settlement days >= $90B flagged"},"supplydesk":{"ok":true,"asof":"2026-08-12","horizon_end":"2026-09-09","announced_through":"2026-08-31","rows":[{"date":"2026-08-13","bills_gross_b":282.1,"coupons_gross_b":0.0,"gross_b":282.1,"bills_maturing_b":261.3,"coupons_maturing_b":0.0,"maturing_b":261.3,"bills_net_b":20.9,"coupons_net_b":0.0,"net_new_cash_b":20.9,"projected":false,"amount_estimated":false,"issuance_incomplete":false},{"date":"2026-08-17","bills_gross_b":0.0,"coupons_gross_b":139.7,"gross_b":139.7,"bills_maturing_b":0.0,"coupons_maturing_b":130.9,"maturing_b":130.9,"bills_net_b":0.0,"coupons_net_b":8.7,"net_new_cash_b":8.7,"projected":false,"amount_estimated":false,"issuance_incomplete":false},{"date":"2026-08-18","bills_gross_b":287.4,"coupons_gross_b":0.0,"gross_b":287.4,"bills_maturing_b":265.6,"coupons_maturing_b":0.0,"maturing_b":265.6,"bills_net_b":21.8,"coupons_net_b":0.0,"net_new_cash_b":21.8,"projected":false,"amount_estimated":false,"issuance_incomplete":false},{"date":"2026-08-20","bills_gross_b":287.1,"coupons_gross_b":0.0,"gross_b":287.1,"bills_maturing_b":269.7,"coupons_maturing_b":0.0,"maturing_b":269.7,"bills_net_b":17.4,"coupons_net_b":0.0,"net_new_cash_b":17.4,"projected":false,"amount_estimated":true,"issuance_incomplete":false},{"date":"2026-08-25","bills_gross_b":287.4,"coupons_gross_b":76.6,"gross_b":364.0,"bills_maturing_b":267.4,"coupons_maturing_b":0.0,"maturing_b":267.4,"bills_net_b":20.0,"coupons_net_b":76.6,"net_new_cash_b":96.6,"projected":true,"amount_estimated":false,"issuance_incomplete":false},{"date":"2026-08-27","bills_gross_b":282.1,"coupons_gross_b":0.0,"gross_b":282.1,"bills_maturing_b":271.2,"coupons_maturing_b":0.0,"maturing_b":271.2,"bills_net_b":10.9,"coupons_net_b":0.0,"net_new_cash_b":10.9,"projected":true,"amount_estimated":false,"issuance_incomplete":false},{"date":"2026-08-31","bills_gross_b":0.0,"coupons_gross_b":163.9,"gross_b":163.9,"bills_maturing_b":0.0,"coupons_maturing_b":179.3,"maturing_b":179.3,"bills_net_b":0.0,"coupons_net_b":-15.4,"net_new_cash_b":-15.4,"projected":true,"amount_estimated":true,"issuance_incomplete":false},{"date":"2026-09-01","bills_gross_b":287.4,"coupons_gross_b":0.0,"gross_b":287.4,"bills_maturing_b":275.2,"coupons_maturing_b":0.0,"maturing_b":275.2,"bills_net_b":12.2,"coupons_net_b":0.0,"net_new_cash_b":12.2,"projected":true,"amount_estimated":false,"issuance_incomplete":false},{"date":"2026-09-03","bills_gross_b":338.2,"coupons_gross_b":42.0,"gross_b":380.2,"bills_maturing_b":326.0,"coupons_maturing_b":0.0,"maturing_b":326.0,"bills_net_b":12.2,"coupons_net_b":42.0,"net_new_cash_b":54.2,"projected":true,"amount_estimated":false,"issuance_incomplete":false},{"date":"2026-09-08","bills_gross_b":287.4,"coupons_gross_b":0.0,"gross_b":287.4,"bills_maturing_b":285.6,"coupons_maturing_b":0.0,"maturing_b":285.6,"bills_net_b":1.7,"coupons_net_b":0.0,"net_new_cash_b":1.7,"projected":true,"amount_estimated":false,"issuance_incomplete":false}],"totals":{"gross_b":2761.3,"maturing_b":2532.2,"net_new_cash_b":229.1,"bills_net_b":117.1,"coupons_net_b":111.9},"heaviest_day":{"date":"2026-08-25","net_new_cash_b":96.6},"method":"announced offerings by settlement date net of maturing (auction results summed by maturity date + MSPD overlay for pre-window coupons); last-size-at-cadence house projection past the announced horizon","caveats":["rows marked issuance_incomplete sit past the announced horizon on a date whose maturities are known but whose refunding issuance is not projected (quarterly originals have no short cadence to extrapolate); their net is an artifact, not a forecast, and should not be read as a drain","maturing includes Fed SOMA holdings, which roll over at auction; net new cash to private investors is smaller on SOMA-heavy dates","Treasury buyback retirements are not netted from the maturing stock","TBA offering amounts are filled with the tenor's last realized size (amount_estimated=true)","projected rows carry each tenor's last size forward at its observed cadence; tenors without a regular cadence under 5 weeks (quarterly refunding originals, one-off CMBs) are not projected"]},"runway":{"ok":true,"asof":"2026-08-05","scenarios":{"base":{"path":[["2026-08-05",2993.3],["2026-08-12",3041.2],["2026-08-19",3001.8],["2026-08-26",3006.0],["2026-09-02",3010.2],["2026-09-09",3014.4],["2026-09-16",3018.7],["2026-09-23",3022.9],["2026-09-30",3027.1],["2026-10-07",3031.3],["2026-10-14",3035.6],["2026-10-21",3039.8],["2026-10-28",3044.0],["2026-11-04",3048.2]],"crossing_date":"2026-08-05","crossing_week":0,"end_reserves_b":3048.2,"verdict":"already below the estimated kink at the start of the window"},"fast_drain":{"path":[["2026-08-05",2993.3],["2026-08-12",3037.1],["2026-08-19",2993.7],["2026-08-26",2993.8],["2026-09-02",2994.0],["2026-09-09",2994.1],["2026-09-16",2994.3],["2026-09-23",2994.4],["2026-09-30",2994.6],["2026-10-07",2994.7],["2026-10-14",2994.9],["2026-10-21",2995.0],["2026-10-28",2995.2],["2026-11-04",2995.4]],"crossing_date":"2026-08-05","crossing_week":0,"end_reserves_b":2995.4,"verdict":"already below the estimated kink at the start of the window"},"slow":{"path":[["2026-08-05",2993.3],["2026-08-12",3041.2],["2026-08-19",3003.0],["2026-08-26",3007.3],["2026-09-02",3011.5],["2026-09-09",3015.7],["2026-09-16",3019.9],["2026-09-23",3024.1],["2026-09-30",3028.4],["2026-10-07",3032.6],["2026-10-14",3036.8],["2026-10-21",3041.0],["2026-10-28",3045.2],["2026-11-04",3049.5]],"crossing_date":"2026-08-05","crossing_week":0,"end_reserves_b":3049.5,"verdict":"already below the estimated kink at the start of the window"}},"assumptions":{"horizon_weeks":13,"trailing_drift_b_per_week":-3.0,"drift_window_weeks":13,"qt_pace_b_per_month":0.0,"qt_b_per_week":-0.0,"tga_now_b":954.1,"tga_median_b":860.0,"tga_p75_b":912.9,"tga_window_obs":126,"rrp_now_b":1.2,"slow_rrp_buffer_frac":0.5,"settlements_gross_b":349.0,"settlement_passthrough":0.25,"kink_reserves_b":3703.4,"start_reserves_b":2993.3,"start_date":"2026-08-05"},"vintage_record":{"schema":1,"asof":"2026-08-05","kink_reserves_b":3703.4,"start_reserves_b":2993.3,"crossings":{"base":"2026-08-05","fast_drain":"2026-08-05","slow":"2026-08-05"},"paths":{"base":[["2026-08-05",2993.3],["2026-08-12",3041.2],["2026-08-19",3001.8],["2026-08-26",3006.0],["2026-09-02",3010.2],["2026-09-09",3014.4],["2026-09-16",3018.7],["2026-09-23",3022.9],["2026-09-30",3027.1],["2026-10-07",3031.3],["2026-10-14",3035.6],["2026-10-21",3039.8],["2026-10-28",3044.0],["2026-11-04",3048.2]],"fast_drain":[["2026-08-05",2993.3],["2026-08-12",3037.1],["2026-08-19",2993.7],["2026-08-26",2993.8],["2026-09-02",2994.0],["2026-09-09",2994.1],["2026-09-16",2994.3],["2026-09-23",2994.4],["2026-09-30",2994.6],["2026-10-07",2994.7],["2026-10-14",2994.9],["2026-10-21",2995.0],["2026-10-28",2995.2],["2026-11-04",2995.4]],"slow":[["2026-08-05",2993.3],["2026-08-12",3041.2],["2026-08-19",3003.0],["2026-08-26",3007.3],["2026-09-02",3011.5],["2026-09-09",3015.7],["2026-09-16",3019.9],["2026-09-23",3024.1],["2026-09-30",3028.4],["2026-10-07",3032.6],["2026-10-14",3036.8],["2026-10-21",3041.0],["2026-10-28",3045.2],["2026-11-04",3049.5]]},"assumptions":{"horizon_weeks":13,"trailing_drift_b_per_week":-3.0,"drift_window_weeks":13,"qt_pace_b_per_month":0.0,"qt_b_per_week":-0.0,"tga_now_b":954.1,"tga_median_b":860.0,"tga_p75_b":912.9,"tga_window_obs":126,"rrp_now_b":1.2,"slow_rrp_buffer_frac":0.5,"settlements_gross_b":349.0,"settlement_passthrough":0.25,"kink_reserves_b":3703.4,"start_reserves_b":2993.3,"start_date":"2026-08-05"}},"caveats":["arithmetic on stated assumptions, not a forecast of policy","the trailing drift already embeds recent QT, settlement and fiscal flows, so the settlement term enters as a deviation from the calendar's own weekly mean (shape, not level) and only the explicit QT pace can still double count against the drift","settlement drains counted at 25% of gross (rollover assumption) before demeaning"],"method":"13-week weekly reserve identity: trailing 13w drift + stated QT pace + TGA reversion (median / p75) + settlement drains at 25 pct passthrough; RRP buffers half the drain in the slow 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per rate (bp), 250d z, blend SOFR .5/TGCR .3/BGCR .2, EWMA(5)"},"stigma":{"ok":true,"asof":"2026-08-11","ceiling":{"source":"srf_rate","latest_pct":3.75},"bp_days_above_ceiling":{"p99_last_bp":0.0,"p75_last_bp":0.0,"p99_sum20_bp_days":0.0,"p75_sum20_bp_days":0.0,"days_above_20d":0},"takeup":{"latest_b":0.0,"asof":"2026-08-12","max20_b":0.1,"share_of_facility_pct":0.0,"facility_scale_b":500.0,"classification":"de_minimis"},"stigma_score":0.0,"verdict":"ceiling holding: no distribution mass observed above the offering rate","letter_line":"Repo held under the SRF ceiling for all of the last 20 sessions with SRF take-up at $0.0B, stigma score 0 of 100, the backstop is capping 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futures-only; pair=min(levShort,amLong)xface; DV01 per-contract constants in config; scenarios assume 10% forced unwind vs DVP daily volume; net=(levLong minus levShort)xface rides alongside gross, per contract and total; totals and the per-contract table are both dated asof, the last report date carrying UST rows (by_contract_asof repeats it)"},"crowding":{"ok":true,"rows":[{"contract":"UST 2Y NOTE","lev_net_share_oi":-0.303,"z":2.41,"pctl":100.0,"asof":"2026-08-04"},{"contract":"SOFR-3M","lev_net_share_oi":-0.193,"z":-2.02,"pctl":4.0,"asof":"2026-08-04"},{"contract":"UST 10Y NOTE","lev_net_share_oi":-0.424,"z":-1.23,"pctl":12.0,"asof":"2026-08-04"},{"contract":"ULTRA UST 10Y","lev_net_share_oi":-0.167,"z":-1.17,"pctl":12.0,"asof":"2026-08-04"},{"contract":"UST 5Y NOTE","lev_net_share_oi":-0.347,"z":1.0,"pctl":76.0,"asof":"2026-08-04"},{"contract":"SOFR-1M","lev_net_share_oi":-0.249,"z":-0.91,"pctl":17.0,"asof":"2026-08-04"},{"contract":"FED 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combined official footprint still fell $98.5B to $2,949B, 103% of the custody drop leaving the official sector rather than moving inside 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726.3,321.1,3047.4],["2026-05-13",2687.1,322.6,3009.7],["2026-05-20",2666.8,317.8,2984.6],["2026-05-27",2679.7,299.0,2978.7],["2026-06-03",2647.0,323.7,2970.7],["2026-06-10",2633.4,316.9,2950.3],["2026-06-17",2631.3,328.8,2960.1],["2026-06-24",2636.9,332.0,2968.9],["2026-07-01",2625.9,337.4,2963.3],["2026-07-08",2597.3,345.1,2942.4],["2026-07-15",2597.9,353.9,2951.8],["2026-07-22",2622.7,352.3,2975.1],["2026-07-29",2656.6,334.5,2991.1],["2026-08-05",2631.1,317.7,2948.8]],"caveats":["custody is par value held at FRBNY for foreign officials, not the whole official position; Euroclear and other offshore custody sit outside it","weekly H.4.1 grid published Thursday for Wednesday, so the read lags the tape"],"method":"13w change per pool on the W-WED grid, $B, with a 5B flat band: custody down with foreign RRP up or flat = rotation; both down = retreat; custody up = build (classic build has both pools rising); inside the band = steady; footprint = custody + foreign RRP; a rotation whose footprint also fell by at least the 5B band and by more than 25% of the custody drop (footprint_drain_share > 0.25) is a partial rotation, that share of the money having left the official sector rather than moved inside it; FIMA repo drawn > 1B flags officials borrowing instead of selling"},"auctions":{"ok":true,"asof":"2026-08-12","digestion_index":-0.2,"recent_auctions":[{"date":"2026-07-29","tenor":"Bill 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z vs trailing history: 0.5(-btc_z)+0.3(pdShare_z)+0.2(-indirect_z); bills x0.35; EWMA(20)"},"reportcard":{"ok":true,"asof":"2026-08-12","funding_asof":"2026-08-11","n_cards":12,"window_bd":[0,1,3,5],"cards":[{"slug":"2026-08-12-17w-bill","permalink":"/auction/2026-08-12-17w-bill","auction_date":"2026-08-12","issue_date":"2026-08-18","tenor":"Bill 17-Week","display":"17w bill","security_type":"Bill","security_term":"17-Week","cusip":"912797WF0","size_b":77.4,"grades":{"bid_to_cover":3.16,"btc_z":0.61,"pd_share":0.287,"pd_share_z":-1.25,"indirect_share":0.5747,"indirect_z":0.25,"composite_z":-0.73,"grade":"B"},"event_study":{"status":"open","reason":"the funding tape has not reached this 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8w bill on 2026-08-06 graded C, bid to cover 2.74 with dealers taking 36 percent, and the funding window is still open at 3 of 4 marks, so the plumbing is not scored yet."},{"slug":"2026-08-06-4w-bill","permalink":"/auction/2026-08-06-4w-bill","auction_date":"2026-08-06","issue_date":"2026-08-11","tenor":"Bill 4-Week","display":"4w bill","security_type":"Bill","security_term":"4-Week","cusip":"912797VB0","size_b":115.1,"grades":{"bid_to_cover":2.68,"btc_z":-0.71,"pd_share":0.356,"pd_share_z":-0.4,"indirect_share":0.4952,"indirect_z":0.17,"composite_z":0.2,"grade":"C"},"event_study":{"status":"open","baseline_bp":-1.0,"baseline_date":"2026-08-05","horizons":[{"h":"T+0","date":"2026-08-06","spread_bp":0.0,"change_bp":1.0,"status":"printed"},{"h":"T+1","date":"2026-08-07","spread_bp":-3.0,"change_bp":-2.0,"status":"printed"},{"h":"T+3","date":"2026-08-11","spread_bp":-1.0,"change_bp":0.0,"status":"printed"},{"h":"T+5","date":null,"spread_bp":null,"change_bp":null,"status":"open"}],"marks_in":3,"peak_change_bp":-2.0,"max_widening_bp":1.0,"change_t5_bp":null,"srf":{"status":"open","max_b":0.1,"sum_b":0.1,"days_with_takeup":0,"window":["2026-08-06","2026-08-12"]},"reserves":{"status":"open","week_ending":null,"level_b":null,"change_b":null}},"fatigue":{"verdict":"softening","trend_pp_per_auction":-0.76,"latest_indirect_pct":49.5},"verdict":"The 4w bill on 2026-08-06 graded C, bid to cover 2.68 with dealers taking 36 percent, and the funding window is still open at 3 of 4 marks, so the plumbing is not scored yet."},{"slug":"2026-08-05-17w-bill","permalink":"/auction/2026-08-05-17w-bill","auction_date":"2026-08-05","issue_date":"2026-08-11","tenor":"Bill 17-Week","display":"17w bill","security_type":"Bill","security_term":"17-Week","cusip":"912797WE3","size_b":75.4,"grades":{"bid_to_cover":3.19,"btc_z":0.76,"pd_share":0.277,"pd_share_z":-1.43,"indirect_share":0.6103,"indirect_z":0.76,"composite_z":-0.96,"grade":"B"},"event_study":{"status":"open","baseline_bp":1.0,"baseline_date":"2026-08-04","horizons":[{"h":"T+0","date":"2026-08-05","spread_bp":-1.0,"change_bp":-2.0,"status":"printed"},{"h":"T+1","date":"2026-08-06","spread_bp":0.0,"change_bp":-1.0,"status":"printed"},{"h":"T+3","date":"2026-08-10","spread_bp":-2.0,"change_bp":-3.0,"status":"printed"},{"h":"T+5","date":null,"spread_bp":null,"change_bp":null,"status":"open"}],"marks_in":3,"peak_change_bp":-3.0,"max_widening_bp":-1.0,"change_t5_bp":null,"srf":{"status":"open","max_b":0.1,"sum_b":0.1,"days_with_takeup":0,"window":["2026-08-05","2026-08-12"]},"reserves":{"status":"open","week_ending":null,"level_b":null,"change_b":null}},"fatigue":{"verdict":"firming","trend_pp_per_auction":0.71,"latest_indirect_pct":57.5},"verdict":"The 17w bill on 2026-08-05 graded B, bid to cover 3.19 with dealers taking 28 percent, and the funding window is still open at 3 of 4 marks, so the plumbing is not scored yet."},{"slug":"2026-08-04-52w-bill","permalink":"/auction/2026-08-04-52w-bill","auction_date":"2026-08-04","issue_date":"2026-08-06","tenor":"Bill 52-Week","display":"52w bill","security_type":"Bill","security_term":"52-Week","cusip":"912797VR5","size_b":56.1,"grades":{"bid_to_cover":3.62,"btc_z":1.56,"pd_share":0.243,"pd_share_z":-1.23,"indirect_share":0.6382,"indirect_z":1.2,"composite_z":-1.39,"grade":"A"},"event_study":{"status":"complete","baseline_bp":0.0,"baseline_date":"2026-08-03","horizons":[{"h":"T+0","date":"2026-08-04","spread_bp":1.0,"change_bp":1.0,"status":"printed"},{"h":"T+1","date":"2026-08-05","spread_bp":-1.0,"change_bp":-1.0,"status":"printed"},{"h":"T+3","date":"2026-08-07","spread_bp":-3.0,"change_bp":-3.0,"status":"printed"},{"h":"T+5","date":"2026-08-11","spread_bp":-1.0,"change_bp":-1.0,"status":"printed"}],"marks_in":4,"peak_change_bp":-3.0,"max_widening_bp":1.0,"change_t5_bp":-1.0,"srf":{"status":"complete","max_b":0.1,"sum_b":0.1,"days_with_takeup":0,"window":["2026-08-04","2026-08-11"]},"reserves":{"status":"open","week_ending":null,"level_b":null,"change_b":null}},"fatigue":{"verdict":"steady","trend_pp_per_auction":-0.43,"latest_indirect_pct":63.8},"verdict":"The 52w bill on 2026-08-04 graded A, bid to cover 3.62 with dealers taking 24 percent, and the plumbing agreed: SOFR minus IORB narrowed 1.0bp by T plus 5, with no SRF take-up inside the window."},{"slug":"2026-08-04-6w-bill","permalink":"/auction/2026-08-04-6w-bill","auction_date":"2026-08-04","issue_date":"2026-08-06","tenor":"Bill 6-Week","display":"6w bill","security_type":"Bill","security_term":"6-Week","cusip":"912797UG0","size_b":102.5,"grades":{"bid_to_cover":2.93,"btc_z":0.23,"pd_share":0.311,"pd_share_z":-0.55,"indirect_share":0.5495,"indirect_z":0.2,"composite_z":-0.32,"grade":"C"},"event_study":{"status":"complete","baseline_bp":0.0,"baseline_date":"2026-08-03","horizons":[{"h":"T+0","date":"2026-08-04","spread_bp":1.0,"change_bp":1.0,"status":"printed"},{"h":"T+1","date":"2026-08-05","spread_bp":-1.0,"change_bp":-1.0,"status":"printed"},{"h":"T+3","date":"2026-08-07","spread_bp":-3.0,"change_bp":-3.0,"status":"printed"},{"h":"T+5","date":"2026-08-11","spread_bp":-1.0,"change_bp":-1.0,"status":"printed"}],"marks_in":4,"peak_change_bp":-3.0,"max_widening_bp":1.0,"change_t5_bp":-1.0,"srf":{"status":"complete","max_b":0.1,"sum_b":0.1,"days_with_takeup":0,"window":["2026-08-04","2026-08-11"]},"reserves":{"status":"open","week_ending":null,"level_b":null,"change_b":null}},"fatigue":{"verdict":"firming","trend_pp_per_auction":0.35,"latest_indirect_pct":64.8},"verdict":"The 6w bill on 2026-08-04 graded C, bid to cover 2.93 with dealers taking 31 percent, and the plumbing agreed: SOFR minus IORB narrowed 1.0bp by T plus 5, with no SRF take-up inside the window."},{"slug":"2026-08-03-26w-bill","permalink":"/auction/2026-08-03-26w-bill","auction_date":"2026-08-03","issue_date":"2026-08-06","tenor":"Bill 26-Week","display":"26w bill","security_type":"Bill","security_term":"26-Week","cusip":"912797VV6","size_b":85.3,"grades":{"bid_to_cover":2.98,"btc_z":-0.06,"pd_share":0.295,"pd_share_z":-0.66,"indirect_share":0.5129,"indirect_z":0.16,"composite_z":-0.2,"grade":"C"},"event_study":{"status":"complete","baseline_bp":1.0,"baseline_date":"2026-07-31","horizons":[{"h":"T+0","date":"2026-08-03","spread_bp":0.0,"change_bp":-1.0,"status":"printed"},{"h":"T+1","date":"2026-08-04","spread_bp":1.0,"change_bp":0.0,"status":"printed"},{"h":"T+3","date":"2026-08-06","spread_bp":0.0,"change_bp":-1.0,"status":"printed"},{"h":"T+5","date":"2026-08-10","spread_bp":-2.0,"change_bp":-3.0,"status":"printed"}],"marks_in":4,"peak_change_bp":-3.0,"max_widening_bp":0.0,"change_t5_bp":-3.0,"srf":{"status":"complete","max_b":0.0,"sum_b":0.0,"days_with_takeup":0,"window":["2026-08-03","2026-08-10"]},"reserves":{"status":"open","week_ending":null,"level_b":null,"change_b":null}},"fatigue":{"verdict":"steady","trend_pp_per_auction":-0.0,"latest_indirect_pct":50.2},"verdict":"The 26w bill on 2026-08-03 graded C, bid to cover 2.98 with dealers taking 30 percent, and the plumbing agreed: SOFR minus IORB narrowed 3.0bp by T plus 5, with no SRF take-up inside the window."},{"slug":"2026-08-03-13w-bill","permalink":"/auction/2026-08-03-13w-bill","auction_date":"2026-08-03","issue_date":"2026-08-06","tenor":"Bill 13-Week","display":"13w bill","security_type":"Bill","security_term":"13-Week","cusip":"912797UM7","size_b":99.3,"grades":{"bid_to_cover":2.61,"btc_z":-1.12,"pd_share":0.355,"pd_share_z":-0.43,"indirect_share":0.486,"indirect_z":0.21,"composite_z":0.39,"grade":"D"},"event_study":{"status":"complete","baseline_bp":1.0,"baseline_date":"2026-07-31","horizons":[{"h":"T+0","date":"2026-08-03","spread_bp":0.0,"change_bp":-1.0,"status":"printed"},{"h":"T+1","date":"2026-08-04","spread_bp":1.0,"change_bp":0.0,"status":"printed"},{"h":"T+3","date":"2026-08-06","spread_bp":0.0,"change_bp":-1.0,"status":"printed"},{"h":"T+5","date":"2026-08-10","spread_bp":-2.0,"change_bp":-3.0,"status":"printed"}],"marks_in":4,"peak_change_bp":-3.0,"max_widening_bp":0.0,"change_t5_bp":-3.0,"srf":{"status":"complete","max_b":0.0,"sum_b":0.0,"days_with_takeup":0,"window":["2026-08-03","2026-08-10"]},"reserves":{"status":"open","week_ending":null,"level_b":null,"change_b":null}},"fatigue":{"verdict":"firming","trend_pp_per_auction":1.07,"latest_indirect_pct":52.4},"verdict":"The 13w bill on 2026-08-03 graded D, bid to cover 2.61 with dealers taking 36 percent, and the plumbing shrugged: SOFR minus IORB narrowed 3.0bp by T plus 5, with no SRF take-up inside the window."}],"demand_fatigue":[{"tenor":"Bill 13-Week","display":"13w bill","auctions":8,"latest_indirect_pct":52.4,"prior_mean_indirect_pct":49.9,"trend_pp_per_auction":1.07,"verdict":"firming","series":[["2026-06-22",54.8],["2026-06-29",37.0],["2026-07-06",44.4],["2026-07-13",52.6],["2026-07-20",50.9],["2026-07-27",61.0],["2026-08-03",48.6],["2026-08-10",52.4]]},{"tenor":"Bill 17-Week","display":"17w bill","auctions":8,"latest_indirect_pct":57.5,"prior_mean_indirect_pct":55.3,"trend_pp_per_auction":0.71,"verdict":"firming","series":[["2026-06-24",50.3],["2026-07-01",52.0],["2026-07-08",64.1],["2026-07-15",55.9],["2026-07-22",49.7],["2026-07-29",54.1],["2026-08-05",61.0],["2026-08-12",57.5]]},{"tenor":"Bill 26-Week","display":"26w bill","auctions":8,"latest_indirect_pct":50.2,"prior_mean_indirect_pct":53.6,"trend_pp_per_auction":-0.0,"verdict":"steady","series":[["2026-06-22",48.7],["2026-06-29",51.3],["2026-07-06",55.0],["2026-07-13",61.6],["2026-07-20",53.4],["2026-07-27",54.2],["2026-08-03",51.3],["2026-08-10",50.2]]},{"tenor":"Bill 4-Week","display":"4w bill","auctions":8,"latest_indirect_pct":49.5,"prior_mean_indirect_pct":54.9,"trend_pp_per_auction":-0.76,"verdict":"softening","series":[["2026-06-18",60.4],["2026-06-25",53.7],["2026-07-02",58.8],["2026-07-09",49.2],["2026-07-16",47.2],["2026-07-23",57.5],["2026-07-30",57.3],["2026-08-06",49.5]]},{"tenor":"Bill 52-Week","display":"52w bill","auctions":8,"latest_indirect_pct":63.8,"prior_mean_indirect_pct":60.5,"trend_pp_per_auction":-0.43,"verdict":"steady","series":[["2026-01-20",66.9],["2026-02-17",63.4],["2026-03-17",58.7],["2026-04-14",52.6],["2026-05-12",63.3],["2026-06-09",62.6],["2026-07-07",55.9],["2026-08-04",63.8]]},{"tenor":"Bill 6-Week","display":"6w bill","auctions":8,"latest_indirect_pct":64.8,"prior_mean_indirect_pct":61.5,"trend_pp_per_auction":0.35,"verdict":"firming","series":[["2026-06-23",58.3],["2026-06-30",62.1],["2026-07-07",58.2],["2026-07-14",67.0],["2026-07-21",64.6],["2026-07-28",65.6],["2026-08-04",55.0],["2026-08-11",64.8]]},{"tenor":"Bill 8-Week","display":"8w bill","auctions":8,"latest_indirect_pct":50.5,"prior_mean_indirect_pct":55.9,"trend_pp_per_auction":-0.79,"verdict":"softening","series":[["2026-06-18",47.0],["2026-06-25",62.6],["2026-07-02",57.3],["2026-07-09",67.9],["2026-07-16",61.8],["2026-07-23",36.3],["2026-07-30",58.2],["2026-08-06",50.5]]},{"tenor":"Note 3-Year","display":"3y note","auctions":8,"latest_indirect_pct":50.7,"prior_mean_indirect_pct":55.1,"trend_pp_per_auction":1.58,"verdict":"steady","series":[["2026-01-12",43.4],["2026-02-10",44.3],["2026-03-10",59.6],["2026-04-07",63.3],["2026-05-11",50.5],["2026-06-09",63.4],["2026-07-07",60.9],["2026-08-11",50.7]]}],"letter_line":"The last auction on the board is the 17w bill of 2026-08-12, graded B on a composite z of -0.73, and its funding window is still open at 0 of 4 marks, so the board is not scoring the plumbing yet, and the trailing indirect share for that tenor is firming.","caveats":["T+0 is the first funding print on or after the auction date, and the horizons are counted on the funding tape's own trading days, so a holiday inside the window moves T+5 in calendar time","coupon settlement lands after the auction, so the spread leg reads the auction date and the reserve leg reads the settlement week instead of pretending they are the same day","an event study is association, not causation: a five day window around an auction also contains month end, tax dates, bill paydowns and the Fed's own operations","the indirect z is recovered from the digestion engine's published composite and its stated weights rather than recomputed, so it carries that engine's two decimal rounding","nothing here feeds the composite; the auction signal already reaches the score through the digestion index"],"method":"one card per recent auction from the digestion engine's own scored rows; letter grade off its composite z (A at -1.0 and below, B to -0.35, C inside plus or minus 0.35, D to +1.0, F above +1.0), where composite z = 0.5(-btc z) + 0.3(pd share z) + 0.2(-indirect z) so a lower number is stronger demand; cards run newest first and a coupon outranks a bill auctioned the same day; event study = SOFR minus IORB in bp at T+0, T+1, T+3 and T+5 prints of the funding tape against the last print before the auction, SRF take-up inside the same window, and the WRESBAL change across the settlement week; an unfinished window reports status open with null marks and never a zero; demand fatigue = the trailing indirect share by tenor over the last 8 auctions with a straight line slope in percentage points per auction"},"ledger":{"ok":true,"asof":"2026-08-05","weeks":52,"currency_named":true,"onrrp_named":true,"levels":{"date":"2026-08-05","assets_b":6748.6,"currency_b":2473.1,"reserves_b":2993.3,"tga_b":907.3,"onrrp_b":1.6,"foreign_rrp_b":317.7,"residual_b":55.5,"residual_share_pct":0.822,"check_b":0.0},"week":{"date":"2026-08-05","reserves_chg_b":8.78,"assets_b":10.38,"currency_b":-2.09,"tga_b":3.45,"onrrp_b":0.93,"foreign_rrp_b":16.76,"residual_b":-20.65,"check_b":0.0},"attribution":{"driver":"residual","driver_label":"the unnamed residual","driver_contribution_b":-20.65,"driver_share_of_gross":0.381,"share_of_move":-2.352,"sole_driver":false,"reserves_chg_b":8.78},"residual_check":{"level_b":55.5,"share_pct":0.822,"chg_b":20.65,"sigma_b":27.18,"robust_scale_b":25.144,"robust_z":0.77,"jump":false,"verdict":"the residual is holding at $55.5B, 0.82% of assets, weekly moves inside $27.2B, which is what a correctly read identity looks like","note":"The residual is real balance sheet, not an error term: other deposits held at the Reserve Banks, Treasury currency outstanding, other liabilities and capital, plus the timing basis between a Wednesday level and a week average. It is a plug for what this ledger does not name. A stable residual is the check that the identity is being read correctly; a jumping residual is the alarm."},"flows_13w":[{"date":"2026-05-13","reserves_chg_b":70.22,"assets_b":19.0,"currency_b":-1.7,"tga_b":39.18,"onrrp_b":-2.09,"foreign_rrp_b":-1.57,"residual_b":17.41,"check_b":0.0},{"date":"2026-05-20","reserves_chg_b":26.75,"assets_b":-14.86,"currency_b":-1.47,"tga_b":57.29,"onrrp_b":-21.15,"foreign_rrp_b":4.87,"residual_b":2.07,"check_b":0.0},{"date":"2026-05-27","reserves_chg_b":-63.0,"assets_b":-9.26,"currency_b":-5.28,"tga_b":-49.0,"onrrp_b":23.01,"foreign_rrp_b":18.74,"residual_b":-41.2,"check_b":0.0},{"date":"2026-06-03","reserves_chg_b":-52.66,"assets_b":7.11,"currency_b":-1.48,"tga_b":-45.42,"onrrp_b":-0.21,"foreign_rrp_b":-24.7,"residual_b":12.04,"check_b":0.0},{"date":"2026-06-10","reserves_chg_b":66.82,"assets_b":13.9,"currency_b":-0.97,"tga_b":47.59,"onrrp_b":1.67,"foreign_rrp_b":6.81,"residual_b":-2.19,"check_b":0.0},{"date":"2026-06-17","reserves_chg_b":-47.28,"assets_b":11.03,"currency_b":-1.37,"tga_b":-52.59,"onrrp_b":-6.44,"foreign_rrp_b":-11.89,"residual_b":13.98,"check_b":0.0},{"date":"2026-06-24","reserves_chg_b":-82.03,"assets_b":-0.78,"currency_b":-4.1,"tga_b":-37.98,"onrrp_b":2.29,"foreign_rrp_b":-3.2,"residual_b":-38.26,"check_b":0.0},{"date":"2026-07-01","reserves_chg_b":15.48,"assets_b":-11.08,"currency_b":-0.61,"tga_b":38.46,"onrrp_b":3.53,"foreign_rrp_b":-5.44,"residual_b":-9.38,"check_b":0.0},{"date":"2026-07-08","reserves_chg_b":132.01,"assets_b":11.05,"currency_b":-2.06,"tga_b":106.17,"onrrp_b":-2.35,"foreign_rrp_b":-7.69,"residual_b":26.89,"check_b":0.0},{"date":"2026-07-15","reserves_chg_b":43.81,"assets_b":7.42,"currency_b":2.39,"tga_b":17.84,"onrrp_b":3.2,"foreign_rrp_b":-8.8,"residual_b":21.76,"check_b":0.0},{"date":"2026-07-22","reserves_chg_b":-80.57,"assets_b":4.35,"currency_b":1.56,"tga_b":-73.41,"onrrp_b":-0.23,"foreign_rrp_b":1.6,"residual_b":-14.46,"check_b":0.0},{"date":"2026-07-29","reserves_chg_b":-77.58,"assets_b":-9.19,"currency_b":-0.07,"tga_b":-81.15,"onrrp_b":-2.2,"foreign_rrp_b":17.85,"residual_b":-2.82,"check_b":0.0},{"date":"2026-08-05","reserves_chg_b":8.78,"assets_b":10.38,"currency_b":-2.09,"tga_b":3.45,"onrrp_b":0.93,"foreign_rrp_b":16.76,"residual_b":-20.65,"check_b":0.0}],"series":[["2025-08-06",6640.8,2402.1,3332.5,421.0,92.0,353.9,39.3],["2025-08-13",6643.6,2403.5,3320.1,504.3,57.2,345.0,13.5],["2025-08-20",6618.4,2402.9,3317.3,519.5,35.0,364.1,-20.3],["2025-08-27",6603.4,2404.2,3225.0,590.0,34.7,358.4,-8.9],["2025-09-03",6602.1,2410.4,3181.7,597.5,17.9,350.8,43.7],["2025-09-10",6606.0,2411.4,3160.8,672.3,29.4,353.6,-21.5],["2025-09-17",6608.6,2409.5,3073.4,756.4,14.0,357.6,-2.2],["2025-09-24",6608.4,2408.8,3002.2,804.9,29.2,380.1,-16.8],["2025-10-01",6587.1,2411.1,2966.1,805.1,10.2,374.6,20.1],["2025-10-08",6590.8,2414.0,2998.5,807.4,5.2,350.6,15.0],["2025-10-15",6596.5,2418.3,3019.0,809.6,5.5,342.4,1.7],["2025-10-22",6589.5,2417.6,2933.0,908.0,4.0,350.4,-23.5],["2025-10-29",6587.0,2417.3,2848.0,958.0,19.5,347.9,-3.7],["2025-11-05",6572.7,2419.9,2862.6,941.0,12.8,359.7,-23.2],["2025-11-12",6580.5,2422.5,2855.0,953.8,5.9,336.5,6.7],["2025-11-19",6555.3,2422.3,2888.6,941.9,1.1,326.1,-24.9],["2025-11-26",6552.4,2422.7,2896.6,903.4,2.2,330.2,-2.7],["2025-12-03",6535.8,2427.8,2858.3,937.2,2.5,330.1,-20.0],["2025-12-10",6539.3,2426.9,2932.1,858.9,5.0,326.5,-10.2],["2025-12-17",6556.9,2426.1,2959.0,833.1,10.4,321.9,6.4],["2025-12-24",6581.2,2433.3,2955.6,837.1,4.8,316.7,33.6],["2025-12-31",6640.6,2442.2,2957.4,837.3,106.0,356.2,-58.5],["2026-01-07",6573.6,2444.5,2996.4,796.1,4.6,323.7,8.3],["2026-01-14",6581.7,2436.2,3049.6,779.2,3.2,314.5,-1.0],["2026-01-21",6584.6,2431.6,2954.9,869.3,3.3,320.0,5.4],["2026-01-28",6587.6,2429.1,2901.6,923.0,1.1,326.0,6.7],["2026-02-04",6605.9,2430.1,2925.2,908.8,2.4,324.4,15.0],["2026-02-11",6622.4,2430.5,2939.6,915.3,1.0,319.6,16.4],["2026-02-18",6613.4,2430.9,2949.8,912.7,0.9,328.5,-9.4],["2026-02-25",6613.8,2431.0,2965.8,887.6,1.2,328.1,0.2],["2026-03-04",6628.9,2435.1,3015.5,832.1,0.9,318.6,26.7],["2026-03-11",6646.3,2440.0,3037.7,838.2,0.6,324.9,5.0],["2026-03-18",6655.9,2442.4,3020.0,853.1,0.7,330.7,9.1],["2026-03-25",6657.2,2445.0,2994.0,874.1,0.8,333.4,10.0],["2026-04-01",6675.3,2448.2,3026.7,847.7,2.1,337.5,13.1],["2026-04-08",6693.9,2451.5,3116.2,748.4,0.2,344.7,32.9],["2026-04-15",6705.7,2452.2,3129.6,751.4,0.2,339.6,32.7],["2026-04-22",6707.4,2452.5,2901.8,1006.0,0.5,324.6,22.0],["2026-04-29",6699.9,2453.5,2918.6,981.9,0.7,322.0,23.2],["2026-05-06",6709.5,2455.8,3032.6,877.8,1.6,321.1,20.7],["2026-05-13",6728.5,2457.5,3102.8,838.6,3.7,322.6,3.3],["2026-05-20",6713.6,2459.0,3129.6,781.3,24.9,317.8,1.2],["2026-05-27",6704.4,2464.3,3066.6,830.3,1.9,299.0,42.4],["2026-06-03",6711.5,2465.7,3013.9,875.7,2.1,323.7,30.3],["2026-06-10",6725.4,2466.7,3080.7,828.1,0.4,316.9,32.5],["2026-06-17",6736.4,2468.1,3033.4,880.7,6.8,328.8,18.6],["2026-06-24",6735.6,2472.2,2951.4,918.7,4.5,332.0,56.8],["2026-07-01",6724.6,2472.8,2966.9,880.2,1.0,337.4,66.2],["2026-07-08",6735.6,2474.9,3098.9,774.1,3.3,345.1,39.3],["2026-07-15",6743.0,2472.5,3142.7,756.2,0.2,353.9,17.5],["2026-07-22",6747.4,2470.9,3062.1,829.6,0.4,352.3,32.0],["2026-07-29",6738.2,2471.0,2984.6,910.8,2.6,334.5,34.8],["2026-08-05",6748.6,2473.1,2993.3,907.3,1.6,317.7,55.5]],"legs":[{"key":"assets","label":"Fed assets (WALCL)","letter_label":"the balance sheet","sign_on_reserves":1},{"key":"currency","label":"currency in circulation","letter_label":"currency in circulation","sign_on_reserves":-1},{"key":"tga","label":"Treasury General Account","letter_label":"the TGA","sign_on_reserves":-1},{"key":"onrrp","label":"ON RRP","letter_label":"ON RRP","sign_on_reserves":-1},{"key":"foreign_rrp","label":"foreign RRP","letter_label":"the foreign RRP pool","sign_on_reserves":-1},{"key":"residual","label":"unnamed residual","letter_label":"the unnamed residual","sign_on_reserves":-1}],"letter_line":"Reserves rose $8.8B on the week to $2,993B, and the ledger says where from: the residual absorbed $20.6B, the foreign RRP pool released $16.8B, the balance sheet added $10.4B, six legs summing to the reserve change to the dollar with $55.5B of the balance sheet, 0.82% of assets, still sitting in the unnamed residual.","caveats":["H.4.1 publishes Thursday for the preceding Wednesday, so the whole ledger is a week old on the day it is read","WALCL and the reverse repo legs are Wednesday levels while currency, reserves and the TGA are week averages on the same release, so the residual carries a timing basis of a few tens of billions that is arithmetic and not news","the identity closes to the dollar by construction because the residual is defined as the plug; the test that matters is whether the residual holds still, not whether the columns add up"],"method":"H.4.1 weekly identity on the W-WED grid, $B: WALCL = currency + reserves + TGA + ON RRP (Wednesday print of the daily series) + foreign RRP + residual, with the residual defined as the plug so the level closes to the dollar; the flow decomposition differences the same identity, so d(reserves) = d(assets) minus the change in each named liability minus the change in the residual, and the six legs sum to the reserve change exactly; the residual's weekly change is scored on a robust z (median and MAD, scale floored at 0.1B) and flagged as a jump at 3 sigma with a 5B absolute floor; one leg is called the sole driver when it carries 80% of the week's gross flow in the same direction as reserves"},"resonance":{"ok":true,"asof":"2026-08-11","score":66.5,"modes":{"month_end":{"ok":true,"label":"Month-end (window dressing)","n":68,"n_recent":6,"low_n":false,"last":{"date":"2026-08-11","slosh_bp":-1.0,"half_life_d":5},"recent_median_bp":4.0,"prior_median_bp":2.0,"amplification":2.0,"amplification_ex_max":1.75,"decay_recent_d":2.5,"decay_prior_d":1.0,"score":54.7},"quarter_end":{"ok":true,"label":"Quarter-end (dealer balance-sheet snapshot)","n":25,"n_recent":6,"low_n":false,"last":{"date":"2026-06-30","slosh_bp":6.0,"half_life_d":2},"recent_median_bp":10.2,"prior_median_bp":4.0,"amplification":2.56,"amplification_ex_max":2.5,"decay_recent_d":2.5,"decay_prior_d":1.0,"score":90.5},"year_end":{"ok":true,"label":"Year-end (G-SIB surcharge snapshot)","n":8,"n_recent":4,"low_n":true,"last":{"date":"2025-12-31","slosh_bp":20.5,"half_life_d":1},"recent_median_bp":11.0,"prior_median_bp":1.8,"amplification":6.29,"amplification_ex_max":5.14,"decay_recent_d":1.0,"decay_prior_d":1.0,"score":92.0},"mid_month":{"ok":true,"label":"Mid-month (coupon settlement pile)","n":58,"n_recent":6,"low_n":false,"last":{"date":"2026-07-15","slosh_bp":1.5,"half_life_d":1},"recent_median_bp":0.2,"prior_median_bp":1.0,"amplification":0.25,"amplification_ex_max":-1.0,"decay_recent_d":1.0,"decay_prior_d":1.0,"score":0.5},"tax_date":{"ok":true,"label":"Corporate tax dates","n":41,"n_recent":6,"low_n":false,"last":{"date":"2026-06-15","slosh_bp":6.0,"half_life_d":1},"recent_median_bp":4.5,"prior_median_bp":0.0,"amplification":4.5,"amplification_ex_max":3.0,"decay_recent_d":1.0,"decay_prior_d":1.0,"score":79.0}},"worst_mode":{"mode":"year_end","label":"Year-end (G-SIB surcharge snapshot)","amplification":6.29},"events_scatter":[["2021-08-31",0.0,"month_end"],["2021-09-15",0.0,"tax_date"],["2021-09-30",0.0,"quarter_end"],["2021-10-15",0.0,"mid_month"],["2021-10-29",0.0,"month_end"],["2021-11-15",0.0,"mid_month"],["2021-11-30",0.0,"month_end"],["2021-12-15",0.0,"tax_date"],["2021-12-31",0.0,"year_end"],["2022-01-18",0.0,"mid_month"],["2022-01-31",0.0,"month_end"],["2022-02-15",0.0,"mid_month"],["2022-02-28",0.0,"month_end"],["2022-03-15",0.0,"tax_date"],["2022-03-31",0.5,"quarter_end"],["2022-04-18",-1.0,"tax_date"],["2022-04-29",1.5,"month_end"],["2022-05-16",2.0,"mid_month"],["2022-05-31",1.0,"month_end"],["2022-06-15",-8.0,"tax_date"],["2022-06-30",7.0,"quarter_end"],["2022-07-15",1.5,"mid_month"],["2022-07-29",-0.0,"month_end"],["2022-08-15",1.0,"mid_month"],["2022-08-31",1.0,"month_end"],["2022-09-15",-0.5,"tax_date"],["2022-09-30",-1.5,"quarter_end"],["2022-10-17",3.0,"mid_month"],["2022-10-31",1.0,"month_end"],["2022-11-15",1.0,"mid_month"],["2022-11-30",2.0,"month_end"],["2022-12-15",1.5,"tax_date"],["2022-12-30",1.0,"year_end"],["2023-01-17",0.5,"mid_month"],["2023-01-31",1.0,"month_end"],["2023-02-15",0.0,"mid_month"],["2023-02-28",0.0,"month_end"],["2023-03-15",3.0,"tax_date"],["2023-03-31",7.0,"quarter_end"],["2023-04-17",-2.5,"tax_date"],["2023-04-28",1.0,"month_end"],["2023-05-15",0.0,"mid_month"],["2023-05-31",3.0,"month_end"],["2023-06-15",0.0,"tax_date"],["2023-06-30",4.0,"quarter_end"],["2023-07-17",0.0,"mid_month"],["2023-07-31",0.5,"month_end"],["2023-08-15",0.0,"mid_month"],["2023-08-31",1.0,"month_end"],["2023-09-15",1.0,"tax_date"],["2023-09-29",2.0,"quarter_end"],["2023-10-16",-0.5,"mid_month"],["2023-10-31",5.0,"month_end"],["2023-11-15",0.0,"mid_month"],["2023-11-30",7.0,"month_end"],["2023-12-15",0.0,"tax_date"],["2023-12-29",9.0,"year_end"],["2024-01-16",-4.5,"mid_month"],["2024-01-31",1.0,"month_end"],["2024-02-15",0.0,"mid_month"],["2024-02-29",1.5,"month_end"],["2024-03-15",0.0,"tax_date"],["2024-04-01",4.0,"quarter_end"],["2024-04-15",0.0,"tax_date"],["2024-04-30",3.0,"month_end"],["2024-05-15",0.0,"mid_month"],["2024-05-31",4.0,"month_end"],["2024-06-17",0.0,"tax_date"],["2024-06-28",8.5,"quarter_end"],["2024-07-15",1.5,"mid_month"],["2024-07-31",4.0,"month_end"],["2024-08-15",1.5,"mid_month"],["2024-08-30",1.5,"month_end"],["2024-09-16",4.0,"tax_date"],["2024-09-30",22.0,"quarter_end"],["2024-10-15",2.0,"mid_month"],["2024-10-31",7.0,"month_end"],["2024-11-15",1.0,"mid_month"],["2024-11-29",7.0,"month_end"],["2024-12-16",5.5,"tax_date"],["2024-12-31",13.0,"year_end"],["2025-01-15",-5.0,"mid_month"],["2025-01-31",9.0,"month_end"],["2025-02-18",2.0,"mid_month"],["2025-02-28",5.0,"month_end"],["2025-03-17",-1.5,"tax_date"],["2025-03-31",10.5,"quarter_end"],["2025-04-15",-2.0,"tax_date"],["2025-04-30",9.0,"month_end"],["2025-05-15",-3.5,"mid_month"],["2025-05-30",6.5,"month_end"],["2025-06-16",1.5,"tax_date"],["2025-06-30",16.5,"quarter_end"],["2025-07-15",-0.5,"mid_month"],["2025-07-31",7.5,"month_end"],["2025-08-15",2.0,"mid_month"],["2025-08-29",5.0,"month_end"],["2025-09-15",12.0,"tax_date"],["2025-09-30",10.0,"quarter_end"],["2025-10-15",13.0,"mid_month"],["2025-10-31",23.5,"month_end"],["2025-11-17",-1.0,"mid_month"],["2025-11-28",17.5,"month_end"],["2025-12-15",2.0,"tax_date"],["2025-12-31",20.5,"year_end"],["2026-01-15",-4.5,"mid_month"],["2026-01-30",4.5,"month_end"],["2026-02-17",8.0,"mid_month"],["2026-02-27",5.0,"month_end"],["2026-03-16",3.0,"tax_date"],["2026-03-31",4.5,"quarter_end"],["2026-04-15",8.0,"tax_date"],["2026-04-30",1.0,"month_end"],["2026-05-15",-6.5,"mid_month"],["2026-05-29",10.0,"month_end"],["2026-06-15",6.0,"tax_date"],["2026-06-30",6.0,"quarter_end"],["2026-07-15",1.5,"mid_month"],["2026-07-31",3.5,"month_end"],["2026-08-11",-1.0,"month_end"]],"method":"per calendar mode: slosh = max(SOFR\u2212IORB, event \u00b11bd) \u2212 median(10bd baseline ending 3bd prior); amplification = median slosh last 6 events / prior events; decay = days to give back half the slosh (censored 5d). Modes disjoint; weights: quarter_end 0.3, month_end 0.25, year_end 0.15, mid_month 0.15, tax_date 0.15. ex-max = amplification with the largest recent slosh removed (one-event sensitivity); modes with n<10 carry a low-n 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33,0.527],["2025-06-04",0.727,0.531],["2025-06-06",0.724,0.535],["2025-06-10",0.729,0.536],["2025-06-12",0.733,0.536],["2025-06-16",0.728,0.704],["2025-06-18",0.74,0.714],["2025-06-23",0.737,0.613],["2025-06-25",0.763,0.491],["2025-06-27",0.815,0.418],["2025-07-01",0.839,0.368],["2025-07-03",0.835,0.363],["2025-07-08",0.83,0.364],["2025-07-10",0.82,0.359],["2025-07-14",0.813,0.354],["2025-07-16",0.808,0.351],["2025-07-18",0.81,0.356],["2025-07-22",0.811,0.361],["2025-07-24",0.81,0.372],["2025-07-28",0.802,0.378],["2025-07-30",0.801,0.373],["2025-08-01",0.787,0.378],["2025-08-05",0.787,0.385],["2025-08-07",0.787,0.389],["2025-08-11",0.79,0.386],["2025-08-13",0.788,0.392],["2025-08-15",0.787,0.383],["2025-08-19",0.786,0.378],["2025-08-21",0.79,0.374],["2025-08-25",0.794,0.379],["2025-08-27",0.795,0.388],["2025-08-29",0.795,0.387],["2025-09-03",0.79,0.376],["2025-09-05",0.792,0.375],["2025-09-09",0.795,0.385],["2025-09-11",0.794,0.389],["2025-09-15",0.787,0.377],["2025-09-17",0.763,0.373],["2025-09-19",0.764,0.154],["2025-09-23",0.77,0.184],["2025-09-25",0.764,0.187],["2025-09-29",0.765,0.191],["2025-10-01",0.749,0.165],["2025-10-03",0.757,0.143],["2025-10-07",0.756,0.141],["2025-10-09",0.76,0.149],["2025-10-14",0.756,0.146],["2025-10-16",0.756,0.148],["2025-10-20",0.737,0.154],["2025-10-22",0.733,0.143],["2025-10-24",0.739,0.147],["2025-10-28",0.75,0.146],["2025-10-30",0.752,0.12],["2025-11-03",0.745,0.167],["2025-11-05",0.712,0.164],["2025-11-07",0.713,0.168],["2025-11-12",0.707,0.165],["2025-11-14",0.691,0.154],["2025-11-18",0.681,0.151],["2025-11-20",0.693,0.157],["2025-11-24",0.7,0.164],["2025-11-26",0.699,0.155],["2025-12-01",0.703,0.146],["2025-12-03",0.683,0.134],["2025-12-05",0.693,0.134],["2025-12-09",0.701,0.133],["2025-12-11",0.71,0.09],["2025-12-15",0.705,0.068],["2025-12-17",0.706,0.068],["2025-12-19",0.703,0.066],["2025-12-23",0.688,0.05],["2025-12-26",0.673,0.05],["2025-12-30",0.673,0.061],["2026-01-02",0.642,0.079],["2026-01-06",0.638,0.078],["2026-01-08",0.648,0.079],["2026-01-12",0.658,0.077],["2026-01-14",0.659,0.071],["2026-01-16",0.656,0.067],["2026-01-21",0.662,0.071],["2026-01-23",0.666,0.071],["2026-01-27",0.675,0.067],["2026-01-29",0.675,0.06],["2026-02-02",0.674,0.054],["2026-02-04",0.672,0.054],["2026-02-06",0.674,0.055],["2026-02-10",0.676,0.058],["2026-02-12",0.676,0.06],["2026-02-17",0.671,0.052],["2026-02-19",0.671,0.068],["2026-02-23",0.672,0.067],["2026-02-25",0.671,0.068],["2026-02-27",0.673,0.069],["2026-03-03",0.67,0.063],["2026-03-05",0.668,0.064],["2026-03-09",0.668,0.063],["2026-03-11",0.671,0.065],["2026-03-13",0.683,0.061],["2026-03-17",0.677,0.168],["2026-03-19",0.68,0.162],["2026-03-23",0.686,0.162],["2026-03-25",0.69,0.162],["2026-03-27",0.701,0.171],["2026-03-31",0.697,0.163],["2026-04-02",0.697,0.157],["2026-04-07",0.696,0.149],["2026-04-09",0.704,0.15],["2026-04-13",0.698,0.153],["2026-04-15",0.705,0.151],["2026-04-17",0.706,0.153],["2026-04-21",0.7,0.153],["2026-04-23",0.685,0.154],["2026-04-27",0.668,0.197],["2026-04-29",0.604,0.132],["2026-05-01",0.626,0.139],["2026-05-05",0.623,0.135],["2026-05-07",0.627,0.135],["2026-05-11",0.634,0.14],["2026-05-13",0.648,0.139],["2026-05-15",0.653,0.13],["2026-05-19",0.681,0.123],["2026-05-21",0.719,0.116],["2026-05-26",0.684,0.118],["2026-05-28",0.705,0.13],["2026-06-01",0.7,0.127],["2026-06-03",0.698,0.131],["2026-06-05",0.694,0.259],["2026-06-09",0.706,0.391],["2026-06-11",0.712,0.391],["2026-06-15",0.713,0.39],["2026-06-17",0.713,0.393],["2026-06-22",0.733,0.407],["2026-06-24",0.728,0.377],["2026-06-26",0.79,0.3],["2026-06-30",0.793,0.3],["2026-07-02",0.793,0.268],["2026-07-07",0.788,0.273],["2026-07-09",0.783,0.267],["2026-07-13",0.785,0.282],["2026-07-15",0.783,0.278],["2026-07-17",0.78,0.284],["2026-07-21",0.777,0.275],["2026-07-23",0.777,0.282],["2026-07-27",0.78,0.291],["2026-07-29",0.785,0.29],["2026-07-31",0.789,0.289],["2026-08-04",0.792,0.29],["2026-08-06",0.791,0.292],["2026-08-10",0.794,0.373]],"caveats":["indicator series are serially correlated \u2014 trends are read as percentiles vs own history, never as p-values","spread/tail belong to the PROOF event's variable family: Undertow is live structural evidence, not an orthogonal predictor","detrended with a rolling median: slow level regimes don't count as damping loss, only the noise dynamics do","mechanism (fluctuation-dissipation split) is a diagnostic label, never weighted into the score"],"method":"per series: residual = x \u2212 rolling 30bd median; AC1 = rolling 120bd lag-1 autocorr; tau = \u22121/ln(AC1) bd; variance over the same window; both scored as EXPANDING percentiles vs own past. Noise power D = Var\u00b7(1\u2212AC1\u00b2) (fluctuation-dissipation split), expanding percentile, diagnostic only \u2014 AC1 pctl \u226580 names damping loss, D pctl \u226580 names louder forcing. Recovery = median half-life after pops above the expanding 90th pctl (declustered 5bd \u2014 an episode is one experiment; censored 10bd; unresolved end-of-sample pops excluded, not censored), trailing year vs prior. Score: AC1 pctl 45 / var pctl 30 / recovery stretch 25; series blend spread 0.6 / tail 0.4, renormalized per row over the series with data"},"phasemap":{"ok":true,"asof":"2026-08-11","n_days":2084,"threshold_bp":2.0,"plain":{"n":701,"mean_abs_bp":1.82,"mean_abs_ci_bp":[1.6,2.05],"shock_rate":0.08,"shock_rate_ci":[0.062,0.102],"ac1":0.637,"ac1_ci":[0.591,0.679],"n_pairs":701},"clocks":[{"clock":"month_end","label":"Month-end turn (non-quarter months)","ok":true,"vestigial":false,"n_events":68,"bins":[{"bin":"-3","n":68,"mean_abs_bp":1.6,"mean_abs_ci_bp":[1.1,2.11],"shock_rate":0.25,"shock_rate_ci":[0.162,0.364],"ac1":0.797,"ac1_ci":[0.69,0.87],"n_pairs":68},{"bin":"-2","n":68,"mean_abs_bp":1.43,"mean_abs_ci_bp":[0.91,1.94],"shock_rate":0.191,"shock_rate_ci":[0.115,0.3],"ac1":0.68,"ac1_ci":[0.527,0.79],"n_pairs":68},{"bin":"-1","n":68,"mean_abs_bp":1.43,"mean_abs_ci_bp":[0.94,1.91],"shock_rate":0.191,"shock_rate_ci":[0.115,0.3],"ac1":0.158,"ac1_ci":[-0.084,0.382],"n_pairs":68},{"bin":"0","n":68,"mean_abs_bp":4.13,"mean_abs_ci_bp":[2.71,5.55],"shock_rate":0.485,"shock_rate_ci":[0.371,0.602],"ac1":0.574,"ac1_ci":[0.387,0.715],"n_pairs":67},{"bin":"+1","n":67,"mean_abs_bp":1.99,"mean_abs_ci_bp":[1.37,2.6],"shock_rate":0.358,"shock_rate_ci":[0.254,0.478],"ac1":0.251,"ac1_ci":[0.012,0.463],"n_pairs":67},{"bin":"+2","n":67,"mean_abs_bp":1.67,"mean_abs_ci_bp":[1.2,2.14],"shock_rate":0.284,"shock_rate_ci":[0.19,0.401],"ac1":0.406,"ac1_ci":[0.184,0.589],"n_pairs":67},{"bin":"+3","n":67,"mean_abs_bp":1.85,"mean_abs_ci_bp":[1.14,2.56],"shock_rate":0.09,"shock_rate_ci":[0.042,0.182],"ac1":0.793,"ac1_ci":[0.683,0.868],"n_pairs":67},{"bin":"interior","n":1611,"mean_abs_bp":2.24,"mean_abs_ci_bp":[1.82,2.66],"shock_rate":0.148,"shock_rate_ci":[0.132,0.167],"ac1":0.278,"ac1_ci":[0.233,0.323],"n_pairs":1611}],"event_pool":{"n":203,"mean_abs_bp":2.52,"mean_abs_ci_bp":[1.95,3.08],"shock_rate":0.345,"shock_rate_ci":[0.283,0.413],"ac1":0.185,"ac1_ci":[0.048,0.315],"n_pairs":202},"audit":{"assumption":"calendar forcing lives at the month-end turn (event +/-1bd)","hardcoded_by":["Resonance month_end mode (slosh window +/-1bd)","Swell/Microseism month_end bucket (turn = last bd + first bd)"],"verdict":"CONFIRMS","detail":"CONFIRMS: serial dependence concentrates where the siblings put it, bands separate. Event bins (+/-1bd): lag-1 autocorr 0.185 [0.048, 0.315], shock rate 0.345 [0.283, 0.413], n=203; plain days: autocorr 0.637 [0.591, 0.679], rate 0.08 [0.062, 0.102], n=701"}},{"clock":"quarter_end","label":"Quarter-end turn (Mar/Jun/Sep/Dec, year-end included)","ok":true,"vestigial":false,"n_events":33,"bins":[{"bin":"-3","n":33,"mean_abs_bp":2.85,"mean_abs_ci_bp":[1.43,4.27],"shock_rate":0.424,"shock_rate_ci":[0.272,0.592],"ac1":0.694,"ac1_ci":[0.46,0.838],"n_pairs":33},{"bin":"-2","n":33,"mean_abs_bp":2.82,"mean_abs_ci_bp":[1.44,4.19],"shock_rate":0.394,"shock_rate_ci":[0.247,0.563],"ac1":0.511,"ac1_ci":[0.203,0.727],"n_pairs":33},{"bin":"-1","n":33,"mean_abs_bp":1.94,"mean_abs_ci_bp":[1.16,2.72],"shock_rate":0.303,"shock_rate_ci":[0.174,0.473],"ac1":0.075,"ac1_ci":[-0.276,0.408],"n_pairs":33},{"bin":"0","n":33,"mean_abs_bp":8.12,"mean_abs_ci_bp":[3.63,12.61],"shock_rate":0.606,"shock_rate_ci":[0.437,0.753],"ac1":0.593,"ac1_ci":[0.313,0.778],"n_pairs":33},{"bin":"+1","n":33,"mean_abs_bp":5.21,"mean_abs_ci_bp":[0.92,9.5],"shock_rate":0.424,"shock_rate_ci":[0.272,0.592],"ac1":0.818,"ac1_ci":[0.66,0.907],"n_pairs":33},{"bin":"+2","n":33,"mean_abs_bp":3.18,"mean_abs_ci_bp":[1.48,4.88],"shock_rate":0.394,"shock_rate_ci":[0.247,0.563],"ac1":-0.161,"ac1_ci":[-0.478,0.193],"n_pairs":33},{"bin":"+3","n":33,"mean_abs_bp":3.21,"mean_abs_ci_bp":[1.4,5.02],"shock_rate":0.091,"shock_rate_ci":[0.031,0.236],"ac1":0.952,"ac1_ci":[0.905,0.976],"n_pairs":33},{"bin":"interior","n":1853,"mean_abs_bp":1.98,"mean_abs_ci_bp":[1.63,2.33],"shock_rate":0.149,"shock_rate_ci":[0.134,0.166],"ac1":0.256,"ac1_ci":[0.213,0.298],"n_pairs":1852}],"event_pool":{"n":99,"mean_abs_bp":5.09,"mean_abs_ci_bp":[2.97,7.22],"shock_rate":0.444,"shock_rate_ci":[0.35,0.543],"ac1":0.396,"ac1_ci":[0.215,0.55],"n_pairs":99},"audit":{"assumption":"the quarter-end balance-sheet snapshot is the heaviest forcing date","hardcoded_by":["Resonance quarter_end mode (weighted heaviest, 0.30)","Swell/Microseism quarter_turn and year_turn buckets"],"verdict":"CONFIRMS","detail":"CONFIRMS: serial dependence concentrates where the siblings put it, bands separate. Event bins (+/-1bd): lag-1 autocorr 0.396 [0.215, 0.55], shock rate 0.444 [0.35, 0.543], n=99; plain days: autocorr 0.637 [0.591, 0.679], rate 0.08 [0.062, 0.102], n=701"}},{"clock":"settlement","label":"Treasury coupon settlement cycle","ok":true,"vestigial":false,"n_events":182,"bins":[{"bin":"-3","n":182,"mean_abs_bp":1.55,"mean_abs_ci_bp":[1.19,1.92],"shock_rate":0.17,"shock_rate_ci":[0.123,0.232],"ac1":0.742,"ac1_ci":[0.669,0.801],"n_pairs":182},{"bin":"-2","n":182,"mean_abs_bp":1.4,"mean_abs_ci_bp":[1.05,1.74],"shock_rate":0.17,"shock_rate_ci":[0.123,0.232],"ac1":0.413,"ac1_ci":[0.285,0.527],"n_pairs":182},{"bin":"-1","n":182,"mean_abs_bp":1.63,"mean_abs_ci_bp":[1.18,2.08],"shock_rate":0.176,"shock_rate_ci":[0.127,0.238],"ac1":0.202,"ac1_ci":[0.058,0.337],"n_pairs":182},{"bin":"0","n":182,"mean_abs_bp":3.88,"mean_abs_ci_bp":[2.87,4.88],"shock_rate":0.473,"shock_rate_ci":[0.401,0.545],"ac1":0.582,"ac1_ci":[0.477,0.671],"n_pairs":182},{"bin":"+1","n":182,"mean_abs_bp":2.22,"mean_abs_ci_bp":[1.38,3.06],"shock_rate":0.286,"shock_rate_ci":[0.225,0.355],"ac1":0.679,"ac1_ci":[0.592,0.75],"n_pairs":182},{"bin":"+2","n":182,"mean_abs_bp":1.7,"mean_abs_ci_bp":[1.27,2.13],"shock_rate":0.148,"shock_rate_ci":[0.104,0.207],"ac1":0.129,"ac1_ci":[-0.016,0.27],"n_pairs":182},{"bin":"+3","n":182,"mean_abs_bp":1.74,"mean_abs_ci_bp":[1.31,2.18],"shock_rate":0.044,"shock_rate_ci":[0.022,0.084],"ac1":0.841,"ac1_ci":[0.793,0.879],"n_pairs":182},{"bin":"interior","n":810,"mean_abs_bp":2.46,"mean_abs_ci_bp":[1.69,3.24],"shock_rate":0.12,"shock_rate_ci":[0.099,0.144],"ac1":0.238,"ac1_ci":[0.172,0.302],"n_pairs":809}],"event_pool":{"n":546,"mean_abs_bp":2.58,"mean_abs_ci_bp":[2.11,3.04],"shock_rate":0.311,"shock_rate_ci":[0.274,0.351],"ac1":0.402,"ac1_ci":[0.329,0.47],"n_pairs":546},"audit":{"assumption":"coupon settlement days carry the reserve-drain pile","hardcoded_by":["Resonance mid_month mode (coupon settlement pile)","Swell settlement lift on >= $90B days","Weather crunch flags on settlement days"],"verdict":"CONFIRMS","detail":"CONFIRMS: serial dependence concentrates where the siblings put it, bands separate. Event bins (+/-1bd): lag-1 autocorr 0.402 [0.329, 0.47], shock rate 0.311 [0.274, 0.351], n=546; plain days: autocorr 0.637 [0.591, 0.679], rate 0.08 [0.062, 0.102], n=701"},"events_source":"realized auction calendar (coupon-only, settlement days >= $90B, the same parser Weather and Swell share)"},{"clock":"tax","label":"Corporate tax dates","ok":true,"vestigial":false,"n_events":42,"bins":[{"bin":"-3","n":42,"mean_abs_bp":1.14,"mean_abs_ci_bp":[0.7,1.59],"shock_rate":0.048,"shock_rate_ci":[0.013,0.158],"ac1":0.522,"ac1_ci":[0.259,0.713],"n_pairs":42},{"bin":"-2","n":42,"mean_abs_bp":1.31,"mean_abs_ci_bp":[0.78,1.84],"shock_rate":0.119,"shock_rate_ci":[0.052,0.25],"ac1":0.499,"ac1_ci":[0.23,0.697],"n_pairs":42},{"bin":"-1","n":42,"mean_abs_bp":1.36,"mean_abs_ci_bp":[0.83,1.89],"shock_rate":0.119,"shock_rate_ci":[0.052,0.25],"ac1":0.549,"ac1_ci":[0.294,0.731],"n_pairs":42},{"bin":"0","n":42,"mean_abs_bp":3.9,"mean_abs_ci_bp":[2.29,5.52],"shock_rate":0.524,"shock_rate_ci":[0.377,0.666],"ac1":0.748,"ac1_ci":[0.574,0.857],"n_pairs":42},{"bin":"+1","n":42,"mean_abs_bp":9.57,"mean_abs_ci_bp":[-4.67,23.82],"shock_rate":0.31,"shock_rate_ci":[0.191,0.46],"ac1":0.874,"ac1_ci":[0.776,0.931],"n_pairs":42},{"bin":"+2","n":42,"mean_abs_bp":2.21,"mean_abs_ci_bp":[0.51,3.92],"shock_rate":0.095,"shock_rate_ci":[0.038,0.221],"ac1":-0.461,"ac1_ci":[-0.671,-0.182],"n_pairs":42},{"bin":"+3","n":42,"mean_abs_bp":2.17,"mean_abs_ci_bp":[1.05,3.28],"shock_rate":0.048,"shock_rate_ci":[0.013,0.158],"ac1":0.873,"ac1_ci":[0.775,0.93],"n_pairs":42},{"bin":"interior","n":1790,"mean_abs_bp":2.04,"mean_abs_ci_bp":[1.86,2.23],"shock_rate":0.174,"shock_rate_ci":[0.157,0.192],"ac1":0.514,"ac1_ci":[0.479,0.547],"n_pairs":1789}],"event_pool":{"n":126,"mean_abs_bp":4.94,"mean_abs_ci_bp":[0.16,9.73],"shock_rate":0.317,"shock_rate_ci":[0.243,0.403],"ac1":0.187,"ac1_ci":[0.012,0.35],"n_pairs":126},"audit":{"assumption":"corporate tax dates pull deposits and force the basin","hardcoded_by":["Resonance tax_date mode","Swell/Microseism tax_date bucket"],"verdict":"CONFIRMS","detail":"CONFIRMS: serial dependence concentrates where the siblings put it, bands separate. Event bins (+/-1bd): lag-1 autocorr 0.187 [0.012, 0.35], shock rate 0.317 [0.243, 0.403], n=126; plain days: autocorr 0.637 [0.591, 0.679], rate 0.08 [0.062, 0.102], n=701"}},{"clock":"rmp","label":"Reserve maintenance period day (VESTIGIAL: reserve requirements zero since March 2020)","ok":true,"vestigial":true,"note":"kept as a historical audit only: reserve requirements went to zero in March 2020, no engine on this board keys on the maintenance period, and the live clocks are the month/quarter-end turns, Treasury settlement days and corporate tax dates","bins":[{"bin":"d01","n":213,"mean_abs_bp":2.06,"mean_abs_ci_bp":[1.57,2.54],"shock_rate":0.169,"shock_rate_ci":[0.125,0.225],"ac1":0.211,"ac1_ci":[0.079,0.336],"n_pairs":213},{"bin":"d02","n":212,"mean_abs_bp":1.98,"mean_abs_ci_bp":[1.5,2.46],"shock_rate":0.175,"shock_rate_ci":[0.129,0.231],"ac1":0.42,"ac1_ci":[0.302,0.525],"n_pairs":212},{"bin":"d03","n":191,"mean_abs_bp":2.41,"mean_abs_ci_bp":[1.68,3.14],"shock_rate":0.188,"shock_rate_ci":[0.139,0.25],"ac1":0.415,"ac1_ci":[0.29,0.526],"n_pairs":191},{"bin":"d04","n":216,"mean_abs_bp":3.45,"mean_abs_ci_bp":[0.65,6.26],"shock_rate":0.208,"shock_rate_ci":[0.16,0.267],"ac1":0.625,"ac1_ci":[0.536,0.7],"n_pairs":215},{"bin":"d05","n":213,"mean_abs_bp":1.92,"mean_abs_ci_bp":[1.44,2.41],"shock_rate":0.146,"shock_rate_ci":[0.104,0.199],"ac1":0.183,"ac1_ci":[0.05,0.31],"n_pairs":213},{"bin":"d06","n":208,"mean_abs_bp":1.83,"mean_abs_ci_bp":[1.44,2.21],"shock_rate":0.163,"shock_rate_ci":[0.119,0.22],"ac1":0.587,"ac1_ci":[0.49,0.669],"n_pairs":208},{"bin":"d07","n":208,"mean_abs_bp":1.85,"mean_abs_ci_bp":[1.41,2.28],"shock_rate":0.135,"shock_rate_ci":[0.095,0.188],"ac1":0.558,"ac1_ci":[0.457,0.645],"n_pairs":208},{"bin":"d08","n":193,"mean_abs_bp":2.27,"mean_abs_ci_bp":[1.56,2.98],"shock_rate":0.192,"shock_rate_ci":[0.142,0.253],"ac1":0.804,"ac1_ci":[0.748,0.849],"n_pairs":193},{"bin":"d09","n":216,"mean_abs_bp":1.94,"mean_abs_ci_bp":[1.58,2.31],"shock_rate":0.208,"shock_rate_ci":[0.16,0.267],"ac1":0.673,"ac1_ci":[0.593,0.74],"n_pairs":216},{"bin":"d10","n":214,"mean_abs_bp":2.19,"mean_abs_ci_bp":[1.46,2.92],"shock_rate":0.164,"shock_rate_ci":[0.12,0.219],"ac1":0.571,"ac1_ci":[0.473,0.655],"n_pairs":214}],"audit":{"assumption":"vestigial clock: reserve requirements have been zero since March 2020 and the retired maintenance-period clock should show no residual phase structure","hardcoded_by":["nothing on this board (that is the point)"],"verdict":"PARTIALLY CONFIRMS","detail":"PARTIALLY CONFIRMS: the retirement holds inside the bands, with a mild point-estimate lean on the old settlement Wednesday. Post-March-2020 subsample; period-end Wednesday (d10): lag-1 autocorr 0.7 [0.612, 0.77], shock rate 0.152 [0.105, 0.214], n=165; other maintenance-period days: autocorr 0.591 [0.556, 0.623], rate 0.133 [0.117, 0.152], n=1427"}}],"reading":"phase-resolved audit of the board's calendar assumptions: month_end CONFIRMS; quarter_end CONFIRMS; settlement CONFIRMS; tax CONFIRMS. The live clocks on this board are the month/quarter-end turns, Treasury settlement days and corporate tax dates; the reserve-maintenance clock is vestigial (reserve requirements zero since March 2020) and published as a historical audit only (PARTIALLY CONFIRMS on the post-2020 subsample).","caveats":["bins are thin (roughly 100-200 obs in the SOFR era): read the bands, not the points; an unbanded phase map invites noise-reading","pairs are consecutive observations in calendar order, attributed to the FIRST day's bin (the kernel paper's phase-resolved construction); a data gap pairs across the gap rather than inventing a day","the pop statistic carries a small built-in negative lag-1 autocorrelation on quiet data (consecutive pops share 4 of 5 trailing-median days): compare bins to the plain-day comparator, never to zero","the plain comparator excludes every day within 3bd of any live clock's events, so one clock's forcing cannot pad another's control group","display-only self-audit: no composite weight, no alert, no score (doctrine); an EMBARRASSES here changes the siblings only through a pre-registered methodology change, never automatically"],"method":"shock = pop = SOFR-IORB minus its trailing 5bd median (backtest.pop_bp, THE shared statistic; exceedance threshold 2bp, Microseism's catalog threshold). Per clock: signed bd distance to the nearest event, bins -3..+3 plus interior; per bin: n, mean |pop|, exceedance rate with Wilson 95% CI, phase-resolved lag-1 autocorrelation with Fisher-z 95% CI (>= 12 pairs before it prints). Settlement events: realized auction calendar (coupon-only, settlement days >= $90B, the same parser Weather and Swell share). Tax dates: config CORPORATE_TAX_DAYS (3/4/6/9/12 month 15, rolled to the next bd). Events on data gaps snap to the next observation. Audit: event bins (+/-1bd) vs the shared plain comparator; CONFIRMS needs band separation, PARTIALLY CONFIRMS a point-estimate lean, EMBARRASSES neither. Kernel: arXiv 2607.09426 (Kim and Hansen), intraday phase clock replaced by the US funding calendar."},"edetect":{"ok":true,"asof":"2026-08-11","alpha":0.001,"threshold":1000.0,"lambda_grid":[-2.0,-1.0,-0.5,-0.25,0.25,0.5,1.0,2.0],"baseline_bd":40,"arl_warranty":"1 false alarm per 1000 days in expectation","warranty_note":"The threshold is not backtested or tuned: for ANY pre-change distribution in the calibrated class, thresholding an e-detector at 1/alpha yields E[N*] >= 1/alpha \u2014 a nonasymptotic Frequentist average-run-length guarantee (arXiv:2203.03532, Thm. 2.4), valid at every sample size with no asymptotic regime and no multiple-comparison penalty for continuous monitoring. The warranty prices false alarms; it says nothing about the cause of a true one.","streams":{"spread":{"ok":true,"n_days":2087,"baseline":{"bd":40,"mu0_bp":-1.55,"sigma_hat_bp":4.607,"mean_pad_bp":1.457,"null_class":"sigma-sub-Gaussian, sigma <= 4.61bp, mean within mu0 +/- (1.46 + |lam|*4.61/2) bp per component"},"lambda_grid":[-2.0,-1.0,-0.5,-0.25,0.25,0.5,1.0,2.0],"alpha":0.001,"threshold":1000.0,"arl_warranty":"1 false alarm per 1000 days in 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pre-change class is calibrated on the FIRST 40 days only (mean bound padded 3 se, scale inflated 1.5x, plus a per-component |lam|*sigma/2 margin): the ARL warranty is exact INSIDE that calibrated class \u2014 under Gaussian baseline noise the padding fails only for a >3-sigma calibration draw (~0.3% per side) or a >33% scale underestimate (~1% at n=40), and heavier-than-Gaussian pre-change tails can void it entirely; the guarantee is exactly as good as this calibration","sensitivity is the price of the warranty: shifts below ~0.5 sigma-hat accrue evidence too slowly to alarm quickly \u2014 this tripwire rules on regime breaks, it does not scan for drifts","two independent detectors run (spread + tail); by the union bound the SYSTEM-level warranty halves to 1 false alarm per 500 days in expectation","after each alarm the accumulator restarts from zero: the FIRST alarm of a run carries the clean warranty; subsequent alarms are conditional statements about further changes","increments are clipped at \u00b112 sigma-hat so one corrupted print cannot manufacture evidence or overflow the accumulator","a detection says the regime CHANGED relative to the baseline window \u2014 including a slow permanent drift away from it; read the change-date and direction, not just the flag","no composite score: the e-value path is context about the basin, not evidence of stress today (doctrine)"],"method":"Shin\u2013Ramdas\u2013Rinaldo e-detector (arXiv:2203.03532), sub-Gaussian instantiation, per stream. Pre-change class calibrated on the first 40 obs: mean bound mu0 +/- 3 se, scale sigma_hat = 1.5x baseline sd. Baseline increments L_n(k) = exp(lam_k*(X_n - mu_k)/sigma_hat - lam_k^2/2) on the FIXED a-priori grid lam in [-2.0, -1.0, -0.5, -0.25, 0.25, 0.5, 1.0, 2.0] (K=8, uniform mixture \u2014 Prop. 2.3), each component's null boundary mu_k = mu0 +/- (pad + |lam| sigma_hat/2) so validity is exact inside the class (E[L] <= exp(-lam^2/2)). Each component runs Shiryaev\u2013Roberts M_n = L_n*(M_{n-1} + 1), the sum of e-processes restarted at consecutive times. Alarm when the mixture reaches 1/alpha = 1000 (Thm. 2.4: E[N*] >= 1/alpha = 1000 days, nonasymptotic). Change-date = argmax restart index of the dominant component's e-process at the alarm. Expected delay for a shift of D sigma-hat: ~ (ln(1/alpha) + ln K) / max_lam(lam*D - lam^2/2) days. Accumulator restarts from zero after each alarm."},"communique":{"ok":true,"asof":"2026-07-29","n_statements":29,"latest":{"date":"2026-07-29","hawk_score":1.43,"bs_tighten":0.0,"stress_score":0.0,"hawk_score_chg":0.7,"bs_tighten_chg":0.0,"stress_score_chg":0.0},"flags":[],"series":[{"date":"2023-02-01","hawk_score":1.28,"bs_tighten":0.0,"stress_score":0.0},{"date":"2023-03-22","hawk_score":1.88,"bs_tighten":0.0,"stress_score":0.0},{"date":"2023-05-03","hawk_score":1.28,"bs_tighten":0.0,"stress_score":0.0},{"date":"2023-06-14","hawk_score":0.64,"bs_tighten":0.0,"stress_score":0.0},{"date":"2023-07-26","hawk_score":1.28,"bs_tighten":0.0,"stress_score":0.0},{"date":"2023-09-20","hawk_score":0.64,"bs_tighten":0.0,"stress_score":0.0},{"date":"2023-11-01","hawk_score":0.63,"bs_tighten":0.0,"stress_score":0.0},{"date":"2023-12-13","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2024-01-31","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2024-03-20","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2024-05-01","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2024-06-12","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2024-07-31","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2024-09-18","hawk_score":-1.26,"bs_tighten":0.0,"stress_score":0.0},{"date":"2024-11-07","hawk_score":-0.65,"bs_tighten":0.0,"stress_score":0.0},{"date":"2024-12-18","hawk_score":-0.63,"bs_tighten":0.0,"stress_score":0.0},{"date":"2025-01-29","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2025-03-19","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2025-05-07","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2025-06-18","hawk_score":0.0,"bs_tighten":0.0,"stress_score":0.0},{"date":"2025-07-30","hawk_score":-0.64,"bs_tighten":0.0,"stress_score":0.0},{"date":"2025-09-17","hawk_score":-1.92,"bs_tighten":0.0,"stress_score":0.0},{"date":"2025-10-29","hawk_score":-1.88,"bs_tighten":0.0,"stress_score":0.0},{"date":"2025-12-10","hawk_score":-1.86,"bs_tighten":0.0,"stress_score":0.0},{"date":"2026-01-28","hawk_score":-0.66,"bs_tighten":0.0,"stress_score":0.0},{"date":"2026-03-18","hawk_score":-0.65,"bs_tighten":0.0,"stress_score":0.0},{"date":"2026-04-29","hawk_score":-1.27,"bs_tighten":0.0,"stress_score":0.0},{"date":"2026-06-17","hawk_score":0.73,"bs_tighten":0.0,"stress_score":0.0},{"date":"2026-07-29","hawk_score":1.43,"bs_tighten":0.0,"stress_score":0.0}],"caveats":["deterministic 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market","attention":0.0,"attention_z":-0.13,"tone_delta":null,"mean_daily_pct":null,"mean_sample_pct":0.003571,"current_share_pct":0.0,"matched_documents":0,"sample_documents":4994,"n_days":null,"n_samples":146},{"key":"reserves","label":"Bank reserves","attention":0.0,"attention_z":-0.14,"tone_delta":null,"mean_daily_pct":null,"mean_sample_pct":0.001408,"current_share_pct":0.0,"matched_documents":0,"sample_documents":4994,"n_days":null,"n_samples":146}],"flags":[],"caveats":["GDELT WEB-NGRAM document share \u2014 one downloadable heartbeat is scanned once for all frozen topics","bulk feed exposes occurrence, not DOC-model tone; tone is left unavailable rather than imputed","attention measures how loudly the press talks, not whether it is right","context engine: narrative is not plumbing evidence \u2014 never weighted into the composite"],"method":"per frozen topic phrase set: matched documents / all documents in each GDELT WEB-NGRAM heartbeat; latest 8 samples vs at least 20 earlier samples (z); transport follows GDELT's 2026 bulk-feed migration guidance"},"breakwater":{"ok":true,"asof":"2026-08-11","interventions":[{"date":"2019-09-17","label":"ad-hoc overnight repo operations resume (first since 2008)","kind":"operations","dating":"public record","in_sample":true,"spread_pctl_before":99.2,"spread_max20_bp":33.0,"srf_max20_b":null},{"date":"2019-10-11","label":"T-bill purchases $60B/mo announced (reserve management)","kind":"purchases","dating":"public record","in_sample":true,"spread_pctl_before":74.4,"spread_max20_bp":315.0,"srf_max20_b":null},{"date":"2020-03-15","label":"QE restart, swap-line enhancement, discount-window cut","kind":"crisis package","dating":"public record","in_sample":true,"spread_pctl_before":49.9,"spread_max20_bp":13.0,"srf_max20_b":null},{"date":"2021-07-28","label":"Standing Repo Facility established","kind":"standing facility","dating":"public 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SAVE, not a false alarm","context engine: the goalie's likely move is not evidence of stress and never enters the composite"],"method":"for each dated plumbing intervention, replay the board as of the day before the announcement (expanding percentile of SOFR\u2212IORB, 20d max spread, 20d max SRF usage); revealed threshold = median pre-intervention spread percentile; rescue proximity = today's percentile mapped 0-100 between the 50th percentile floor and the revealed 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tail","follows":"TGCR-SOFR","lag_d":1,"corr":-0.37},{"lead":"SOFR tail","follows":"BGCR-SOFR","lag_d":1,"corr":-0.36},{"lead":"DVP vol","follows":"RRP","lag_d":1,"corr":-0.36},{"lead":"DVP-TRI rate","follows":"TRI vol","lag_d":3,"corr":0.32},{"lead":"DVP vol","follows":"SOFR tail","lag_d":1,"corr":-0.31}],"method":"absorption ratio = top-2 PC variance share of 120bd standardized daily changes (Kritzman), sampled 5bd; edges = max |lag-k xcorr| k=1..3, |r|>=0.3"},"merian":{"ok":true,"asof":"2026-08-12","n_series":11,"series_used":["SOFR-IORB","EFFR-IORB","BGCR-SOFR","TGCR-SOFR","DVP-TRI rate","SOFR tail","SRF","RRP","TGA","DVP vol","TRI vol"],"window_bd":250,"rank":8,"modes":[{"period_bd":161.2,"efold_bd":32.3,"growth_per_bd":-0.03095,"direction":"decaying","amp_share":0.405,"label":null},{"period_bd":null,"efold_bd":16.2,"growth_per_bd":-0.06185,"direction":"decaying","amp_share":0.396,"label":null},{"period_bd":12.6,"efold_bd":4.4,"growth_per_bd":-0.227,"direction":"decaying","amp_share":0.124,"label":null},{"period_bd":3.3,"efold_bd":2.4,"growth_per_bd":-0.41527,"direction":"decaying","amp_share":0.047,"label":null},{"period_bd":2.0,"efold_bd":2.0,"growth_per_bd":-0.50757,"direction":"decaying","amp_share":0.027,"label":null}],"instability":{"g_now":-0.06185,"pctl":22.0,"verdict":"dominant modes are decaying \u2014 the basin is damping its oscillations (g* = -0.0619/bd)"},"rows":[["2019-09-19",-0.19391],["2019-09-26",-0.20361],["2019-10-03",-0.01794],["2019-10-10",-0.01849],["2019-10-18",-0.20991],["2019-10-25",-0.20703],["2019-11-01",-0.20713],["2019-11-08",-0.25434],["2019-11-18",-0.0438],["2019-11-25",-0.04315],["2019-12-03",-0.27163],["2019-12-10",-0.04592],["2019-12-17",-0.03219],["2019-12-24",-0.02334],["2020-01-02",-0.04401],["2020-01-09",-0.04073],["2020-01-16",-0.03193],["2020-01-24",-0.0323],["2020-01-31",-0.03066],["2020-02-07",-0.03206],["2020-02-14",-0.03022],["2020-02-24",-0.02803],["2020-03-02",-0.03136],["2020-03-09",-0.03841],["2020-03-16",-0.02667],["2020-03-23",-0.00272],["2020-03-30",-0.00482],["2020-04-06",-0.15419],["2020-04-13",-0.143],["2020-04-20",-0.06285],["2020-04-27",-0.08068],["2020-05-04",-0.08917],["2020-05-11",-0.0889],["2020-05-18",-0.02349],["2020-05-26",-0.02514],["2020-06-02",-0.02659],["2020-06-09",-0.02478],["2020-06-16",-0.10841],["2020-06-23",-0.10685],["2020-06-30",-0.10823],["2020-07-07",-0.10794],["2020-07-14",-0.11058],["2020-07-21",-0.11043],["2020-07-28",-0.11124],["2020-08-04",-0.11089],["2020-08-11",-0.11048],["2020-08-18",-0.11066],["2020-08-25",-0.10939],["2020-09-01",-0.1101],["2020-09-09",-0.17122],["2020-09-16",-0.02828],["2020-09-23",-0.02559],["2020-09-30",-0.01484],["2020-10-07",-0.01715],["2020-10-15",-0.01672],["2020-10-22",-0.01985],["2020-10-29",-0.01335],["2020-11-05",-0.02171],["2020-11-13",-0.02577],["2020-11-20",-0.01566],["2020-11-30",-0.01627],["2020-12-07",-0.01739],["2020-12-14",-0.02829],["2020-12-21",-0.03347],["2020-12-29",-0.03041],["2021-01-06",-0.03719],["2021-01-13",-0.04652],["2021-01-21",-0.04797],["2021-01-28",-0.05392],["2021-02-04",-0.04284],["2021-02-11",-0.0466],["2021-02-19",-0.04486],["2021-02-26",-0.04484],["2021-03-05",-0.04436],["2021-03-12",-0.0227],["2021-03-19",-0.05559],["2021-03-26",-0.01003],["2021-04-02",-0.01042],["2021-04-16",-0.01793],["2021-04-23",-0.14947],["2021-04-30",0.0735],["2021-05-07",0.00062],["2021-05-14",0.02309],["2021-05-21",0.04127],["2021-05-28",0.04622],["2021-06-07",0.00921],["2021-06-14",0.01158],["2021-06-21",0.01235],["2021-07-06",-0.01195],["2021-07-13",-0.02808],["2021-11-12",-0.00339],["2021-11-19",-0.00314],["2021-11-29",-0.00373],["2021-12-20",-0.0036],["2021-12-27",-0.00386],["2022-01-03",-0.00545],["2022-01-18",-0.00676],["2022-02-01",-0.00645],["2022-02-15",-0.00465],["2022-02-23",-0.00509],["2022-03-02",-0.00231],["2022-03-09",-0.00222],["2022-03-16",-0.00235],["2022-03-23",-0.00246],["2022-03-30",-0.00222],["2022-04-06",-0.0024],["2022-04-13",-0.00264],["2022-04-20",-0.00449],["2022-04-27",0.00497],["2022-05-04",-0.00541],["2022-05-11",-0.00809],["2022-05-18",-0.01519],["2022-05-25",-0.01214],["2022-06-02",-0.01497],["2022-06-09",-0.01882],["2022-06-16",-0.02279],["2022-06-24",-0.01831],["2022-07-01",-0.00616],["2022-07-11",-0.00638],["2022-07-18",-0.00701],["2022-07-25",-0.00316],["2022-08-01",-0.00991],["2022-08-08",-0.04772],["2022-08-15",-0.01159],["2022-08-22",-0.0124],["2022-08-29",-0.13656],["2022-09-06",-0.00989],["2022-09-13",-0.01172],["2022-09-20",-0.0159],["2022-09-27",-0.01322],["2022-10-04",-0.01426],["2022-10-12",-0.01778],["2022-10-19",-0.01533],["2022-10-26",-0.01189],["2022-11-02",-0.01085],["2022-11-09",-0.01126],["2022-11-17",-0.01068],["2022-11-25",-0.0087],["2022-12-02",-0.00572],["2022-12-09",-0.01001],["2022-12-16",-0.01013],["2022-12-23",-0.01015],["2023-01-03",-0.09768],["2023-01-10",-0.0085],["2023-01-18",-0.00814],["2023-01-25",-0.00593],["2023-02-01",-0.00607],["2023-02-08",-0.00613],["2023-02-15",-0.00747],["2023-02-23",-0.00715],["2023-03-02",-0.00801],["2023-03-09",-0.00596],["2023-03-16",-0.09422],["2023-03-23",-0.03895],["2023-03-30",-0.03908],["2023-04-06",-0.03714],["2023-04-13",-0.1032],["2023-04-20",-0.04141],["2023-04-27",-0.04004],["2023-05-04",-0.00979],["2023-05-11",-0.10562],["2023-05-18",-0.01027],["2023-05-25",-0.01324],["2023-06-02",-0.01671],["2023-06-09",-0.02211],["2023-06-16",-0.0187],["2023-06-26",-0.01501],["2023-07-03",-0.00474],["2023-07-11",0.00822],["2023-07-18",0.01641],["2023-07-25",0.01045],["2023-08-01",0.0019],["2023-08-08",-0.00417],["2023-08-15",-0.00458],["2023-08-22",-0.00863],["2023-08-29",-0.00863],["2023-09-06",-0.13314],["2023-09-13",-0.00229],["2023-09-20",-0.00195],["2023-09-27",-0.0027],["2023-10-04",-7e-05],["2023-10-12",0.00494],["2023-10-19",0.00484],["2023-10-26",0.0012],["2023-11-02",0.00074],["2023-11-09",-0.00106],["2023-11-16",-0.00153],["2023-11-24",-0.00255],["2023-12-01",-0.00466],["2023-12-08",-0.0042],["2023-12-15",0.00169],["2023-12-22",0.01754],["2024-01-02",0.00017],["2024-01-09",-0.00178],["2024-01-17",-0.00472],["2024-01-24",-0.26691],["2024-01-31",-0.00491],["2024-02-07",-0.00568],["2024-02-14",-0.00534],["2024-02-22",-0.00432],["2024-02-29",-0.00404],["2024-03-07",-0.00384],["2024-03-14",-0.00352],["2024-03-21",-0.00413],["2024-03-28",-0.00381],["2024-04-04",-0.00479],["2024-04-11",-0.005],["2024-04-18",-0.005],["2024-04-25",-0.00473],["2024-05-02",-0.00511],["2024-05-09",-0.00483],["2024-05-16",-0.0049],["2024-05-23",-0.00482],["2024-05-31",-0.22064],["2024-06-07",-0.00453],["2024-06-14",-0.00497],["2024-06-24",-0.00555],["2024-07-01",-0.22846],["2024-07-09",-0.00851],["2024-07-16",-0.00836],["2024-07-23",-0.00501],["2024-07-30",-0.00436],["2024-08-06",-0.00337],["2024-08-13",-0.00264],["2024-08-20",-0.00391],["2024-08-27",-0.0057],["2024-09-04",-0.00534],["2024-09-11",-0.00695],["2024-09-18",-0.00677],["2024-09-25",-0.00631],["2024-10-02",-0.00943],["2024-10-09",-0.01013],["2024-10-17",-0.00895],["2024-10-24",-0.00669],["2024-10-31",-0.00475],["2024-11-07",-0.00621],["2024-11-15",-0.00739],["2024-11-22",-0.00729],["2024-12-02",-0.01199],["2024-12-09",-0.02099],["2024-12-16",-0.37784],["2024-12-23",-0.01525],["2024-12-31",-0.6426],["2025-01-08",-0.01513],["2025-01-15",-0.01217],["2025-01-23",-0.01326],["2025-01-30",-0.67558],["2025-02-06",-0.01197],["2025-02-13",-0.01872],["2025-02-21",-0.02207],["2025-02-28",-0.02492],["2025-03-07",-0.55188],["2025-03-14",-0.03627],["2025-03-21",-0.04282],["2025-03-28",-0.00755],["2025-04-04",-0.00697],["2025-04-11",-0.6997],["2025-04-18",-0.76237],["2025-04-25",-0.73863],["2025-05-02",-0.70838],["2025-05-09",-0.62972],["2025-05-16",-0.62833],["2025-05-23",-0.05403],["2025-06-02",-0.57611],["2025-06-09",-0.60389],["2025-06-16",-0.0136],["2025-06-24",-0.04784],["2025-07-01",-0.39833],["2025-07-09",-0.00588],["2025-07-16",-0.00777],["2025-07-23",-0.00804],["2025-07-30",-0.01058],["2025-08-06",-0.00934],["2025-08-13",-0.01118],["2025-08-20",-0.00525],["2025-08-27",-0.00615],["2025-09-04",-0.00017],["2025-09-11",2e-05],["2025-09-18",-0.0005],["2025-09-25",-0.00168],["2025-10-02",-0.30818],["2025-10-09",-0.00441],["2025-10-17",-0.16138],["2025-10-24",-0.00424],["2025-10-31",0.01785],["2025-11-07",-0.00599],["2025-11-17",-0.40047],["2025-11-24",-0.41804],["2025-12-02",-0.48436],["2025-12-09",-0.42854],["2025-12-16",-0.00776],["2025-12-23",-0.0129],["2025-12-31",-0.01341],["2026-01-08",-0.00861],["2026-01-15",-0.00829],["2026-01-23",-0.29506],["2026-01-30",-0.2988],["2026-02-06",-0.00946],["2026-02-13",-0.30403],["2026-02-23",-0.01485],["2026-03-02",-0.05643],["2026-03-09",-0.02713],["2026-03-16",-0.02415],["2026-03-23",-0.02515],["2026-03-30",-0.02616],["2026-04-06",-0.26918],["2026-04-13",-0.01117],["2026-04-20",-0.2616],["2026-04-27",-0.0174],["2026-05-04",-0.26796],["2026-05-11",-0.06598],["2026-05-18",-0.06765],["2026-05-26",-0.27297],["2026-06-02",-0.01536],["2026-06-09",-0.01447],["2026-06-16",-0.01342],["2026-06-24",-0.28132],["2026-07-01",-0.09938],["2026-07-08",-0.09137],["2026-07-15",-0.08961],["2026-07-22",-0.07918],["2026-07-29",-0.07551],["2026-08-05",-0.07182],["2026-08-12",-0.06185]],"forecast_skill":{"mae_ratio":0.98,"n_scored":343,"verdict":"mode forecast edges persistence out-of-sample (MAE ratio 0.98) \u2014 treat as fragile; the modes' value is still the structure, not the point forecast"},"caveats":["DMD is a linear fit to a trailing window of a nonlinear basin \u2014 modes are a local linearization, their eigenvalues drift with the window","growth rates near zero flip sign under noise: read g* as an expanding percentile vs the gauge's own history, not as a literal doubling time, until the percentile is extreme","the 5bd mode forecast rarely beats persistence and the verdict self-demotes when it doesn't \u2014 the modes are structure evidence, not a trading signal","no composite contribution by doctrine: Merian is context/amplifier evidence, not stress evidence"],"method":"per series: resid = x \u2212 trailing 63bd median; z = resid / EXPANDING std (min 120 obs) \u2014 trailing only, mixed units enter on equal footing. One Hankel-DMD fit per trailing 250bd window (5 delay embeds; series covering >= 90% of the window, ffill <= 5; SVD rank <= 8 at 90% energy): eigenvalues give period 2\u03c0/|arg \u03bb| bd and growth ln|\u03bb| per bd; amplitudes solved against the LAST snapshot (current excitation); conjugate pairs collapsed. Instability g* = max growth over modes with period in 4\u201384bd (or non-oscillatory) and amp share >= 5%, sampled every 5bd walk-forward at fixed offsets, read as an expanding percentile vs own history. Forecast honesty: modes propagated 5bd, MAE vs persistence, published either way. A high-amplitude ~21bd mode, when present, is Resonance's month-end forcing seen a second, independent way."},"roguewave":{"ok":true,"asof":"2026-08-11","n_days":2084,"n_clusters":64,"threshold_bp":5.0,"exceed_rate_per_bd":0.03071,"fit":{"xi":0.657,"xi_ci95":[0.054,0.811],"beta":3.97,"n_exceed":64},"return_levels":[{"years":1.0,"bp":22.1,"ci95":[15.5,30.2]},{"years":5.0,"bp":65.7,"ci95":[26.3,107.8]},{"years":10.0,"bp":104.2,"ci95":[31.6,186.6]}],"p_exceed":[{"x_bp":10.0,"h5":0.05946,"h21":0.22701,"h63":0.53812,"basis":"gpd"},{"x_bp":15.0,"h5":0.03413,"h21":0.1357,"h63":0.35435,"basis":"gpd"},{"x_bp":25.0,"h5":0.01647,"h21":0.06739,"h63":0.18885,"basis":"gpd"},{"x_bp":35.0,"h5":0.01008,"h21":0.04166,"h63":0.11984,"basis":"gpd"}],"sensitivity":[{"pctl":70.0,"threshold_bp":3.0,"n":79,"xi":0.531},{"pctl":80.0,"threshold_bp":5.0,"n":64,"xi":0.657},{"pctl":85.0,"threshold_bp":6.0,"n":49,"xi":0.642},{"pctl":90.0,"threshold_bp":8.0,"n":31,"xi":0.633}],"xi_rows":[["2025-04-23",0.732],["2026-04-28",0.662]],"tail_verdict":"heavy-tailed basin (xi=0.66): the largest wave in the sample is NOT the largest the basin can make","sample_max_bp":305.0,"caveats":["declustering keeps cluster MAXIMA, deliberately unlike PROOF's first-day convention: PROOF wants lead time (the first day of the run), EVT wants magnitudes (the biggest wave of the episode) \u2014 same water, different question","bootstrap CIs resample the 64 excesses with lambda_u held FIXED \u2014 threshold-choice and exceedance-rate uncertainty are not propagated, so the intervals are if anything too narrow","a tail fit on n=64 cluster maxima is an extrapolation with stated error bars, not a measurement \u2014 read the CIs before the points","PWM is consistent only for xi < 0.5: a fit near that edge means 'very heavy', not a precise number","expanding statistics only: the current fit uses ALL history up to now; the xi history refits at fixed integer positions (500 rows, then every 252) so no published value changes when future data arrives","no composite score: the tail law is context about the basin, not evidence of stress today (doctrine)"],"method":"pop = SOFR\u2212IORB \u2212 trailing 5bd median (imported from backtest.pop_bp, THE shared event statistic; n=2084bd). Peaks-over-threshold: u = 80th pctl of the positive pops = 5.0bp; runs declustering (gap > 5bd starts a new cluster, cluster maximum kept) -> n=64 excesses at lambda_u = 64/2084 clusters/bd. GPD(xi, beta) by probability-weighted moments (Hosking\u2013Wallis 1987). T-year return level = u + (beta/xi)((252\u00b7T\u00b7lambda_u)^xi \u2212 1); P(pop \u2265 x within h bd) = 1 \u2212 exp(\u2212h\u00b7lambda_u\u00b7S(x)) above u, empirical per-bd rate below u. CIs: 400 bootstrap resamples of the excess vector, seed 7, lambda_u fixed. Return levels extend P(pop \u2265 x) beyond the sample maximum (305.0bp) with stated uncertainty \u2014 the number Swell cannot produce."},"caesar":{"ok":true,"asof":"2026-08-11","n_days":2084,"var95_bp":5.039,"es95_bp":13.084,"var99_bp":3.999,"es99_bp":12.85,"levels":{"q95":{"theta":0.05,"var_bp":5.039,"es_bp":13.084,"loss_ratio_vs_climatology":1.0461,"mean_fz_loss":{"caesar":3.15476,"climatology":3.01582}},"q99":{"theta":0.01,"var_bp":3.999,"es_bp":12.85,"loss_ratio_vs_climatology":0.953,"mean_fz_loss":{"caesar":3.56781,"climatology":3.74377}}},"loss_ratio_vs_climatology":{"q95":1.0461,"q99":0.953},"reliability":[{"level":"q95","nominal":0.05,"exceedance_rate":0.0145,"n_origins":1584,"wilson95":[0.0097,0.0217]},{"level":"q99","nominal":0.01,"exceedance_rate":0.0069,"n_origins":1584,"wilson95":[0.0039,0.0124]}],"verdict":"use climatology","verdict_detail":"SELF-DEMOTION: walk-forward loss ratio vs climatology >= 1 at at least one level (q95 1.046, q99 0.953) \u2014 the unconditional band is the honest forecast here","n_origins":1584,"caveats":["SELF-DEMOTION: walk-forward loss ratio vs climatology >= 1 at at least one level (q95 1.046, q99 0.953) \u2014 the unconditional band is the honest forecast here","modeled in negated space (y = \u2212pop) so the left tail is the stress tail \u2014 the paper's sign convention; published bands are flipped back to bp of pop, where ES >= VaR","monotonicity is a SOFT constraint in estimation (penalty lambda=10, paper's value); the published pairs are repaired hard (ES never below VaR) \u2014 stated, not hidden","estimation detail: the CAViaR step solves exact pinball LPs (scipy linprog/HiGHS) inside a fixed-point iteration over the recursion's own lag \u2014 a local scheme, not the global nonlinear optimum; weekly refits are warm-started from the previous refit","the 99% level expects ~16 exceedances over 1584 scored origins \u2014 the q99 reliability interval is wide by construction, read the Wilson CI","no forecast is published before the expanding fit has 500 observations: thinner fits measured systematically miscalibrated in this engine's own walk-forward, so early origins are withheld rather than scored \u2014 refusal beats false precision","the FZ loss floors ES at \u22121e-6 bp to stay finite; a forecaster (usually climatology) whose ES is not strictly negative eats a large penalty \u2014 directionally honest, magnitude arbitrary","no refit-uncertainty CIs on the VaR/ES bands themselves (a bootstrap over the three-step fit is not cheap); the walk-forward skill ratio and the reliability table are the uncertainty statement offered here","no composite score: tomorrow's tail bands are context for the basin, not evidence of stress today (doctrine)","cross-level quantile crossing at the final fit (q99 band inside q95) \u2014 the two levels are separate fits and the paper constrains only ES<=VaR within a level"],"method":"pop = SOFR\u2212IORB \u2212 trailing 5bd median (imported from backtest.pop_bp, THE shared event statistic; n=2084bd), modeled in negated space y = \u2212pop. CAESar AS-(1,1) per arXiv:2407.06619 (Gatta\u2013Lillo\u2013Mazzarisi) \u2014 CAViaR (Engle\u2013Manganelli 2004) extended to a joint (VaR, ES) estimator: [q; e]_t = [b0; g0] + [b1 b2; g1 g2]\u00b7[(y+); (y\u2212)]{t\u22121} + [b3 b4; g3 g4]\u00b7[q; e]{t\u22121}. Three steps: (1) CAViaR quantile regression as an exact Koenker\u2013Bassett LP (linprog/HiGHS, persistence bounded to [0, 0.999]) in a fixed point over the recursion's lag, multi-started from three deterministic anchors on cold refits; (2) ES\u2212VaR gap autoregression under the BCGNS squared-excess loss with soft monotonicity penalty; (3) joint Nelder\u2013Mead re-estimation of the Fissler\u2013Ziegel / Patton\u2013Ziegel\u2013Chen loss with penalties for e > q and q > 0 (lambda=10); published pairs monotonicity-repaired. Expanding-window walk-forward from a 500bd prefix, refit every 5bd with coefficients carried between refits; one-step-ahead forecasts scored under the same FZ loss against rolling-250bd climatology (order-statistic quantile, tail-mean ES). Verdict self-demotes to climatology when the loss ratio >= 1."},"warehouse":{"ok":true,"asof":"2026-07-29","total_net_b":431.0,"total_pctl":96.0,"chg_13w_b":-33.0,"long_end_share_pct":37.0,"buckets":[{"bucket":"Bills","net_b":64.5,"pctl":80.0},{"bucket":"Coupons <2y","net_b":89.3,"pctl":97.0},{"bucket":"Coupons 2-3y","net_b":27.7,"pctl":97.0},{"bucket":"Coupons 3-6y","net_b":58.5,"pctl":84.0},{"bucket":"Coupons 6-7y","net_b":31.6,"pctl":95.0},{"bucket":"Coupons 7-11y","net_b":37.1,"pctl":93.0},{"bucket":"Coupons 11-21y","net_b":65.0,"pctl":96.0},{"bucket":"Coupons 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Japan","amount_m":2.0,"term_days":7,"rate":3.87,"is_small_value":false},{"trade_date":"2026-07-15","counterparty":"European Central Bank","amount_m":378.0,"term_days":7,"rate":3.88,"is_small_value":false},{"trade_date":"2026-07-08","counterparty":"Bank of England","amount_m":5.0,"term_days":7,"rate":3.88,"is_small_value":false},{"trade_date":"2026-07-08","counterparty":"European Central Bank","amount_m":128.0,"term_days":7,"rate":3.88,"is_small_value":false},{"trade_date":"2026-07-07","counterparty":"Bank of Japan","amount_m":2.0,"term_days":7,"rate":3.88,"is_small_value":false},{"trade_date":"2026-07-01","counterparty":"European Central Bank","amount_m":170.0,"term_days":7,"rate":3.88,"is_small_value":false}],"small_value_ops_excluded":5},"channels":{"foreign_rrp_b":317.7,"foreign_rrp_chg_13w_b":-3.3,"dollar_idx":119.06,"dollar_idx_z":-0.75},"out_of_scope":"daily-overlap coupling now spans US, euro area, UK, Japan (TONA), China (SHIBOR O/N, z quarantined while local history accrues) plus the INR/CNY/JPY/KRW FX legs; per-country depth lives in the Harbors panel with cadence stated. India and Korea rate anchors stay monthly-lagged context \u2014 never interpolated into daily coupling math. India's DAILY rates anchor pending (CCIL = HTML, RBI DBIE = broken SSL, probed 2026-07-07); Russia and African markets still meet no keyless bar \u2014 excluded, not faked","method":"tide = top-2 PC variance share of 120bd standardized daily changes across basins+channels (sampled 5bd, pctl vs own history); edges = max |lag-k xcorr| k=1..3, |r|>=0.25; confession = NY Fed USD swap ops ex small-value tests + H.4.1 outstanding"},"thermohaline":{"ok":true,"asof":"2026-03-31","publication_lag_days":134,"stock":{"usd_trillions":14.74,"yoy_pct":7.4,"yoy_pctl":59.0},"composition":{"loans":{"yoy_pct":8.3,"pctl":65.0},"debt_securities":{"yoy_pct":6.6,"pctl":33.0}},"eme":{"yoy_pct":7.8,"pctl":59.0},"credit_gaps":[{"economy":"United States","gap_pp":-11.5,"pctl":23.0,"asof":"2025-12-31","reading":"credit below trend"},{"economy":"China","gap_pp":-7.7,"pctl":15.0,"asof":"2025-12-31","reading":"credit below trend"}],"yoy_rows":[["2001-03-31",10.52],["2001-06-30",10.74],["2001-09-30",7.46],["2001-12-31",4.92],["2002-03-31",1.57],["2002-06-30",0.56],["2002-09-30",3.56],["2002-12-31",1.21],["2003-03-31",6.72],["2003-06-30",9.09],["2003-09-30",10.71],["2003-12-31",14.35],["2004-03-31",13.87],["2004-06-30",12.83],["2004-09-30",11.1],["2004-12-31",12.62],["2005-03-31",10.13],["2005-06-30",10.47],["2005-09-30",12.17],["2005-12-31",11.46],["2006-03-31",15.07],["2006-06-30",17.79],["2006-09-30",16.92],["2006-12-31",21.46],["2007-03-31",20.84],["2007-06-30",24.49],["2007-09-30",24.37],["2007-12-31",19.91],["2008-03-31",21.03],["2008-06-30",15.38],["2008-09-30",13.7],["2008-12-31",4.7],["2009-03-31",-0.94],["2009-06-30",-2.12],["2009-09-30",-1.52],["2009-12-31",5.62],["2010-03-31",11.01],["2010-06-30",9.57],["2010-09-30",13.11],["2010-12-31",14.27],["2011-03-31",11.48],["2011-06-30",14.96],["2011-09-30",12.29],["2011-12-31",8.6],["2012-03-31",6.69],["2012-06-30",3.54],["2012-09-30",3.08],["2012-12-31",7.06],["2013-03-31",9.36],["2013-06-30",11.32],["2013-09-30",10.14],["2013-12-31",8.43],["2014-03-31",7.85],["2014-06-30",7.87],["2014-09-30",9.03],["2014-12-31",6.53],["2015-03-31",6.1],["2015-06-30",6.51],["2015-09-30",4.63],["2015-12-31",5.73],["2016-03-31",4.25],["2016-06-30",4.45],["2016-09-30",6.1],["2016-12-31",5.21],["2017-03-31",5.94],["2017-06-30",5.1],["2017-09-30",5.41],["2017-12-31",6.5],["2018-03-31",6.52],["2018-06-30",6.03],["2018-09-30",4.02],["2018-12-31",4.13],["2019-03-31",3.33],["2019-06-30",3.38],["2019-09-30",4.86],["2019-12-31",4.79],["2020-03-31",7.32],["2020-06-30",6.52],["2020-09-30",5.28],["2020-12-31",5.1],["2021-03-31",3.73],["2021-06-30",4.92],["2021-09-30",6.25],["2021-12-31",5.51],["2022-03-31",2.73],["2022-06-30",0.65],["2022-09-30",-2.45],["2022-12-31",-4.57],["2023-03-31",-5.19],["2023-06-30",-3.58],["2023-09-30",-1.82],["2023-12-31",-0.34],["2024-03-31",2.69],["2024-06-30",2.63],["2024-09-30",3.09],["2024-12-31",2.83],["2025-03-31",5.17],["2025-06-30",6.2],["2025-09-30",7.3],["2025-12-31",8.47],["2026-03-31",7.37]],"reading":"mid-cycle: offshore dollar credit +7.4% yoy (59th pctl)","caveats":["BIS publishes ~2 quarters after the reference period \u2014 this print is 134 days old BY DESIGN, stated not hidden","quarterly data cannot evidence stress today: this engine locates the squeeze inside the credit cycle \u2014 context ONLY, never composite (doctrine)","expanding percentiles vs the series' own history since 2000 \u2014 no cross-sample reference, no look-ahead","credit-to-GDP gaps use the BIS one-sided HP filter; the level is famously sensitive to the trend estimate at the sample edge \u2014 read the sign and the trend, not the decimal"],"method":"BIS Data Portal (keyless SDMX-CSV): offshore stock = USD credit (bank loans + debt securities) to non-banks outside the US (WS_GLI); growth = yoy of the quarterly stock; percentiles expanding vs own history since 2000 (min 24 obs); credit-to-GDP gaps = BIS actual \u2212 one-sided HP trend (WS_CREDIT_GAP). Quarterly, lagged, context only."},"harbors":{"ok":true,"asof":"2026-08-12","harbors":[{"harbor":"EURO AREA","cadence":"daily","rate":{"label":"\u20acSTR","last_pct":2.184,"asof":"2026-08-11","chg_6m_bp":25.4,"chg_1y_bp":26.6,"n_obs":1757},"regime":"TIGHTENING","rate2":null,"fx":{"label":"EUR per USD","last":0.8651,"asof":"2026-08-07","chg_60d_pct":-0.12,"vol10_ann_pct":11.56},"stress":72.2,"stress_coverage":1.0},{"harbor":"JAPAN","cadence":"daily","rate":{"label":"TONA (BOJ)","last_pct":0.977,"asof":"2026-08-07","chg_6m_bp":25.0,"chg_1y_bp":50.0,"n_obs":7010},"regime":"TIGHTENING","rate2":null,"fx":{"label":"JPY per USD","last":157.54,"asof":"2026-08-07","chg_60d_pct":-1.61,"vol10_ann_pct":28.66},"stress":71.2,"stress_coverage":1.0},{"harbor":"KOREA","cadence":"monthly ~2mo lag","rate":{"label":"o/n call (OECD MEI)","last_pct":2.537,"asof":"2026-06-01","chg_6m_bp":2.5,"chg_1y_bp":1.7,"n_obs":318},"regime":"HOLDING","rate2":null,"fx":{"label":"KRW per USD","last":1409.94,"asof":"2026-08-07","chg_60d_pct":-7.74,"vol10_ann_pct":21.42},"stress":55.8,"stress_coverage":1.0},{"harbor":"INDIA","cadence":"monthly ~2mo lag","rate":{"label":"call money (OECD MEI)","last_pct":5.5,"asof":"2026-05-01","chg_6m_bp":-25.0,"chg_1y_bp":-75.0,"n_obs":317},"regime":"EASING","rate2":null,"fx":{"label":"INR per USD","last":95.21,"asof":"2026-08-07","chg_60d_pct":-0.52,"vol10_ann_pct":5.52},"stress":46.4,"stress_coverage":1.0},{"harbor":"CHINA","cadence":"daily","rate":{"label":"SHIBOR O/N (CFETS)","last_pct":1.371,"asof":"2026-08-12","chg_6m_bp":null,"chg_1y_bp":null,"n_obs":33},"regime":null,"rate2":{"label":"FDR007 secured 7d (\u2248DR007 proxy)","last_pct":1.39,"asof":"2026-08-12"},"fx":{"label":"CNY per 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AREA","CHINA","INDIA","JAPAN","KOREA"],"caveats":["India/Japan/Korea anchor rates are OECD MEI monthly mirrors, ~2 months late by design \u2014 charted as points, never interpolated to fake a daily feed","SHIBOR history accrues locally (the CFETS API serves ~1 month per request); China scores stay quarantined until enough own history exists","stress percentiles are each harbor's own history \u2014 no cross-economy calibration"],"method":"stress = weighted pctl-of-own-history blend: FX 10d realized vol (w=0.4), 60d FX depreciation vs USD (w=0.35), 6m anchor-rate tightening (w=0.25); missing components renormalize, never score as calm; regime = 6m \u0394rate vs \u00b115.0bp"},"spillover":{"ok":true,"asof":"2026-08-07","nodes":["JP\u00b7rate","US\u00b7rate","EUR\u00b7fx","CNY\u00b7fx","JPY\u00b7fx","INR\u00b7fx","KRW\u00b7fx","EUR\u00b7rate"],"n_obs":1428,"lag":2,"horizon":10,"total_connectedness":21.2,"directional":[{"node":"EUR\u00b7fx","to":51.8,"from":41.6,"net":10.2,"role":"transmitter"},{"node":"EUR\u00b7rate","to":4.8,"from":2.5,"net":2.3,"role":"transmitter"},{"node":"CNY\u00b7fx","to":35.4,"from":34.3,"net":1.1,"role":"transmitter"},{"node":"JP\u00b7rate","to":2.0,"from":2.4,"net":-0.4,"role":"receiver"},{"node":"JPY\u00b7fx","to":30.7,"from":32.3,"net":-1.7,"role":"receiver"},{"node":"INR\u00b7fx","to":16.5,"from":19.7,"net":-3.2,"role":"receiver"},{"node":"US\u00b7rate","to":1.4,"from":5.2,"net":-3.9,"role":"receiver"},{"node":"KRW\u00b7fx","to":27.5,"from":31.9,"net":-4.4,"role":"receiver"}],"source":"EUR\u00b7fx","sink":"KRW\u00b7fx","verdict":"system connectedness 21/100; EUR\u00b7fx is the net stress SOURCE this window (net +10)","caveats":["connectedness is a statistical lead in forecast-error variance, NOT a proven transmission channel \u2014 read it as structure, not causation","blind to EXOGENOUS shocks: a VAR/correlation graph missed the COVID crash (SRR, arXiv:2512.17185), which arrived through policy/liquidity not through rising linkage \u2014 the physics engines are its complement here","generalized (order-invariant) FEVD, row-normalized (Diebold-Yilmaz 2014); monthly-cadence harbors are excluded from the daily VAR, never interpolated","a 8-node VAR(p=2) on keyless daily history \u2014 a short or collinear panel widens the error bars the point estimates here do not show"],"method":"Diebold-Yilmaz connectedness: VAR(2) by OLS on standardized daily changes of 8 nodes, generalized FEVD (Pesaran-Shin 1998) at horizon 10, row-normalized; TOTAL = mean cross-node variance share, NET(i) = TO(i) \u2212 FROM(i)."},"stationkeeping":{"ok":true,"asof":"2026-08-11","channels":{"TGA":{"s_pos":0.77,"s_neg":0.0,"active":false,"active_since":null,"n_alarms":26,"note":"innovations vs the fiscal seasonal model \u2014 burns = unscheduled cash moves (debt-ceiling games, buyback shifts)"},"RRP":{"s_pos":0.0,"s_neg":0.0,"active":false,"active_since":null,"n_alarms":118,"note":"burns = the shock absorber refilling/draining outside its calendar rhythm"},"WALCL":{"s_pos":0.0,"s_neg":3.37,"active":true,"active_since":"2026-05-13","n_alarms":21,"note":"burns = balance-sheet policy changes (QT stop, RMP pace) vs the trailing 26w drift"}},"recent_maneuvers":[{"date":"2026-06-30","start":"2026-06-29","direction":"drain","cum_b":-56.0,"channel":"RRP"},{"date":"2026-06-01","start":"2026-05-29","direction":"build","cum_b":43.0,"channel":"RRP"},{"date":"2026-05-01","start":"2026-05-01","direction":"build","cum_b":39.9,"channel":"RRP"},{"date":"2026-04-21","start":"2026-04-13","direction":"build","cum_b":293.2,"channel":"TGA"},{"date":"2026-03-31","start":"2026-03-30","direction":"drain","cum_b":-61.7,"channel":"RRP"},{"date":"2026-01-07","start":"2026-01-07","direction":"drain","cum_b":-65.4,"channel":"WALCL"},{"date":"2025-12-31","start":"2025-12-17","direction":"build","cum_b":106.5,"channel":"WALCL"},{"date":"2025-07-03","start":"2025-07-01","direction":"drain","cum_b":-197.4,"channel":"RRP"},{"date":"2025-06-30","start":"2025-06-23","direction":"build","cum_b":253.0,"channel":"RRP"},{"date":"2025-06-02","start":"2025-06-02","direction":"drain","cum_b":-179.1,"channel":"RRP"}],"any_active":true,"method":"orbit-determination transfer: propagate expected state (fiscal seasonal / calendar-bucket / trailing drift), standardize one-step innovations by rolling MAD (floor $0.5B), two-sided CUSUM k=0.5, h=6.0 daily / 4.0 weekly; alarm = unmodeled burn. Doubles as the Weather model's health monitor. Context, not composite."},"farbasin":{"ok":true,"asof":"2026-08-12","channels":{"fear":{"label":"Deletion-threat (top-term 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active","method":"associational event-study, not causal \u2014 after arXiv:2601.08263 (Lin, \"A Blessing in Disguise?\"): DeFi exploit days > $25M, declustered at 5bd keeping the max (n=70); per event the signed path of the 3m AA CP\u2212bill spread (DCPN3M\u2212DGS3MO) in [-5,+10]bd vs its trailing 60bd median; hit = min post-window spread minus pre-window median < -1 trailing-sigma (level std over the 60bd strictly pre-event). Significance vs a placebo: 100 seeded shuffles of the event dates (seed 26010826, same min-gap and coverage constraints), percentile of the real hit rate published. Trailing statistics only \u2014 no value changes when future data arrives.","caveats":["associational event-study, not causal: the paper itself states the liquidity-recycling channel is inferred from pricing patterns and monthly holdings \u2014 daily fund-level routing into prime money funds is not observed","the hit statistic takes the MIN over a 10bd post window \u2014 selection-biased by construction; the shuffle placebo is the calibration, not the raw hit rate","hacks_usd completeness is the collector's (llama.fi exploit coverage); zeros are taken at face value \u2014 missing exploit data masquerades as quiet days","the spread is 3m AA nonfinancial CP minus the 3m bill (DCPN3M\u2212DGS3MO): the result is specific to this spread, exploit-driven shocks, and short windows (per the paper's own scope note)","exploit dating is UTC-day; a weekend exploit maps to the next trading day on the CP grid \u2014 timing slop of up to 2 calendar days is possible","no composite score: a narrowing CP spread is context about a cross-market channel, not evidence of dollar-funding stress today 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ICE Brent Index","release_valve":"a broader waterborne cargo pool and rerouting","inventory_print":"no single equivalent weekly hub-stock print","basket":"BFOET grades plus WTI Midland cargoes since 2023"}],"hub_taxonomy":[{"type":"inland deliverability","examples":["Cushing","Hardisty","Midland"],"mechanism":"local inventory, pipeline constraints and delivery obligations can dominate basis"},{"type":"storage and blending","examples":["ARA / Rotterdam","Singapore","Fujairah","Zhoushan"],"mechanism":"tank availability, grade blending and regional flows shape differentials"},{"type":"waterborne price formation","examples":["North Sea / Brent","Dubai / Oman"],"mechanism":"cargo programmes, quality differentials and freight connect a wider deliverable pool"},{"type":"export gateways","examples":["Houston","Corpus Christi"],"mechanism":"dock, channel and freight economics transmit inland basis into the seaborne market"},{"type":"cross-commodity analogues","examples":["Henry Hub","LME warehouses","Illinois River"],"mechanism":"delivery geography turns local inventory and transport constraints into benchmark basis"}],"control_stack":[{"layer":"physical flow","nodes":"Hormuz \u00b7 Malacca","status":"observed structural exposure"},{"layer":"freight and insurance","nodes":"voyage availability \u00b7 war-risk premium","status":"transmission layer"},{"layer":"global price formation","nodes":"Brent complex \u00b7 Dubai/Oman","status":"benchmark layer"},{"layer":"supply response","nodes":"OPEC+ capacity \u00b7 Permian","status":"months, not hours"},{"layer":"local deliverability","nodes":"Cushing \u00b7 WTI basis","status":"weekly physical constraint"}],"transmission_order":["chokepoint risk","insurance and freight","export economics","physical differentials","benchmark spreads","flat price"],"chokepoints":{"rows":[{"name":"Strait of Malacca","q4_2025_mbd":24.0,"q1_2026_mbd":20.9,"kind":"chokepoint"},{"name":"Strait of Hormuz","q4_2025_mbd":20.7,"q1_2026_mbd":14.6,"kind":"chokepoint"},{"name":"Cape of Good Hope","q4_2025_mbd":9.6,"q1_2026_mbd":8.0,"kind":"alternate route"},{"name":"Bab el-Mandeb","q4_2025_mbd":5.2,"q1_2026_mbd":5.4,"kind":"chokepoint"},{"name":"Suez + SUMED","q4_2025_mbd":5.1,"q1_2026_mbd":4.9,"kind":"route + pipeline"},{"name":"Danish Straits","q4_2025_mbd":4.9,"q1_2026_mbd":4.8,"kind":"chokepoint"},{"name":"Turkish Straits","q4_2025_mbd":3.6,"q1_2026_mbd":3.3,"kind":"chokepoint"},{"name":"Panama Canal","q4_2025_mbd":2.8,"q1_2026_mbd":2.9,"kind":"canal"}],"unit":"million barrels per day","release_date":"2026-05-13","latest_period":"1Q26","world_supply_q1_2026_mbd":95.4,"quality_note":"quarterly EIA estimates, not live traffic; Hormuz AIS data since late February 2026 are especially unreliable and revised frequently","live_status":"not asserted by Seiche without a reliable live transit feed"},"india":{"crude_import_dependence_pct":88.5,"non_hormuz_crude_routing_pct":70.0,"prior_non_hormuz_crude_routing_pct":55.0,"lpg_imports_via_hormuz_pct":90.0,"strategic_inventory_m_bbl":21.0,"strategic_inventory_period":"1Q26 or latest available","excise_cut_inr_per_litre":10.0,"mangaluru_expansion_mmt":1.75,"mangaluru_expansion_status":"planned Phase II capacity in ISPRL annual report","verdict":"diversification reduced immediate route concentration; import dependence and the small strategic barrel buffer remain structural exposures"},"principles":["Places that publish data get attention; places that control physical flow get the outcome.","WTI is a claim on a specified delivery hub; Brent is a claim on a broader cargo-based benchmark complex.","If inventory matters to the model, the financing rate is a driver\u2014not a background assumption."]},"scenario":{"assumptions":{"tenor_days":90.0,"storage_usd_per_bbl_day":0.03,"insurance_rate_pct":0.5,"forward_spread_usd_per_bbl":0.0,"barrels_per_cargo_m":2.0,"daily_throughput_mbd":0.2,"voyage_days":45.0,"baseline_voyage_days":15.0,"net_short_hedge_m_bbl":1.0,"oil_price_change_usd_per_bbl":8.0,"initial_margin_rate_change_pct":5.0,"india_import_mbd":5.0,"india_oil_shock_usd_per_bbl":10.0,"rbi_usd_sales_b":2.0,"liquidity_replenishment_pct":25.0,"under_recovery_inr_crore_day":1000.0,"compensation_lag_days":30.0,"cp_funding_share_pct":40.0,"oil_price_usd_per_bbl":81.96,"funding_rate_pct":3.64,"usd_inr":95.21},"outputs":{"carry":{"storage_cost_usd_per_bbl":2.7,"financing_cost_usd_per_bbl":0.736,"insurance_cost_usd_per_bbl":0.101,"required_contango_usd_per_bbl":3.537,"mechanical_headroom_usd_per_bbl":-3.537},"trade_finance":{"cargo_credit_usd":163920000.0,"cargo_financing_cost_usd":735619.07,"in_transit_working_capital_usd":737640000.0,"incremental_voyage_working_capital_usd":491760000.0,"voyage_working_capital_multiple":3.0},"margin":{"variation_margin_call_usd":8000000.0,"initial_margin_call_usd":4098000.0,"same_day_liquidity_demand_usd":12098000.0},"india":{"annual_import_bill_change_usd":18250000000.0,"annual_import_bill_change_inr":1737582500000.0,"rbi_gross_liquidity_absorption_inr":190420000000.0,"rbi_unreplenished_liquidity_absorption_inr":142815000000.0,"omc_under_recovery_funding_stock_inr":300000000000.0,"omc_cp_funding_demand_inr":120000000000.0}}},"channel_directions":{"cost_of_carry":"money_market_rates_to_oil_curve","trade_finance":"oil_price_and_voyage_to_bank_funding","margin":"oil_price_move_to_same_day_cash","india_external":"oil_price_to_import_bill","india_fx_liquidity":"rbi_dollar_sales_to_rupee_liquidity","india_omc":"under_recovery_to_commercial_paper","petrodollar_recycling":"oil_receipts_to_foreign_official_dollar_assets","inflation_policy":"oil_to_inflation_to_policy_rate"},"sources":[{"series":"WTI spot","source":"EIA via FRED","id":"DCOILWTICO"},{"series":"Brent spot","source":"EIA via FRED","id":"DCOILBRENTEU"},{"series":"3m AA CP","source":"Federal Reserve via FRED","id":"DCPN3M / DCPF3M"},{"series":"3m Treasury","source":"Federal Reserve via FRED","id":"DGS3MO"},{"series":"SOFR / IORB","source":"New York Fed / Federal Reserve via FRED","id":"SOFR / IORB"},{"series":"USD/INR","source":"Federal Reserve H.10 via FRED","id":"DEXINUS"},{"series":"Energy / core CPI","source":"BLS via FRED","id":"CPIENGSL / CPILFESL"},{"series":"Foreign-official dollar parking","source":"Federal Reserve H.4.1 via FRED","id":"WMTSECL1 / WLRRAFOIAL"},{"series":"Cushing commercial crude stocks","source":"U.S. EIA","id":"W_EPC0_SAX_YCUOK_MBBL","url":"https://www.eia.gov/dnav/pet/hist/LeafHandler.ashx?n=PET&s=W_EPC0_SAX_YCUOK_MBBL&f=W"},{"series":"Cushing storage capacity","source":"U.S. EIA, March 2024 (discontinued)","id":"crudeoilstorage.xlsx","url":"https://www.eia.gov/petroleum/storagecapacity/"},{"series":"Global chokepoint flows / strategic inventories","source":"U.S. EIA Global Energy Security Data","id":"May 2026","url":"https://www.eia.gov/outlooks/steo/report/energysecurity/article.php"},{"series":"WTI delivery mechanics","source":"CME Group","id":"WTI delivery at Cushing","url":"https://www.cmegroup.com/education/courses/introduction-to-crude-oil/crude-oil-fundamentals/delivery-of-wti-futures"},{"series":"Brent contract mechanics","source":"ICE","id":"Brent Crude Futures","url":"https://www.ice.com/products/219"},{"series":"India route diversification","source":"Government of India PIB","id":"2026-03-11","url":"https://www.pib.gov.in/PressReleasePage.aspx?PRID=2238525&lang=1&reg=3"},{"series":"India crude import dependence","source":"Government of India PIB","id":"July 2026","url":"https://static.pib.gov.in/WriteReadData/specificdocs/documents/2026/jul/doc202675912001.pdf"},{"series":"Mangaluru strategic-storage expansion","source":"Indian Strategic Petroleum Reserves Limited","id":"FY2024-25 annual report","url":"https://www.isprlindia.com/downloads/annual-reports/Annual_Report_Final_2025_Revised_English.pdf"}],"caveats":["WTI and Brent are spot benchmarks, not a current futures strip; forward spread is scenario-only because EIA's public NYMEX table stops after 2024-04-05","rolling correlations and the scatter are associational diagnostics, not causal estimates; sign and strength can change by regime","the scatter uses non-overlapping 5-business-day changes; no lead-lag or policy reaction is claimed","India import volume, RBI sales, liquidity replenishment, OMC under-recovery, compensation lag, and CP share are editable scenario assumptions, not live observations","foreign-official Treasury custody and RRP are broad dollar-parking proxies; they do not identify oil exporters or prove petrodollar recycling","energy CPI includes more than crude oil and the inflation-policy chart is descriptive; no central-bank reaction coefficient is estimated","positive carry headroom ignores capacity, quality/location basis, transaction costs, and convenience yield; it is not an executable arbitrage signal","20m barrels is a visible stress reference, not a universal Cushing tank-bottom floor; EIA says operability differs across facilities and pipeline systems","Cushing fill uses the last official March 2024 working-capacity denominator because EIA discontinued the capacity report; it is not a current-capacity claim","chokepoint bars are EIA quarterly estimates through 1Q26, not a current closure or transit-count claim; Hormuz AIS observations are unusually uncertain","India structural values combine official observations published on different dates; they are an exposure ledger, not a synchronized live snapshot"],"method":"spot and funding charts retain actual observation dates (weekly samples before the trailing 180 days, daily thereafter); CP spreads = 3m AA CP minus 3m Treasury on CP print dates; SOFR\u2212IORB in bp; coupling = trailing 63-observation correlation of daily WTI dollar changes with daily funding-spread changes or INR returns; official-dollar parking = 52-week change in Fed custody / foreign-official RRP balances, converted from $M to $B; energy/core CPI = 12-month percent change; carry = spot \u00d7 (funding + insurance) \u00d7 ACT/365 tenor + daily storage \u00d7 tenor; Cushing stocks are EIA weekly thousand barrels converted to million barrels; Brent\u2212WTI uses same-date spot observations; scenario arithmetic is deterministic context and never enters the Seiche composite"},"ballast":{"ok":true,"schema":"seiche.ballast.v1","asof":"2026-08-11","context_only":true,"headline":{"state":"CALM","worst_channel_percentile":61.2,"dominant_channel":{"channel":"position_concentration","label":"HENRY_HUB top-four paying-side concentration","percentile":61.2,"asof":"2026-08-04","value":24.5,"unit":"percent of open interest"},"funding_overlay":{"status":"NORMAL_RELATIVE","dominant_channel":{"channel":"dollar_funding","label":"SOFR minus IORB","percentile":78.2,"asof":"2026-08-11","value":-1.0,"unit":"basis points"},"role":"amplifier_not_commodity_state_trigger"},"coverage_pct":85.7,"rule":"worst observed commodity or physical channel; TIGHT >= p80, ACUTE >= p95; funding is a separate amplifier overlay; no weighted blend","composite_status":"never_enters_seiche_composite"},"contracts":[{"key":"WTI","label":"WTI physical crude","report_asof":"2026-08-04","available_asof":"2026-08-07","report_lag":"normal T+3 availability assumption: Tuesday positions become public Friday; holiday exceptions may 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EIA weekly inventory history is unavailable"},"funding":{"sofr_iorb":{"spread_bp":-1.0,"percentile_3y":78.2,"percentile_n":756,"asof":"2026-08-11"},"cp_nonfinancial":{"spread_bp":-14.0,"percentile_3y":14.9,"percentile_n":756,"asof":"2026-08-06"}},"pressure_ledger":[{"channel":"dollar_funding","label":"SOFR minus IORB","percentile":78.2,"asof":"2026-08-11","value":-1.0,"unit":"basis points"},{"channel":"position_concentration","label":"HENRY_HUB top-four paying-side concentration","percentile":61.2,"asof":"2026-08-04","value":24.5,"unit":"percent of open interest"},{"channel":"mark_to_market","label":"HENRY_HUB gross mark displacement","percentile":45.6,"asof":"2026-08-04","value":2.73,"unit":"USD billions, spot-proxy scale"},{"channel":"position_concentration","label":"WTI top-four paying-side concentration","percentile":42.1,"asof":"2026-08-04","value":19.6,"unit":"percent of open interest"},{"channel":"mark_to_market","label":"WTI gross mark 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cost","status":"undertow_handoff_requires_licensed_depth"}]},"handoffs":{"undertow":{"question":"What does exiting this futures risk cost at position size?","keys":["contract","report_asof","available_asof","open_interest_contracts","gross_mark_displacement_usd","paying_side_concentration_pct"],"boundary":"Ballast supplies stress context, never live depth or executable slippage"},"liquilens":{"question":"Which institution has qualifying exposure evidence, and how could the cash demand reach its funding channels?","keys":["contract","price_move_proxy","commercial_side_proxy_usd","funding_spreads","inventory_carry_benchmark"],"boundary":"Ballast attributes no aggregate market position to a named institution"}},"sources":[{"layer":"physical-commodity futures positioning","source":"CFTC Disaggregated COT futures-only","id":"72hh-3qpy","cadence":"weekly, T+3"},{"layer":"WTI / Henry Hub benchmark","source":"EIA via FRED","id":"DCOILWTICO / DHHNGSP","cadence":"daily"},{"layer":"commercial crude stocks ex SPR","source":"EIA dnav","id":"WCESTUS1","cadence":"weekly"},{"layer":"dollar funding","source":"Federal Reserve / NY Fed via FRED","id":"SOFR / IORB / DCPN3M / DGS3MO","cadence":"daily"}],"caveats":["gross mark displacement uses a public spot benchmark in place of the exact futures settlement and is a scale proxy, not an observed variation-margin call","open interest is aggregated across contract months; calendar-spread netting, portfolio offsets, client add-ons and intraday calls are not public","CFTC categories are weekly Tuesday positions normally published Friday; EIA stock periods normally publish the following Wednesday; replay uses those standard lags and may conservatively differ in holiday weeks","CFTC trader classes cannot identify a named participant or an institution's bilateral OTC book","inventory market value and SOFR carry are benchmark arithmetic; they are not the financed share, borrowing rate or hedge book of any owner","the headline is the worst commodity or physical percentile; funding ranks are a separate amplifier overlay and cannot trigger the commodity state by themselves","all percentile labels are descriptive ranks, not probabilities, forecasts, trade signals or Seiche composite components"],"method":"per contract, align the official Tuesday CFTC row to the latest public spot benchmark no more than seven days old and treat it as available on the normal Friday release; gross mark-displacement scale = abs(change since prior CFTC report) x open interest x contract multiplier; category scales apply the same move to the reported losing-side positions; concentration chooses the long or short CFTC field according to the move; inventory = EIA weekly commercial crude stocks excluding SPR, treated as available on the normal following Wednesday, with market value and annual SOFR carry shown only as benchmark arithmetic; each observed channel is ranked against its own trailing history; the headline takes the worst commodity or physical percentile without blending, while funding remains a separate amplifier overlay"},"estuary":{"ok":true,"asof":"2026-08-11","headline":{"upstream_pressure":41.8,"fx_pressure":28.1,"materials_pressure":58.7,"funding_priced":53.0,"transmission_gap":-11.2,"regime":"IN SYNC","verdict":"FX/material pressure and funding pricing are broadly aligned. 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analysis","url":"https://www.bis.org/publ/qtrpdf/r_qt2606c.htm"},"scenario":{"assumptions":{"daily_fx_obligations_usd_b":5.0,"gross_bilateral_share_pct":10.0,"adverse_fx_move_pct":2.0,"commodity_inventory_usd_b":0.5,"commodity_price_move_pct":10.0,"commodity_hedge_ratio_pct":70.0,"haircut_increase_pct":3.0,"receivable_days":45.0,"funding_rate_pct":3.64},"outputs":{"fx":{"gross_obligations_usd":5000000000.0,"principal_without_pvp_usd":500000000.0,"replacement_cost_shock_usd":10000000.0},"materials":{"inventory_value_change_usd":50000000.0,"hedge_margin_call_usd":35000000.0,"haircut_cash_call_usd":15000000.0,"receivable_carry_usd":2243835.62,"same_day_margin_and_haircut_usd":50000000.0}}},"charts":{"dollar":{"rows":[["2023-08-11",114.66,119.63,126.24],["2023-08-18",115.37,120.43,127.15],["2023-08-25",116.24,120.51,126.36],["2023-09-01",116.07,120.76,127.07],["2023-09-08",116.85,121.95,128.72],["2023-09-15",116.83,121.2,127.16],["2023-09-22",117.04,121.53,127.63],["2023-09-29",117.72,122.31,128.52],["2023-10-06",117.88,123.36,130.57],["2023-10-13",118.48,123.6,130.4],["2023-10-20",118.07,123.61,130.9],["2023-10-27",118.54,123.62,130.4],["2023-11-03",117.04,121.76,128.1],["2023-11-09",117.65,122.13,128.22],["2023-11-17",116.4,120.85,126.89],["2023-11-24",115.56,120.21,126.47],["2023-12-01",115.13,119.94,126.38],["2023-12-08",116.05,120.76,127.09],["2023-12-15",114.21,119.74,126.98],["2023-12-22",113.38,119.06,126.47],["2023-12-29",112.73,118.42,125.84],["2024-01-05",113.92,119.39,126.57],["2024-01-12",114.14,119.53,126.64],["2024-01-19",115.17,120.64,127.84],["2024-01-26",115.12,120.62,127.84],["2024-02-02",115.71,120.9,127.81],["2024-02-09",115.89,121.04,127.89],["2024-02-16",116.12,121.15,127.88],["2024-02-23",115.76,121.04,128.03],["2024-03-01",115.92,121.01,127.8],["2024-03-08",114.68,119.97,126.98],["2024-03-15",115.42,120.4,127.06],["2024-03-22",116.37,121.18,127.68],["2024-03-29",116.37,121.02,127.35],["2024-04-05",116.22,120.96,127.39],["2024-04-12",117.99,122.29,128.26],["2024-04-19",118.11,123.11,129.83],["2024-04-26",117.97,122.95,129.64],["2024-05-03",116.99,122.14,129.0],["2024-05-10",117.22,122.01,128.5],["2024-05-17",116.43,121.24,127.73],["2024-05-24",116.75,121.62,128.18],["2024-05-31",116.66,122.1,129.27],["2024-06-07",117.0,123.55,131.95],["2024-06-14",117.51,124.17,132.69],["2024-06-21",117.67,124.11,132.39],["2024-06-28",117.71,124.21,132.56],["2024-07-05",116.81,123.48,132.0],["2024-07-12",116.03,122.44,130.67],["2024-07-19",116.35,123.15,131.81],["2024-07-26",116.54,123.67,132.71],["2024-08-02",115.63,123.47,133.29],["2024-08-09",115.3,122.93,132.5],["2024-08-16",114.94,122.4,131.78],["2024-08-23",112.94,121.46,132.03],["2024-08-30",113.56,122.33,133.18],["2024-09-06",113.27,122.5,133.88],["2024-09-13",113.2,121.66,132.15],["2024-09-20",112.93,121.41,131.92],["2024-09-27",112.49,121.11,131.79],["2024-10-04",114.51,122.22,131.88],["2024-10-11",115.08,122.98,132.86],["2024-10-18",115.76,123.92,134.1],["2024-10-25",116.42,124.61,134.84],["2024-11-01",116.51,124.81,135.15],["2024-11-08",117.22,125.58,136.0],["2024-11-15",118.92,126.88,136.87],["2024-11-22",119.64,127.47,137.32],["2024-11-29",118.32,126.58,136.9],["2024-12-06",118.46,126.69,136.97],["2024-12-13",119.57,127.31,137.06],["2024-12-20",120.44,127.89,137.33],["2024-12-27",120.9,128.45,138.0],["2025-01-03",121.8,129.45,139.13],["2025-01-10",122.4,129.87,139.34],["2025-01-17",121.97,129.49,139.0],["2025-01-24",120.07,127.46,136.82],["2025-01-31",121.01,128.48,137.94],["2025-02-07",120.78,128.43,138.09],["2025-02-14",119.32,127.15,136.99],["2025-02-21",119.3,127.14,136.99],["2025-02-28",120.36,128.28,138.24],["2025-03-07",117.12,125.98,136.98],["2025-03-14",117.22,125.69,136.24],["2025-03-21",117.56,126.27,137.09],["2025-03-28",117.31,126.42,137.7],["2025-04-04",115.85,125.81,138.07],["2025-04-11",113.08,124.02,137.39],["2025-04-18",112.31,122.99,136.06],["2025-04-25",112.54,122.89,135.57],["2025-05-02",112.66,122.5,134.58],["2025-05-09",113.28,122.52,133.92],["2025-05-16",114.21,123.07,134.05],["2025-05-23",112.07,121.38,132.86],["2025-05-30",112.28,121.77,133.44],["2025-06-06",111.91,121.16,132.56],["2025-06-13",110.77,120.32,132.07],["2025-06-20",111.64,121.04,132.61],["2025-06-27",110.12,119.66,131.38],["2025-07-03",109.8,119.24,130.85],["2025-07-11",110.62,119.92,131.38],["2025-07-18",111.12,120.36,131.73],["2025-07-25",110.67,119.99,131.46],["2025-08-01",111.84,121.21,132.75],["2025-08-08",111.12,120.33,131.68],["2025-08-15",110.88,120.34,131.98],["2025-08-22",110.92,120.28,131.79],["2025-08-29",110.72,120.21,131.88],["2025-09-05",110.57,120.13,131.88],["2025-09-12",110.88,120.06,131.38],["2025-09-19",110.6,119.79,131.1],["2025-09-26",111.47,120.43,131.5],["2025-10-03",110.93,120.09,131.37],["2025-10-10",112.21,121.12,132.13],["2025-10-17",111.77,120.7,131.74],["2025-10-24",112.22,120.93,131.72],["2025-10-31",112.86,121.39,131.96],["2025-11-07",112.8,121.39,132.04],["2025-11-14",112.52,120.97,131.46],["2025-11-21",113.52,121.87,1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points"},"daily_gap":{"rows":[["2023-08-11",45.43,17.88,63.31],["2023-08-18",44.0,10.1,54.1],["2023-08-25",40.21,6.84,47.05],["2023-09-01",44.15,3.79,47.93],["2023-09-08",38.82,16.89,55.71],["2023-09-15",44.07,9.38,53.45],["2023-09-22",47.15,14.1,61.24],["2023-09-29",53.33,2.52,55.84],["2023-10-06",43.45,10.12,53.57],["2023-10-13",62.61,-12.96,49.65],["2023-10-20",40.6,4.05,44.65],["2023-10-27",40.62,9.4,50.02],["2023-11-03",44.84,-25.46,19.37],["2023-11-10",39.26,20.39,59.66],["2023-11-17",77.96,-33.78,44.18],["2023-11-24",71.58,-27.18,44.41],["2023-12-01",70.21,-32.51,37.7],["2023-12-08",47.98,-9.16,38.82],["2023-12-15",42.97,-6.36,36.61],["2023-12-22",63.91,-31.39,32.52],["2023-12-29",99.53,-67.1,32.43],["2024-01-05",30.77,2.28,33.06],["2024-01-12",53.08,-9.71,43.36],["2024-01-19",58.38,-15.74,42.64],["2024-01-26",40.17,13.13,53.3],["2024-02-02",67.15,-22.29,44.87],["2024-02-09",59.82,-4.86,54.96],["2024-02-16",41.53,6.13,47.65],["2024-02-23",51.07,-13.45,37.62],["2024-03-01",51.23,-1.85,49.39],["2024-03-08",46.87,-24.87,22.0],["2024-03-15",45.18,-20.9,24.28],["2024-03-22",60.1,-30.53,29.58],["2024-03-29",null,null,36.27],["2024-04-05",76.21,-29.53,46.69],["2024-04-12",59.27,-4.77,54.51],["2024-04-19",51.62,-7.21,44.4],["2024-04-26",50.0,-2.43,47.57],["2024-05-03",46.36,11.94,58.3],["2024-05-10",59.26,-5.95,53.31],["2024-05-17",59.26,-24.92,34.34],["2024-05-24",52.78,-5.28,47.5],["2024-05-31",65.25,-32.99,32.27],["2024-06-07",55.16,-3.83,51.34],["2024-06-14",40.09,8.89,48.98],["2024-06-21",58.5,-6.74,51.77],["2024-06-28",70.59,-11.03,59.55],["2024-07-05",56.04,0.63,56.67],["2024-07-12",41.29,-10.06,31.23],["2024-07-19",60.03,-32.25,27.78],["2024-07-26",82.52,-43.6,38.92],["2024-08-02",54.35,-2.51,51.83],["2024-08-09",33.67,13.93,47.59],["2024-08-16",47.02,-17.61,29.41],["2024-08-23",52.47,-28.88,23.59],["2024-08-30",42.38,-18.83,23.55],["2024-09-06",71.39,-27.78,43.61],["2024-09-13",53.2,-9.32,43.88],["2024-09-20",62.94,-38.71,24.23],["2024-09-27",79.82,-35.33,44.48],["2024-10-04",57.2,-15.38,41.82],["2024-10-11",39.81,9.78,49.59],["2024-10-18",55.96,-2.41,53.56],["2024-10-25",46.86,11.63,58.49],["2024-11-01",73.43,-9.56,63.86],["2024-11-08",90.86,-21.34,69.52],["2024-11-15",38.78,14.43,53.21],["2024-11-22",51.66,3.24,54.9],["2024-11-29",88.03,-29.71,58.31],["2024-12-06",64.3,-8.55,55.75],["2024-12-13",81.03,-36.33,44.7],["2024-12-20",30.39,8.16,38.55],["2024-12-27",100.0,-56.59,43.4],["2025-01-03",50.07,6.63,56.7],["2025-01-10",34.49,35.6,70.09],["2025-01-17",21.43,51.51,72.94],["2025-01-24",43.14,-3.54,39.59],["2025-01-31",54.39,-26.13,28.26],["2025-02-07",47.26,-10.25,37.01],["2025-02-14",69.89,-31.85,38.04],["2025-02-21",59.56,-24.94,34.63],["2025-02-28",67.45,-23.43,44.02],["2025-03-07",53.87,-20.08,33.78],["2025-03-14",39.7,-12.49,27.21],["2025-03-21",34.82,-4.45,30.37],["2025-03-28",46.3,-25.65,20.65],["2025-04-04",57.33,-11.2,46.13],["2025-04-11",53.68,-6.29,47.39],["2025-04-18",null,null,32.65],["2025-04-25",43.89,3.55,47.45],["2025-05-02",52.88,-0.84,52.04],["2025-05-09",25.19,-2.52,22.66],["2025-05-16",31.06,-0.74,30.31],["2025-05-23",3.9,20.7,24.6],["2025-05-30",41.95,-15.46,26.5],["2025-06-06",37.09,1.05,38.13],["2025-06-13",24.4,24.35,48.74],["2025-06-20",52.29,2.62,54.91],["2025-06-27",97.26,-65.27,31.99],["2025-07-04",null,null,28.63],["2025-07-11",60.8,-26.19,34.61],["2025-07-18",45.79,0.86,46.65],["2025-07-25",37.01,-7.91,29.09],["2025-08-01",56.68,-14.49,42.19],["2025-08-08",63.23,-18.48,44.75],["2025-08-15",74.21,-30.15,44.06],["2025-08-22",69.4,-31.73,37.67],["2025-08-29",61.58,-27.02,34.56],["2025-09-05",84.68,-53.18,31.5],["2025-09-12",59.57,-34.18,25.4],["2025-09-19",97.5,-74.75,22.74],["2025-09-26",68.63,-34.16,34.47],["2025-10-03",67.2,-37.85,29.34],["2025-10-10",61.86,-15.78,46.08],["2025-10-17",91.65,-36.22,55.42],["2025-10-24",71.07,-25.87,45.2],["2025-10-31",76.12,-39.39,36.73],["2025-11-07",60.61,-19.34,41.27],["2025-11-14",49.94,-9.96,39.98],["2025-11-21",47.47,3.05,50.52],["2025-11-28",99.52,-61.14,38.38],["2025-12-05",70.74,-38.05,32.69],["2025-12-12",48.59,-19.15,29.45],["2025-12-19",69.0,-44.6,24.4],["2025-12-26",57.44,-38.4,19.04],["2026-01-02",92.79,-73.05,19.74],["2026-01-09",60.06,-25.76,34.3],["2026-01-16",51.19,-6.65,44.54],["2026-01-23",52.18,-11.66,40.51],["2026-01-30",46.38,6.41,52.79],["2026-02-06",45.97,-0.64,45.32],["2026-02-11",53.73,-26.27,27.46],["2026-02-12",40.9,-15.45,25.45],["2026-02-13",41.29,-11.65,29.64],["2026-02-16",null,null,43.58],["2026-02-17",67.56,-42.21,25.35],["2026-02-18",98.34,-58.96,39.39],["2026-02-19",85.63,-33.04,52.58],["2026-02-20",57.59,-6.48,51.1],["2026-02-23",72.36,-21.9,50.46],["2026-02-24",73.86,-25.96,47.9],["2026-02-25",50.23,-7.25,42.98],["2026-02-26",81.99,-37.7,44.29],["2026-02-27",71.73,-26.14,45.59],["2026-03-02",44.75,24.27,69.01],["2026-03-03",46.64,31.81,78.45],["2026-03-04",45.47,32.32,77.78],["2026-03-05",47.98,36.22,84.21],["2026-03-06",58.61,22.42,81.04],["2026-03-09",55.12,25.36,80.48],["2026-03-10",67.55,6.77,74.32],["2026-03-11",56.0,21.05,77.06],["2026-03-12",57.57,20.77,78.33],["2026-03-13",62.35,19.01,81.36],["2026-03-16",58.3,22.74,81.04],["2026-03-17",59.45,19.58,79.03],["2026-03-18",38.08,42.21,80.29],["2026-03-19",46.36,33.79,80.15],["2026-03-20",42.09,39.55,81.64],["2026-03-23",42.08,38.76,80.84],["2026-03-24",56.36,24.87,81.23],["2026-03-25",46.84,34.45,81.3],["2026-03-26",51.16,30.42,81.58],["2026-03-27",42.54,38.77,81.31],["2026-03-30",38.1,42.1,80.2],["2026-03-31",54.69,23.39,78.08],["2026-04-01",63.91,12.13,76.04],["2026-04-02",64.77,9.59,74.37],["2026-04-03",null,null,70.52],["2026-04-06",63.39,3.13,66.52],["2026-04-07",49.28,28.16,77.44],["2026-04-08",48.19,16.08,64.27],["2026-04-09",38.15,21.01,59.15],["2026-04-10",38.71,6.28,44.99],["2026-04-13",51.84,-5.03,46.81],["2026-04-14",52.25,-10.59,41.65],["2026-04-15",95.82,-52.73,43.09],["2026-04-16",72.6,-37.23,35.36],["2026-04-17",62.81,-14.29,48.51],["2026-04-20",55.94,-14.59,41.35],["2026-04-21",64.38,-24.32,40.06],["2026-04-22",55.36,-19.04,36.32],["2026-04-23",66.7,-28.02,38.68],["2026-04-24",58.67,-28.85,29.82],["2026-04-27",79.53,-56.51,23.02],["2026-04-28",66.9,-39.87,27.03],["2026-04-29",47.87,-10.38,37.49],["2026-04-30",62.27,-27.54,34.73],["2026-05-01",54.09,-21.37,32.72],["2026-05-04",55.84,-20.27,35.57],["2026-05-05",50.9,-3.34,47.56],["2026-05-06",53.29,-12.71,40.58],["2026-05-07",48.88,-9.68,39.2],["2026-05-08",51.31,-12.83,38.48],["2026-05-11",41.86,-5.36,36.51],["2026-05-12",41.13,16.64,57.78],["2026-05-13",39.04,14.12,53.16],["2026-05-14",13.08,34.19,47.27],["2026-05-15",10.79,51.16,61.95],["2026-05-18",27.53,42.66,70.19],["2026-05-19",3.43,67.53,70.96],["2026-05-20",2.34,51.01,53.35],["2026-05-21",31.73,20.53,52.26],["2026-05-22",36.76,12.98,49.74],["2026-05-26",48.28,5.13,53.41],["2026-05-27",48.96,17.15,66.11],["2026-05-28",52.77,10.02,62.79],["2026-05-29",48.23,16.68,64.92],["2026-06-01",48.82,16.51,65.33],["2026-06-02",45.11,15.39,60.5],["2026-06-03",35.64,20.9,56.54],["2026-06-04",32.6,17.18,49.78],["2026-06-05",39.19,19.92,59.11],["2026-06-08",41.8,18.77,60.57],["2026-06-09",43.17,27.78,70.95],["2026-06-10",32.71,37.85,70.56],["2026-06-11",47.36,25.23,72.59],["2026-06-12",88.98,-19.24,69.74],["2026-06-15",66.86,-6.57,60.28],["2026-06-16",42.82,19.92,62.75],["2026-06-17",29.52,29.05,58.57],["2026-06-18",59.83,12.82,72.64],["2026-06-19",null,null,99.67],["2026-06-22",51.78,19.72,71.5],["2026-06-23",56.55,19.56,76.1],["2026-06-24",51.96,26.07,78.03],["2026-06-25",66.1,10.45,76.55],["2026-06-26",41.88,34.86,76.74],["2026-06-29",42.83,33.29,76.12],["2026-06-30",74.13,1.67,75.8],["2026-07-01",67.3,10.7,78.0],["2026-07-02",63.68,10.94,74.62],["2026-07-03",null,null,99.85],["2026-07-06",41.35,32.86,74.21],["2026-07-07",51.62,12.97,64.6],["2026-07-08",26.48,41.38,67.85],["2026-07-09",8.99,56.47,65.46],["2026-07-10",19.24,45.03,64.27],["2026-07-13",48.96,4.56,53.52],["2026-07-14",50.97,3.08,54.06],["2026-07-15",44.67,5.26,49.94],["2026-07-16",63.84,-16.87,46.97],["2026-07-17",35.32,18.41,53.73],["2026-07-20",28.03,20.07,48.1],["2026-07-21",32.07,21.52,53.59],["2026-07-22",55.72,-4.48,51.24],["2026-07-23",47.33,6.7,54.03],["2026-07-24",61.74,-6.55,55.19],["2026-07-27",31.88,24.66,56.54],["2026-07-28",56.12,-6.28,49.83],["2026-07-29",61.12,-2.0,59.12],["2026-07-30",51.53,0.56,52.09],["2026-07-31",74.47,-18.9,55.57],["2026-08-03",72.15,-9.83,62.32],["2026-08-04",52.16,-16.67,35.5],["2026-08-05",43.21,-13.42,29.78],["2026-08-06",37.43,-3.76,33.67],["2026-08-07",64.12,-32.04,32.08],["2026-08-10",60.78,null,null],["2026-08-11",65.2,null,null]],"labels":["daily upstream proxy","funding priced","daily passage gap"],"unit":"0\u2013100 pressure / point gap","note":"Daily H.10 + EIA proxy only; monthly IMF materials are excluded from this history."}},"sources":[{"layer":"FX spot + dollar indexes","source":"Federal Reserve H.10 via FRED","cadence":"daily"},{"layer":"crude + natural gas","source":"EIA via FRED","cadence":"daily"},{"layer":"broad / metals / coal / grains","source":"IMF Primary Commodity Prices via FRED","cadence":"monthly"},{"layer":"SOFR / IORB / EFFR / CP / Treasury","source":"NY Fed + Federal Reserve via FRED","cadence":"daily"},{"layer":"swap lines / FIMA / foreign RRP","source":"Federal Reserve H.4.1 via FRED","cadence":"weekly"},{"layer":"offshore USD credit","source":"BIS Data Portal","cadence":"quarterly, lagged"},{"layer":"FX settlement structure","source":"BIS 2025 Triennial Survey / June 2026 settlement-risk analysis","cadence":"triennial structural benchmark"}],"coverage_matrix":[{"aspect":"spot direction","fx":"daily \u00b7 observed","materials":"daily energy / monthly breadth","status":"covered"},{"aspect":"realized volatility","fx":"20d \u00b7 observed","materials":"cadence-matched \u00b7 observed","status":"covered"},{"aspect":"policy carry","fx":"local anchor \u2212 EFFR where available","materials":"funding carry in Oil \u00d7 Funding","status":"partial"},{"aspect":"working capital","fx":"settlement scenario","materials":"inventory / receivable scenario","status":"scenario"},{"aspect":"margin + collateral","fx":"replacement-cost scenario","materials":"hedge / haircut scenario","status":"scenario"},{"aspect":"official backstops","fx":"swap lines + FIMA + foreign RRP","materials":"oil recycling proxy on Oil \u00d7 Funding","status":"covered"},{"aspect":"cross-currency basis / forwards","fx":"no qualifying free live feed","materials":"current futures curves unavailable","status":"out_of_scope"},{"aspect":"precious-metal spot","fx":"\u2014","materials":"old public LBMA/FRED series ended in 2022","status":"out_of_scope"}],"caveats":["The Estuary gap is a transparent context score, not a probability, forecast, trade signal, or Seiche composite input.","H.10 pairs are normalized to local currency per USD; positive change always means local-currency depreciation. H.10 fixes are reference rates, not executable dealer quotes.","Monthly IMF prices are period averages with publication lag. They inform category breadth only and never enter the daily Passage or analog state.","Commodity pressure is deliberately two-sided: higher prices can consume working capital; lower prices can impair collateral and trigger margin. The score identifies an unusually large move, not its net macro effect.","The Passage is a split-sample correlation audit. A stable lead/lag association can still be driven by a third variable; 'earned' never means causal.","Analog event rates use a small, de-clustered neighbor set; the Wilson interval and unconditional base rate must travel with the point estimate.","Policy-rate differentials are not forward points, hedged carry, or cross-currency basis. Those require licensed live curves that Seiche does not have.","BIS settlement figures are an April 2025 structural survey, not today's flow. Scenario outputs are identities under editable assumptions, not measured exposures."],"method":"FX pressure = weighted current percentiles of 20-observation broad/EM dollar changes, median pair depreciation, and 20d realized volatility; materials pressure = category-weighted median of absolute cadence-matched move and realized-volatility percentiles; funding priced = median of spread-level and 20d-widening percentiles for SOFR\u2212IORB and 3m CP\u2212Treasury. Transmission gap = 55% FX + 45% materials upstream pressure minus funding priced. All percentiles are against each series' own trailing history with midrank ties. 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= rolling-750d percentile of Seiche-lite minus weighted rolling percentiles of VIX/HY OAS/IG OAS/10y realized vol (weights {'VIX': 0.35, 'HY_OAS': 0.3, 'IG_OAS': 0.15, 'RATES_VOL': 0.2}); divergence is a signal, not stress evidence","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical 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0.017 on LOO-CV \u2014 statistically indistinguishable from naive, so the naive same-mode median is published"},"features":{"rrp_b":1.25,"spread_med5_bp":-1.0,"tail_bp":9.0,"res_gdp_pctl":0.19,"prior_slosh_bp":-1.0,"is_quarter_end":0.0,"is_year_end":0.0},"recent_turns":[{"date":"2026-01-30","mode":"month_end","slosh_bp":4.5},{"date":"2026-02-27","mode":"month_end","slosh_bp":5.0},{"date":"2026-03-31","mode":"quarter_end","slosh_bp":4.5},{"date":"2026-04-30","mode":"month_end","slosh_bp":1.0},{"date":"2026-05-29","mode":"month_end","slosh_bp":10.0},{"date":"2026-06-30","mode":"quarter_end","slosh_bp":6.0},{"date":"2026-07-31","mode":"month_end","slosh_bp":3.5},{"date":"2026-08-11","mode":"month_end","slosh_bp":-1.0}],"method":"OLS on 7 features frozen T-5bd before each historical turn; LOO-CV vs naive same-mode trailing median; band = LOO residual 20/80%","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"backtest":{"ok":false,"status":"UNVERIFIED","reason":"historical inputs are construction-PIT/current-vintage; a validated replay requires ALFRED or as-published captures","vintage_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"microseism":{"ok":true,"asof":"2026-08-11","n_days":2084,"n_shocks":364,"threshold_bp":2.0,"fit":{"branching":0.58,"half_life_bd":8.3,"baseline_scale_c":0.437,"excitation_share_now":0.672},"lr_test":{"stat":92.9,"p":0.0,"identified":true,"null":"inhomogeneous calendar-Poisson (same buckets, no excitation)"},"branching_rows":[["2020-04-06",0.116],["2020-07-07",0.132],["2020-10-05",0.223],["2021-01-07",0.254],["2021-04-09",0.319],["2021-07-09",0.461],["2021-10-07",0.589],["2022-01-10",0.632],["2022-04-11",0.708],["2022-07-13",0.704],["2022-10-12",0.68],["2023-01-13",0.632],["2023-04-17",0.632],["2023-07-18",0.609],["2023-10-17",0.631],["2024-01-18",0.575],["2024-04-18",0.558],["2024-07-19",0.531],["2024-10-18",0.5],["2025-01-22",0.493],["2025-04-23",0.469],["2025-07-24",0.447],["2025-10-23",0.456],["2026-01-27",0.592],["2026-04-28",0.584],["2026-07-29",0.59]],"walkforward":{"ok":true,"n_scored":1579,"base_rate":0.352,"brier_hawkes":0.2385,"brier_calendar":0.2873,"auroc_hawkes":0.633,"auroc_calendar":0.538,"beats_calendar":true,"verdict":"self-excitation adds forecast skill over calendar climatology"},"sensitivity":[{"thr_bp":1.5,"n_shocks":392,"branching":0.408,"half_life_bd":1.7,"lr_p":0.0},{"thr_bp":2.0,"n_shocks":364,"branching":0.58,"half_life_bd":8.3,"lr_p":0.0},{"thr_bp":3.0,"n_shocks":236,"branching":0.583,"half_life_bd":6.1,"lr_p":0.0}],"reading":"genuine self-excitation (n=0.58, LR p=0.0000): shocks echo beyond the calendar, half-life 8.3bd","caveats":["the catalog is deliberately NOT declustered \u2014 clustering is the signal a Hawkes measures, not noise to remove (PROOF declusters because it counts independent events; same water, different question)","the LR test's chi2(2) reference is conservative at the n=0 boundary \u2014 a significant p is trustworthy, a marginal one overstates the evidence","constant-baseline Hawkes fits absorb slow regime drift into fake self-excitation (the stated GOF failure of arXiv:2606.15755) \u2014 the calendar-gated baseline is the fix, but drift the calendar cannot see (e.g. a multi-year reserve drain) can still leak into n; read the branching HISTORY, not one number","branching history refits at fixed integer positions with prefix-only bucket rates \u2014 no published value changes when future data arrives","walk-forward hazard must beat CALENDAR climatology (the honest comparator); flat climatology is a strawman when the forcing schedule is public","no composite score: near-criticality is context about the basin, not evidence of stress today (doctrine)"],"method":"micro-shock catalog: pop = SOFR\u2212IORB \u2212 trailing 5bd median (backtest.pop_bp, THE shared statistic) >= 2.0bp, not declustered (n=364 shocks / 2084bd). Hawkes lambda(t) = c*r_bucket(t) + n*beta*sum exp(-beta dt) with calendar buckets from Swell's classify_days and expanding shrunk bucket rates (K=10); MLE by multi-start L-BFGS-B (deterministic, no RNG). Identification: LR test vs the calendar-Poisson null (chi2 df=2, conservative at the boundary). Branching history: prefix refits at 500 rows then every 63bd. 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Determinism check (arXiv:2603.20319): the clean build runs twice and must hash identically (sha256 over the dated index values).","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical 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Each bd belongs to one forcing bucket; P(pop \u2265 x | bucket) = expanding empirical exceedance with empirical-Bayes shrinkage toward the parent bucket (year\u2192quarter\u2192month turn, tax\u2192mid-month, all\u2192pooled; prior weight 20) \u2014 a 2-obs-per-year bucket borrows strength instead of diluting to a plain day. Severity monotonicity enforced after lifts. Damping-state lift (Undertow pctl \u2265 67) and coupon-settlement lift (\u2265 $90B on mid-month/plain days) estimated expanding, capped (0.5, 3.0). Curve compounds day probabilities; validation = walk-forward P(event within 5bd) vs climatology (AUROC/Brier/reliability)","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"bathymetry":{"ok":true,"asof":"2026-08-11","p_event_5bd":0.045,"p_by_horizon":{"h1":0.004,"h2":0.012,"h3":0.022,"h5":0.045,"h10":0.106},"mfpt_bd":77.0,"mfpt_capped":false,"mfpt_cap_bd":750,"state_now":{"pop_bp":0.0,"in_event_bin":false},"floor":{"ok":true,"well_bp":3.5,"stiffness":0.524,"temperature_bp2_bd":40.32,"barrier_bp2_bd":37.53,"barrier_kt":0.93,"curve":[[-7.5,9.55,3.681,24.84,47],[-6.5,7.47,2.087,8.99,23],[-5.5,6.47,1.0,7.7,23],[-4.5,3.85,2.612,36.58,40],[-3.5,3.07,0.783,1.53,46],[-2.5,1.7,1.375,12.8,124],[-1.5,1.02,0.676,2.47,185],[-0.5,0.42,0.596,2.49,177],[0.5,0.35,0.071,1.06,819],[1.5,0.47,-0.115,2.06,169],[2.5,1.27,-0.803,8.21,119],[3.5,0.0,1.271,40.32,48],[4.5,1.85,-1.851,4.88,47],[5.5,3.61,-1.76,23.62,25],[6.5,7.18,-3.568,5.7,22],[7.5,10.36,-3.179,8.98,14],[8.5,16.72,-6.364,15.48,22],[9.5,24.32,-7.6,17.77,5],[10.5,37.53,-13.206,2383.3,34]]},"spectrum":{"gap":0.272,"tau_bd":3.2,"tau_pctl":13.0,"energy_levels":[0.317,0.411,0.677,0.816],"ground_state":[[-7.5,0.1834],[-6.5,0.1299],[-5.5,0.1274],[-4.5,0.1556],[-3.5,0.163],[-2.5,0.2494],[-1.5,0.2957],[-0.5,0.2927],[0.5,0.6089],[1.5,0.2784],[2.5,0.2418],[3.5,0.1595],[4.5,0.164],[5.5,0.125],[6.5,0.123],[7.5,0.1105],[8.5,0.1192],[9.5,0.0792],[10.5,0.157]]},"arrow":{"sigma_nats_bd":0.1405,"pctl":12.0},"series":[["2020-05-11",2.85,0.2673],["2020-05-27",2.84,0.2629],["2020-06-10",2.88,0.2605],["2020-06-24",2.91,0.2585],["2020-07-10",2.91,0.2561],["2020-07-24",2.94,0.2554],["2020-08-07",2.95,0.2529],["2020-08-21",2.98,0.2509],["2020-09-04",3.0,0.2496],["2020-09-07",3.0,0.2496],["2020-09-08",3.0,0.2496],["2020-09-22",3.03,0.2498],["2020-10-06",3.04,0.2477],["2020-10-22",3.07,0.2457],["2020-11-05",3.1,0.2447],["2020-11-23",3.11,0.2454],["2020-12-09",3.13,0.2408],["2020-12-23",3.16,0.2402],["2021-01-12",3.18,0.2372],["2021-01-28",3.16,0.2343],["2021-02-11",3.15,0.2308],["2021-03-01",3.14,0.2356],["2021-03-15",3.16,0.2355],["2021-03-29",3.18,0.2339],["2021-04-14",3.2,0.2323],["2021-04-28",3.22,0.2307],["2021-05-12",3.25,0.2292],["2021-05-26",3.27,0.2276],["2021-06-11",3.3,0.2261],["2021-06-25",3.32,0.2246],["2021-07-13",3.34,0.2231],["2021-07-27",3.37,0.2217],["2021-08-10",3.4,0.2202],["2021-08-24",3.43,0.2188],["2021-09-09",3.45,0.2174],["2021-09-23",3.48,0.216],["2021-10-07",3.51,0.2147],["2021-10-25",3.53,0.2141],["2021-11-08",3.56,0.2115],["2021-11-24",3.59,0.2102],["2021-11-25",3.59,0.2102],["2021-11-26",3.59,0.2102],["2021-12-10",3.62,0.2089],["2021-12-28",3.64,0.2076],["2022-01-11",3.67,0.2063],["2022-01-27",3.68,0.205],["2022-02-10",3.7,0.2038],["2022-02-28",3.73,0.2026],["2022-03-14",3.76,0.2014],["2022-03-28",3.76,0.2003],["2022-04-11",3.78,0.1991],["2022-04-27",3.78,0.2002],["2022-05-11",3.79,0.1967],["2022-05-25",3.81,0.1954],["2022-06-10",3.82,0.1943],["2022-06-28",3.77,0.1979],["2022-07-14",3.78,0.1961],["2022-07-28",3.78,0.1957],["2022-08-11",3.78,0.194],["2022-08-25",3.79,0.1931],["2022-09-12",3.8,0.1913],["2022-09-26",3.81,0.19],["2022-10-12",3.78,0.1888],["2022-10-26",3.78,0.1909],["2022-11-09",3.79,0.1906],["2022-11-29",3.79,0.188],["2022-12-13",3.8,0.1868],["2022-12-29",3.81,0.1863],["2023-01-18",3.83,0.1856],["2023-02-01",3.85,0.1846],["2023-02-15",3.86,0.1837],["2023-03-03",3.88,0.1827],["2023-03-17",3.9,0.1837],["2023-03-31",3.89,0.1883],["2023-04-18",3.92,0.1848],["2023-05-02",3.94,0.1839],["2023-05-16",3.95,0.1832],["2023-06-01",3.96,0.1824],["2023-06-15",3.96,0.1822],["2023-07-03",3.98,0.181],["2023-07-04",3.98,0.181],["2023-07-05",3.98,0.181],["2023-07-19",3.99,0.1803],["2023-08-02",4.0,0.1793],["2023-08-16",4.01,0.1782],["2023-08-30",4.03,0.1774],["2023-09-15",4.04,0.1765],["2023-09-29",4.06,0.1756],["2023-10-17",4.06,0.174],["2023-10-31",4.06,0.1744],["2023-11-14",4.09,0.1696],["2023-11-30",4.1,0.169],["2023-12-14",4.1,0.1648],["2024-01-03",4.11,0.1597],["2024-01-19",4.04,0.1571],["2024-02-02",4.06,0.1562],["2024-02-16",4.06,0.1556],["2024-02-19",4.06,0.1556],["2024-02-20",4.06,0.1556],["2024-03-05",4.07,0.1547],["2024-03-19",4.09,0.1541],["2024-04-04",4.09,0.1539],["2024-04-18",4.1,0.1529],["2024-05-02",4.1,0.1495],["2024-05-16",4.11,0.1485],["2024-06-03",4.12,0.1481],["2024-06-17",4.12,0.1465],["2024-07-03",4.12,0.1437],["2024-07-04",4.12,0.1437],["2024-07-05",4.12,0.1437],["2024-07-19",4.13,0.1419],["2024-08-02",4.14,0.1429],["2024-08-16",4.13,0.1417],["2024-08-30",4.13,0.1407],["2024-09-02",4.13,0.1407],["2024-09-03",4.13,0.1407],["2024-09-17",4.13,0.1406],["2024-10-01",4.12,0.1405],["2024-10-17",4.01,0.141],["2024-10-31",4.01,0.1449],["2024-11-18",4.01,0.1436],["2024-12-04",4.01,0.1446],["2024-12-18",3.99,0.1452],["2025-01-07",3.98,0.1446],["2025-01-23",3.8,0.1466],["2025-02-06",3.8,0.145],["2025-02-24",3.81,0.1427],["2025-03-10",3.81,0.1396],["2025-03-24",3.81,0.1388],["2025-04-07",3.82,0.1404],["2025-04-23",3.66,0.1397],["2025-05-07",3.69,0.1427],["2025-05-21",3.65,0.1395],["2025-06-06",3.65,0.1358],["2025-06-24",3.63,0.1361],["2025-07-10",3.54,0.1376],["2025-07-24",3.5,0.138],["2025-08-07",3.45,0.1416],["2025-08-21",3.45,0.1391],["2025-09-08",3.45,0.1377],["2025-09-22",3.43,0.1345],["2025-10-06",3.44,0.1375],["2025-10-22",3.35,0.1395],["2025-11-05",3.37,0.1463],["2025-11-21",3.35,0.1412],["2025-12-09",3.3,0.1426],["2025-12-23",3.3,0.1425],["2026-01-12",3.24,0.1473],["2026-01-28",3.24,0.1465],["2026-02-11",3.23,0.1455],["2026-02-27",3.23,0.1432],["2026-03-13",3.22,0.1425],["2026-03-27",3.21,0.1419],["2026-04-14",3.17,0.1442],["2026-04-28",3.16,0.1469],["2026-05-12",3.15,0.1459],["2026-05-28",3.18,0.1403],["2026-06-11",3.18,0.1392],["2026-06-29",3.18,0.1399],["2026-07-15",3.18,0.1396],["2026-07-29",3.16,0.1406],["2026-08-11",3.15,0.1405]],"n_transitions":1989,"validation":{"ok":true,"n_scored":1540,"n_events":50,"auroc":0.453,"brier":0.0341,"brier_climatology":0.0387,"brier_skill":0.121,"reliability":[{"bin":"0.00-0.10","mean_pred":0.055,"realized":0.031,"n":1213,"realized_ci95":[0.023,0.043]},{"bin":"0.10-0.20","mean_pred":0.131,"realized":0.026,"n":302,"realized_ci95":[0.013,0.051]},{"bin":"0.20-0.35","mean_pred":0.247,"realized":0.048,"n":21,"realized_ci95":[0.008,0.227]}],"verdict":"the fitted dynamics do NOT beat climatology on levels \u2014 read the landscape (well, barrier, gap) as structure, not the probabilities as odds"},"caveats":["x is the PROOF event's own variable family \u2014 a forecast layer and dynamics diagnosis, never composite evidence","Markov(1) on binned daily states: longer memory, intraday structure and the calendar are not modeled (the calendar is Swell's job \u2014 disagreement between the two is itself information)","forward probabilities and the MFPT hold today's operator frozen over the horizon","the Fokker\u2013Planck \u2194 Schr\u00f6dinger mapping is exact only under detailed balance; the measured irreversibility (the arrow) says how far from that the basin runs, and the spectrum is read on eigenvalue moduli","bin edges are fixed editorial constants \u2014 data-dependent bins would leak the future into the past"],"method":"state x = SOFR\u2212IORB pop (the shared PROOF statistic), binned [-8, 10)bp in 1bp steps + one event bin \u2265 10bp; expanding transition counts shrunk toward the pooled increment kernel (K=15). Floor: Kramers\u2013Moyal D1/D2 per bin, V = \u2212\u222bD1 dx, barrier printed in units of the well's diffusion (k_BT). Spectrum: E_k = \u2212ln|\u03bb_k| of the propagator restricted to visited bins (no evidence, no eigenvalue), \u03c4 = 1/gap. Arrow: Schnakenberg entropy production of the same chain. Escape: absorbing-boundary first passage, P(event \u2264 h bd) and MFPT, walk-forward scored vs climatology on final-vintage history (warmup 500 transitions; construction-PIT only)","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"markov":{"ok":true,"current_regime":"EROSION","regimes":["CALM","EROSION","STRAIN","STRESS"],"transition_matrix":[[0.989,0.011,0.0,0.0],[0.006,0.984,0.01,0.0],[0.0,0.094,0.906,0.0],[0.0,0.0,0.0,1.0]],"p_reach_stress":{"h5":0.0,"h10":0.0,"h21":0.0},"expected_dwell_bd":62.1,"stationary":{"CALM":0.254,"EROSION":0.449,"STRAIN":0.047,"STRESS":0.25},"n_days":2181,"reading":"empirical daily regime transitions. p_reach_stress makes STRESS absorbing and propagates today's regime forward N business days; dwell is the expected days before leaving the current regime. Counting only, no fit, so it can only be as representative as the sample.","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"oujump":{"ok":true,"level_now":44.7,"stress_line":70.0,"fit":{"k_per_bd":0.0062,"half_life_bd":112.6,"theta":29.2,"sigma":0.732,"jump_intensity_per_bd":0.0142,"jump_mean":2.92},"horizons":[{"h":5,"p_above_stress":0.0,"p_diffusion_only":0.0,"jump_share_of_tail":0.0},{"h":10,"p_above_stress":0.0,"p_diffusion_only":0.0,"jump_share_of_tail":0.0},{"h":21,"p_above_stress":0.0,"p_diffusion_only":0.0,"jump_share_of_tail":1.0}],"reading":"mean-reverting fit with a jump term. p_above_stress is the analytic probability the index sits above the STRESS line at +Nd (endpoint, not path-max), split into the diffusion tail and the jump tail. half_life is how fast shocks decay; a low k means the level drifts rather than snaps back.","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"montecarlo":{"ok":true,"level_now":44.7,"n_paths":5000,"stress_line":70.0,"calm_line":25.0,"fan":[{"h":5,"p10":42.0,"p25":43.1,"median":44.3,"p75":45.5,"p90":46.6},{"h":10,"p10":40.5,"p25":42.1,"median":43.9,"p75":45.7,"p90":47.7},{"h":21,"p10":38.0,"p25":40.4,"median":43.0,"p75":45.8,"p90":49.7}],"p_touch_stress":{"h5":0.0006,"h10":0.0008,"h21":0.0032},"p_back_to_calm":{"h5":0.0002,"h10":0.0018,"h21":0.006},"reading":"5,000 simulated paths from today under the fitted OU+jump process. the fan is the spread of where the index could be at +Nd; p_touch_stress is the chance a path crosses the STRESS line at ANY point within Nd (path-max, higher than the endpoint odds). Seeded fixed, so the same board always simulates the same fan.","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"funding_pop":{"ok":true,"asof":"2026-08-11","n_pops":89,"n_resolved":89,"sticky_base":{"rate":0.416,"ci95":[0.319,0.52]},"live":null,"flat_water":true,"receipts":[{"date":"2026-03-02","pop_bp":4.0,"bucket":"month_end","rrp_co_z":-1.36,"stuck":false,"escalated":false},{"date":"2026-03-16","pop_bp":5.0,"bucket":"tax_date","rrp_co_z":0.01,"stuck":false,"escalated":false},{"date":"2026-03-31","pop_bp":5.0,"bucket":"quarter_turn","rrp_co_z":1.35,"stuck":false,"escalated":false},{"date":"2026-04-14","pop_bp":5.0,"bucket":"plain","rrp_co_z":0.01,"stuck":true,"escalated":true},{"date":"2026-05-22","pop_bp":4.0,"bucket":"plain","rrp_co_z":-0.22,"stuck":true,"escalated":true},{"date":"2026-06-12","pop_bp":5.0,"bucket":"plain","rrp_co_z":-0.0,"stuck":true,"escalated":false},{"date":"2026-06-30","pop_bp":6.0,"bucket":"quarter_turn","rrp_co_z":2.31,"stuck":false,"escalated":false},{"date":"2026-07-14","pop_bp":5.0,"bucket":"plain","rrp_co_z":-0.05,"stuck":true,"escalated":false}],"validation":{"sticky":{"n_scored":59,"base_rate":0.424,"auroc":0.635,"brier":0.2541,"brier_base":0.2442,"skill":-0.04},"escalates":{"n_scored":59,"base_rate":0.339,"auroc":0.582,"brier":0.2389,"brier_base":0.2241,"skill":-0.066}},"caveats":["pops are declustered (>7 calendar days apart) so trials are ~independent \u2014 but regimes still overlap","the model is a 4-feature logistic on purpose: a few hundred pops cannot discipline more","a pop with its expected RRP co-move is choreography; without it, scarcity \u2014 the discriminator the 2025 squeezes proved"],"method":"pop = shared PROOF statistic \u2265 4bp, declustered; targets: STICKY = half-give-back time \u2265 3bd (window 15bd), ESCALATES = \u226510bp event within 10bd; features as-of pop-day close (pop_bp, rrp_co_z, is_turn, damping_pctl); expanding walk-forward logistic across pops after 30 warmup; scored pop-by-pop vs the base rate on final-vintage history (construction-PIT only)","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical 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beats persistence at 5bd (MAE ratio 0.92) and the determinism gate passes \u2014 the neighbor fan carries real skill"},"caveats":["Tide Tables asks WHICH history rhymes; the Gyre asks whether the dynamics are deterministic enough to rhyme at all \u2014 a failed determinism gate demotes every analog forecast to linear skill","Bathymetry reconstructs the STOCHASTIC equation of motion (drift + noise) for the same basin; the Gyre asks the complementary deterministic question \u2014 both can be right at once","residual family = Undertow's residual (spread minus rolling median), so this shares the PROOF event's variable family: predictability evidence, never composite stress evidence","daily closes only \u2014 the intraday dynamics where much of the funding action lives are invisible at this sampling","E was chosen once on the warmup segment and frozen \u2014 later data never re-votes the embedding, which is what makes the choice truncation-stable"],"method":"resid = spread \u2212 rolling 30bd median (Undertow's residual family), scaled by EXPANDING MAD (min 120 obs, trailing) \u2192 x. Takens delay embedding v_t = (x_t,\u2026,x_(t\u2212E+1)); E scanned 2\u20138 at h=1 with every target, library vector and realized future strictly inside the first 500 rows, then FROZEN \u2014 the choice is truncation-stable because later data never re-votes it. Simplex projection: k=E+1 nearest library neighbors, library = vectors whose h-step future resolved strictly before t with Theiler exclusion |s\u2212t| \u2265 E+h (min 300 vectors), weights exp(\u2212d/d_min). Decay: Pearson rho and MAE-vs-persistence per h in (1, 2, 3, 5, 8, 13, 21) over post-warmup targets. Determinism gate: 20 phase-randomized surrogates (rfft phases scrambled, DC/Nyquist kept, seed 7) preserve the linear autocorrelation exactly; actual rho must clear their 95th percentile (targets subsampled every 3, same subsample for the actual). S-map: locally weighted linear regression over the full library, weights exp(\u2212theta\u00b7d/d\u0304), theta in (0.0, 0.5, 1.0, 2.0, 4.0, 8.0), lstsq on the weighted design (every 5th target); state dependence = rho_best \u2212 rho(0) > 0.03. Stability: the S-map coefficients at theta 2 form the top row of an E\u00d7E companion matrix; largest |eigenvalue| = local expansion multiplier, read as an expanding percentile vs its own past. Live forecast: simplex h=5 from the latest v_t, neighbor-future p25/p75, rescaled to residual bp by the last expanding MAD; verdict gated on BOTH MAE ratio < 1 at h=5 and the determinism gate","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical 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date","required_inputs":["fed_assets","ecb_assets","boj_assets","usd_per_eur","jpy_per_usd","equity","indpro","tga","rrp"],"manifest":{},"missing":["fed_assets","ecb_assets","boj_assets","usd_per_eur","jpy_per_usd","equity","indpro","tga","rrp"],"unsafe":{"fed_assets":"undeclared","ecb_assets":"undeclared","boj_assets":"undeclared","usd_per_eur":"undeclared","jpy_per_usd":"undeclared","equity":"undeclared","indpro":"undeclared","tga":"undeclared","rrp":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"asof":"2026-07-31","window":["2003-01-31","2026-07-31"],"n_months":283,"latest":{"g3_usd_tn":17.49,"components_usd_tn":{"fed":6.74,"ecb":6.79,"boj":3.97},"yoy_pct":-6.6},"claim1":{"stated":"liquidity leads asset prices by 3 to 6 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leads the business cycle by 12 to 15 months","correlogram":{"0":-0.407,"1":-0.365,"2":-0.306,"3":-0.249,"4":-0.202,"5":-0.166,"6":-0.125,"7":-0.075,"8":-0.027,"9":0.02,"10":0.062,"11":0.103,"12":0.132,"13":0.15,"14":0.157,"15":0.163,"16":0.177,"17":0.194,"18":0.211,"19":0.224,"20":0.228,"21":0.23,"22":0.231,"23":0.231,"24":0.225},"peak_lead_months":22,"peak_detail":{"corr":0.231,"ci95":[0.051,0.415],"n":248},"corr_at_claimed_13m":{"corr":0.15,"ci95":[-0.139,0.459],"n":257},"contemporaneous":-0.407},"claim3":{"stated":"global liquidity follows a cycle of roughly 65 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,9808.4,9.83],["2014-09-30",9665.6,7.54],["2014-10-31",9743.5,5.61],["2014-11-30",9604.6,3.7],["2014-12-31",9664.7,3.5],["2015-01-31",9665.9,3.23],["2015-02-28",9631.9,1.43],["2015-03-31",9603.6,0.42],["2015-04-30",9811.2,1.2],["2015-05-31",10003.4,1.68],["2015-06-30",10138.0,4.08],["2015-07-31",10148.3,3.32],["2015-08-31",10263.2,4.53],["2015-09-30",10474.0,8.03],["2015-10-31",10593.3,8.36],["2015-11-30",10489.1,8.81],["2015-12-31",10650.0,9.71],["2016-01-31",10884.1,11.87],["2016-02-29",11174.4,14.85],["2016-03-31",11301.0,16.27],["2016-04-30",11662.1,17.28],["2016-05-31",11841.7,16.87],["2016-06-30",12091.0,17.62],["2016-07-31",12347.9,19.62],["2016-08-31",12664.6,21.02],["2016-09-30",12796.8,20.03],["2016-10-31",12777.2,18.74],["2016-11-30",12639.4,18.65],["2016-12-31",12421.6,15.39],["2017-01-31",12626.9,14.85],["2017-02-28",12845.6,13.94],["2017-03-31",13194.0,15.49],["2017-04-30",13435.5,14.16],["2017-05-31",13557.8,13.53],["2017-06-30",13718.9,12.63],["2017-07-31",13860.8,11.56],["2017-08-31",14165.1,11.2],["2017-09-30",14235.6,10.65],["2017-10-31",14187.6,10.47],["2017-11-30",14263.4,12.09],["2017-12-31",14358.0,14.49],["2018-01-31",14649.8,14.86],["2018-02-28",14898.7,14.83],["2018-03-31",14960.6,12.57],["2018-04-30",14930.8,10.55],["2018-05-31",14652.1,7.76],["2018-06-30",14548.3,5.87],["2018-07-31",14565.4,4.96],["2018-08-31",14518.6,2.46],["2018-09-30",14450.5,1.5],["2018-10-31",14347.8,1.12],["2018-11-30",14294.4,0.22],["2018-12-31",14309.7,-0.34],["2019-01-31",14527.4,-0.84],["2019-02-28",14387.9,-3.49],["2019-03-31",14271.8,-4.71],["2019-04-30",14239.9,-4.74],["2019-05-31",14250.9,-2.78],["2019-06-30",14354.1,-1.34],["2019-07-31",14280.7,-1.97],["2019-08-31",14365.7,-1.06],["2019-09-30",14263.3,-1.3],["2019-10-31",14519.6,1.19],["2019-11-30",14559.3,1.84],["2019-12-31",14632.6,2.23],["2020-01-31",14628.6,0.69],["2020-02-29",14593.8,1.42],["2020-03-31",16460.9,14.27],["2020-04-30",18214.4,24.62],["2020-05-31",19158.1,29.59],["2020-06-30",20135.9,33.85],["2020-07-31",20498.3,36.14],["2020-08-31",21051.6,38.21],["2020-09-30",21292.5,40.07],["2020-10-31",21756.5,40.44],["2020-11-30",22112.4,41.79],["2020-12-31",22667.7,43.77],["2021-01-31",22805.8,44.4],["2021-02-28",22951.9,45.28],["2021-03-31",23194.9,34.29],["2021-04-30",23441.2,25.23],["2021-05-31",23846.0,21.89],["2021-06-30",24080.1,17.89],["2021-07-31",24223.1,16.7],["2021-08-31",24586.7,15.52],["2021-09-30",24754.1,15.06],["2021-10-31",24671.4,12.57],["2021-11-30",24726.0,11.17],["2021-12-31",24796.3,8.98],["2022-01-31",24933.6,8.92],["2022-02-28",25106.7,8.97],["2022-03-31",24744.0,6.47],["2022-04-30",24273.3,3.49],["2022-05-31",23944.0,0.41],["2022-06-30",23720.4,-1.5],["2022-07-31",23107.8,-4.71],["2022-08-31",22931.5,-6.97],["2022-09-30",22302.7,-10.43],["2022-10-31",22097.5,-11.02],["2022-11-30",22132.0,-11.08],["2022-12-31",22194.6,-11.08],["2023-01-31",22602.9,-9.81],["2023-02-28",22330.9,-11.72],["2023-03-31",22485.1,-9.57],["2023-04-30",22569.9,-7.28],["2023-05-31",22208.2,-7.53],["2023-06-30",21351.5,-10.52],["2023-07-31",21461.7,-7.39],["2023-08-31",21097.4,-8.34],["2023-09-30",20558.5,-8.14],["2023-10-31",20341.8,-8.28],["2023-11-30",20414.5,-8.08],["2023-12-31",20487.7,-8.0],["2024-01-31",20307.5,-10.71],["2024-02-29",20023.0,-10.91],["2024-03-31",19729.4,-13.07],["2024-04-30",19406.7,-15.1],["2024-05-31",19259.3,-14.25],["2024-06-30",19025.3,-11.54],["2024-07-31",19037.8,-11.98],["2024-08-31",19485.7,-7.95],["2024-09-30",19454.5,-5.52],["2024-10-31",19051.1,-6.55],["2024-11-30",18617.9,-9.21],["2024-12-31",18406.4,-10.71],["2025-01-31",18196.2,-10.98],["2025-02-28",18275.3,-9.13],["2025-03-31",18391.1,-7.02],["2025-04-30",18892.2,-2.69],["2025-05-31",18810.6,-2.36],["2025-06-30",18816.1,-1.11],["2025-07-31",18688.0,-1.85],["2025-08-31",18605.4,-4.62],["2025-09-30",18440.4,-5.35],["2025-10-31",18371.2,-3.63],["2025-11-30",18152.2,-2.53],["2025-12-31",18205.7,-1.1],["2026-01-31",18333.9,0.75],["2026-02-28",18384.9,0.6],["2026-03-31",17956.8,-2.39],["2026-04-30",18138.9,-4.07],["2026-05-31",18103.0,-3.83],["2026-06-30",17758.5,-5.78],["2026-07-31",17493.8,-6.6]],"method":"G3 central bank assets are converted to dollars at monthly average spot and summed month end from 2003. Year on year growth of that aggregate is correlated with forward equity returns at horizons of 1 to 18 months and with forward industrial production growth at 0 to 24 months; every correlation carries a circular moving block bootstrap interval. The predictive claim is additionally tested walk forward with a trailing median signal and no look ahead, and with lagged OLS F tests in both causal directions. Cycle length is read from a linearly detrended periodogram with its resolution limit stated. The transform choice is stress tested by rerunning the forward correlations on six month annualized growth, and the strongest known variant of the claim, net liquidity defined as central bank assets minus the Treasury cash balance minus reverse repo take up, gets the same forward correlations and the same walk forward test. Historical inputs are final/current-vintage unless the attached historical_evidence manifest proves otherwise; chronological alignment alone is not a validated-backtest claim.","rubric":{"ok":true,"kernel":"arXiv:2606.08285","ordering_rule":"the terminal grades itself before it grades anyone else: the self grade publishes first, on the same rows, with its PARTIAL rows named and locked by regression test","fields":[{"field":"point_in_time_controls","label":"point-in-time controls"},{"field":"split_transparency","label":"train/eval split transparency"},{"field":"held_out_evaluation","label":"held-out evaluation"},{"field":"universe_definition","label":"universe and series definition"},{"field":"artifact_release","label":"artifact release"},{"field":"vintage_handling","label":"vintage and revision handling","recoded_from":"cost and turnover treatment"},{"field":"threshold_provenance","label":"threshold provenance","recoded_from":"execution semantics"},{"field":"verdict_revision_policy","label":"verdict revision policy"}],"cases":[{"case":"self","subject":"Seiche itself: the PROOF scoreboard and the composite","rows":[{"field":"point_in_time_controls","grade":"PASS","evidence":"Expanding window discipline is enforced by unit test: test_history_has_no_look_ahead appends future data and requires every already computed index value to stay identical, and the same invariant is pinned on undertow, tidetables, swell and bathymetry. The Leak Audit then rebuilds the same index with the two dominant leak classes deliberately switched on (full sample standardization, a centered smoother) and publishes the Leakage Gain each break would buy."},{"field":"split_transparency","grade":"PARTIAL","evidence":"Nothing in the composite is fitted, so there is no training set to disclose: the weights and the alert percentile are frozen in config.py and PROOF prints its warmup slice and its caveat list. The gap: those editorial choices were made by an operator who had already seen the full history, and no document separates the data that shaped the design from the data that now grades it. Disclosed, but not separated."},{"field":"held_out_evaluation","grade":"PARTIAL","evidence":"The genuinely held out sample is the live record since first publication: the PIT ledger commits one record per day per stream, and the attest layer signs each committed record (Ed25519) and anchors it to Bitcoin through OpenTimestamps, so a post publication reading is sealed before its outcome. The backtest window itself is not held out: the design saw it. The true out of sample record is the attested one, and it is still short."},{"field":"universe_definition","grade":"PASS","evidence":"Every input is a registered SeriesSpec in config.py with mnemonic, source ID, fetch start and native lag. The funding event is defined once (backtest.pop_bp: SOFR minus IORB against its trailing 5 business day median, 10bp threshold) and every consumer imports that definition. Registry tests pin fetch starts so a retune cannot silently starve an engine."},{"field":"artifact_release","grade":"PASS","evidence":"The whole pipeline is public AGPL-3.0 code; the board snapshot is baked to frontend/public/data/overview.json on every publish; the Time Machine endpoint (/api/asof/{date}) replays the full light board as of any historical date; and the PROOF scoreboard has its own signed and Bitcoin anchored stream (attest prove-scoreboard)."},{"field":"vintage_handling","grade":"PARTIAL","evidence":"PROOF consumes final vintage values: the FRED collector reads fredgraph.csv, which serves the current revised history, and no ALFRED as published replay exists in this codebase. The PROOF page prints the caveat (weekly H.4.1 aggregates are lightly revised; daily market prints effectively are not) and the PIT ledger accrues true as published readings from publication day forward, but the historical backtest itself rides revised values. That is the gap, named."},{"field":"threshold_provenance","grade":"PARTIAL","evidence":"Editorial, frozen, disclosed: the alert percentile (80) and the composite weights sit in config.py under a TUNING POINT banner that calls them the tool's editorial voice, and nothing in the pipeline refits them. The Leak Audit's THRESH_FIT row publishes what an in sample fitted threshold would have bought, and PROOF's AUROC is threshold free, so the cost of the editorial choice is measured. But measured is not derived: the numbers come from judgment, not from a walk forward derivation, and this rubric does not round that up."},{"field":"verdict_revision_policy","grade":"PASS","evidence":"Published readings are append only: the notary hash chains every reading so editing any past day breaks every link after it, and the attest layer makes a rewrite attributable (signature) and undatable (Bitcoin anchor). The referee, methodology and skeptic pages carry dated changelogs, and the PROOF page's stated contract is that unimpressive numbers publish anyway."}],"tally":{"PASS":4,"PARTIAL":4,"FAIL":0,"NOT_APPLICABLE":0},"reading":"Four rows PASS, four are PARTIAL with the gaps named: no as published vintage replay, a still short attested live record, thresholds measured but not derived, and a design that saw its own evaluation sample. Each PARTIAL is locked by a regression test and flips only when the missing evidence ships."},{"case":"external","subject":"the global liquidity index family's three headline claims","rows":[{"field":"point_in_time_controls","grade":"FAIL","evidence":"The claims ship with no stated look ahead protections. Rebuilt with them (trailing median signal, no look ahead), the public layer's 6 month spread is +0.0159 with a 95 percent interval of [-0.0327, +0.0653]."},{"field":"split_transparency","grade":"FAIL","evidence":"No design or evaluation split ships with the claims: no error bars, no out of sample tests, no design sample named. The referee page states that absence above the fold."},{"field":"held_out_evaluation","grade":"FAIL","evidence":"Nothing is held out because nothing is released to hold out. The referee's own held out test on the public layer refuses to certify the asset price lead; at the claimed 13 month business cycle lead the correlation reads +0.15 in [-0.14, +0.46], n 257."},{"field":"universe_definition","grade":"PARTIAL","evidence":"The largest agreed component is public and is reconstructed here: G3 central bank assets at monthly average spot, 283 months from 2003-01-31 to 2026-07-31. The remaining layers, private credit and cross border flows across some 80 countries back to 1974, are defined in prose and reproducible by nobody outside the firm."},{"field":"artifact_release","grade":"FAIL","evidence":"The index is proprietary: no series, no code, no error distribution. The referee page commits to rerunning every test the day an error distribution is released."},{"field":"vintage_handling","grade":"FAIL","evidence":"No revision record ships with the claims, so as published values cannot even be distinguished from today's history. An index family whose vintages are unpublished is ungradeable on this row, and ungradeable by choice is a FAIL, not an N/A."},{"field":"threshold_provenance","grade":"FAIL","evidence":"The claimed windows, 3 to 6 months, 12 to 15 months and a 65 month cycle, arrive with no stated derivation. Tested on the public layer, the business cycle correlation peaks at a 22 month lead. The sample's spectral resolution at 65 months is plus or minus 15.6 months: too coarse to certify the cycle either way."},{"field":"verdict_revision_policy","grade":"FAIL","evidence":"The claims are undated and carry no changelog and no stated policy for revising or retiring a claim that fails. A claim that cannot fail in public is copy, not a forecast; the referee page's dated changelog is what the alternative looks like."}],"tally":{"PASS":0,"PARTIAL":1,"FAIL":7,"NOT_APPLICABLE":0},"reading":"Seven rows FAIL and one is PARTIAL, all from one root cause: nothing is released that would let an outsider grade the claims any better. The rubric grades the published record, and the published record is assertion."}],"method":"Adapted from the coded execution assumption matrix of arXiv:2606.08285. The paper's seven fields grade backtested trading claims; two of them, cost and turnover treatment and execution semantics, are vacuous for a terminal that trades nothing, so they are re coded as vintage and revision handling and threshold provenance, and a verdict revision policy row is added. Grades are PASS, PARTIAL, FAIL or NOT_APPLICABLE, N/A only with a stated reason, and every row carries evidence a reader can check. The self grade is built from repo facts (unit tests by name, config constants, the attested PIT ledger); the external case is populated from what engines/refereegli.py actually established, with live numbers when the block is lit."},"validated_backtest":false,"real_money_eligible":false},"ml":{"ok":true,"asof":"2026-08-10","p_event_5bd":0.025,"verdict":"does not out-rank the rule-based index (0.821 vs 0.848); probability levels beat climatology","validation":{"oos_days":1586,"oos_events":63,"base_rate":0.04,"auroc":0.821,"auroc_rule_based":0.848,"brier":0.0377,"brier_climatology":0.0381,"refit_every_bd":42,"warmup_d":500,"embargo_bd":5,"pretrain_rows":6930,"pretrain_events":425,"pretrain_weight":0.3},"utility":{"cost_per_false_alarm":0.25,"unit":"net caught-events per year (false alarms charged at cost)","ml_at_25pct":1.47,"ml_at_50pct":0.83,"rule_at_80pctl":-6.63,"never_act":0.0},"reliability":[{"bin":"0.00-0.05","mean_pred":0.004,"realized":0.023,"n":1365},{"bin":"0.05-0.15","mean_pred":0.094,"realized":0.049,"n":122},{"bin":"0.15-0.30","mean_pred":0.205,"realized":0.209,"n":43},{"bin":"0.30-0.50","mean_pred":0.4,"realized":0.222,"n":27},{"bin":"0.50-1.01","mean_pred":0.695,"realized":0.345,"n":29}],"top_features":[{"feature":"bd_to_mend","importance":0.0625},{"feature":"pair_ez","importance":0.014},{"feature":"bd_to_qend","importance":0.0138},{"feature":"hy_pctl","importance":0.0116},{"feature":"spread_ez","importance":0.0069},{"feature":"inr_vol_ez","importance":0.0066},{"feature":"spread_lvl","importance":0.0065},{"feature":"stable_chg30_pct","importance":0.0061},{"feature":"spread_chg5","importance":0.0057},{"feature":"bd_to_tax","importance":0.0056}],"p_series":[["2020-04-02",0.097],["2020-04-07",0.123],["2020-04-13",0.148],["2020-04-16",0.1],["2020-04-21",0.006],["2020-04-24",0.14],["2020-04-29",0.029],["2020-05-04",0.022],["2020-05-07",0.011],["2020-05-12",0.012],["2020-05-15",0.019],["2020-05-20",0.009],["2020-05-26",0.04],["2020-05-29",0.121],["2020-06-03",0.013],["2020-06-08",0.021],["2020-06-11",0.015],["2020-06-16",0.021],["2020-06-19",0.02],["2020-06-24",0.018],["2020-06-29",0.027],["2020-07-02",0.022],["2020-07-08",0.022],["2020-07-13",0.022],["2020-07-16",0.032],["2020-07-21",0.03],["2020-07-24",0.072],["2020-07-29",0.012],["2020-08-03",0.002],["2020-08-06",0.001],["2020-08-11",0.003],["2020-08-14",0.001],["2020-08-19",0.007],["2020-08-24",0.006],["2020-08-27",0.01],["2020-09-01",0.001],["2020-09-04",0.002],["2020-09-10",0.005],["2020-09-15",0.014],["2020-09-18",0.004],["2020-09-23",0.002],["2020-09-28",0.003],["2020-10-01",0.001],["2020-10-06",0.003],["2020-10-09",0.001],["2020-10-15",0.001],["2020-10-20",0.001],["2020-10-23",0.001],["2020-10-28",0.001],["2020-11-02",0.002],["2020-11-05",0.002],["2020-11-10",0.003],["2020-11-16",0.001],["2020-11-19",0.001],["2020-11-24",0.001],["2020-11-30",0.001],["2020-12-03",0.001],["2020-12-08",0.001],["2020-12-11",0.001],["2020-12-16",0.002],["2020-12-21",0.001],["2020-12-24",0.001],["2020-12-30",0.003],["2021-01-05",0.001],["2021-01-08",0.001],["2021-01-13",0.001],["2021-01-19",0.001],["2021-01-22",0.001],["2021-01-27",0.005],["2021-02-01",0.001],["2021-02-04",0.001],["2021-02-09",0.001],["2021-02-12",0.002],["2021-02-18",0.003],["2021-02-23",0.004],["2021-02-26",0.001],["2021-03-03",0.004],["2021-03-08",0.003],["2021-03-11",0.001],["2021-03-16",0.0],["2021-03-19",0.0],["2021-03-24",0.001],["2021-03-29",0.003],["2021-04-01",0.002],["2021-04-07",0.0],["2021-04-12",0.001],["2021-04-15",0.001],["2021-04-20",0.0],["2021-04-23",0.0],["2021-04-28",0.003],["2021-05-03",0.001],["2021-05-06",0.0],["2021-05-11",0.0],["2021-05-14",0.001],["2021-05-19",0.001],["2021-05-24",0.002],["2021-05-27",0.001],["2021-06-02",0.002],["2021-06-07",0.001],["2021-06-10",0.001],["2021-06-15",0.001],["2021-06-18",0.0],["2021-06-23",0.0],["2021-06-28",0.0],["2021-07-01",0.0],["2021-07-07",0.0],["2021-07-12",0.0],["2021-07-15",0.0],["2021-07-20",0.0],["2021-07-23",0.0],["2021-07-28",0.0],["2021-08-02",0.0],["2021-08-05",0.001],["2021-08-10",0.0],["2021-08-13",0.0],["2021-08-18",0.0],["2021-08-23",0.0],["2021-08-26",0.001],["2021-08-31",0.0],["2021-09-03",0.0],["2021-09-09",0.0],["2021-09-14",0.0],["2021-09-17",0.0],["2021-09-22",0.0],["2021-09-27",0.001],["2021-09-30",0.0],["2021-10-05",0.0],["2021-10-08",0.0],["2021-10-14",0.0],["2021-10-19",0.0],["2021-10-22",0.0],["2021-10-27",0.001],["2021-11-01",0.0],["2021-11-04",0.0],["2021-11-09",0.0],["2021-11-15",0.0],["2021-11-18",0.0],["2021-11-23",0.0],["2021-11-29",0.0],["2021-12-02",0.0],["2021-12-07",0.0],["2021-12-10",0.0],["2021-12-15",0.001],["2021-12-20",0.0],["2021-12-23",0.0],["2021-12-29",0.0],["2022-01-03",0.0],["2022-01-06",0.0],["2022-01-11",0.0],["2022-01-14",0.0],["2022-01-20",0.0],["2022-01-25",0.0],["2022-01-28",0.0],["2022-02-02",0.0],["2022-02-07",0.0],["2022-02-10",0.0],["2022-02-15",0.0],["2022-02-18",0.0],["2022-02-24",0.0],["2022-03-01",0.0],["2022-03-04",0.0],["2022-03-09",0.001],["2022-03-14",0.001],["2022-03-17",0.0],["2022-03-22",0.0],["2022-03-25",0.001],["2022-03-30",0.001],["2022-04-04",0.001],["2022-04-07",0.002],["2022-04-12",0.002],["2022-04-18",0.001],["2022-04-21",0.001],["2022-04-26",0.001],["2022-04-29",0.001],["2022-05-04",0.001],["2022-05-09",0.001],["2022-05-12",0.001],["2022-05-17",0.001],["2022-05-20",0.0],["2022-05-25",0.001],["2022-05-31",0.0],["2022-06-03",0.002],["2022-06-08",0.001],["2022-06-13",0.003],["2022-06-16",0.0],["2022-06-22",0.001],["2022-06-27",0.005],["2022-06-30",0.001],["2022-07-06",0.001],["2022-07-11",0.001],["2022-07-14",0.002],["2022-07-19",0.002],["2022-07-22",0.001],["2022-07-27",0.0],["2022-08-01",0.0],["2022-08-04",0.0],["2022-08-09",0.0],["2022-08-12",0.0],["2022-08-17",0.001],["2022-08-22",0.0],["2022-08-25",0.001],["2022-08-30",0.001],["2022-09-02",0.003],[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are rare \u2014 AUROC on few positives deserves humility","walk-forward only; no shuffled CV (leakage on time series)","5bd boundary embargo: training rows whose labels see into the test block are dropped","features trailing-only; labels final-vintage (same caveat as PROOF)","probabilities are raw model outputs; check the reliability table before trusting a level"],"method":"HistGradientBoosting (depth 3), expanding walk-forward refits every 42bd after 500d warmup, 5bd embargo; target = funding event (+10.0bp vs 5d median) within 5bd","transfer":{"auroc_pooled":0.821,"auroc_solo":0.817,"brier_pooled":0.0377,"brier_solo":0.0397,"gain_auroc":0.004,"pretrain_rows":6930,"pretrain_events":425,"verdict":"TED-era pretraining does NOT help (+0.004 AUROC) \u2014 the SOFR era speaks for itself; pretraining kept for robustness only"},"orthogonal":{"auroc":0.802,"brier":0.0385,"brier_climatology":0.0381,"p_event_5bd":0.029,"verdict":"AUROC 0.802 (no rule comparator in this feature set); probability LEVELS do not beat climatology \u2014 use for ranking/alerting, not as literal odds","utility":{"cost_per_false_alarm":0.25,"unit":"net caught-events per year (false alarms charged at cost)","ml_at_25pct":1.31,"ml_at_50pct":1.11,"rule_at_80pctl":null,"never_act":0.0},"dropped_features":["spread_lvl","spread_chg5","spread_ez","tail_lvl","tail_ez","lite","lite_pctl"]},"historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical 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,0.039,0.03],["2024-06-14",0.037,0.03],["2024-06-19",0.04,0.032],["2024-06-24",0.038,0.031],["2024-06-27",0.042,0.036],["2024-07-02",0.042,0.037],["2024-07-05",0.038,0.033],["2024-07-10",0.037,0.032],["2024-07-15",0.037,0.033],["2024-07-18",0.037,0.034],["2024-07-23",0.037,0.033],["2024-07-26",0.038,0.033],["2024-07-31",0.038,0.034],["2024-08-05",0.039,0.035],["2024-08-08",0.033,0.025],["2024-08-13",0.034,0.025],["2024-08-16",0.034,0.024],["2024-08-21",0.033,0.022],["2024-08-26",0.032,0.022],["2024-08-29",0.033,0.022],["2024-09-03",0.032,0.021],["2024-09-06",0.031,0.024],["2024-09-11",0.031,0.021],["2024-09-16",0.031,0.023],["2024-09-19",0.033,0.026],["2024-09-24",0.03,0.021],["2024-09-27",0.031,0.021],["2024-10-02",0.035,0.031],["2024-10-07",0.033,0.028],["2024-10-10",0.032,0.026],["2024-10-15",0.032,0.027],["2024-10-18",0.032,0.027],["2024-10-23",0.032,0.027],["2024-10-28",0.031,0.023],["2024-10-31",0.026,0.025],["2024-11-05",0.026,0.025],["2024-11-08",0.026,0.025],["2024-11-13",0.026,0.026],["2024-11-18",0.028,0.026],["2024-11-21",0.027,0.026],["2024-11-26",0.026,0.024],["2024-11-29",0.027,0.024],["2024-12-04",0.026,0.025],["2024-12-09",0.026,0.025],["2024-12-12",0.026,0.025],["2024-12-17",0.027,0.027],["2024-12-20",0.026,0.026],["2024-12-25",0.026,0.024],["2024-12-30",0.027,0.025],["2025-01-02",0.029,0.028],["2025-01-07",0.026,0.024],["2025-01-10",0.025,0.021],["2025-01-15",0.025,0.021],["2025-01-20",0.026,0.022],["2025-01-23",0.026,0.023],["2025-01-28",0.027,0.023],["2025-01-31",0.028,0.025],["2025-02-05",0.028,0.027],["2025-02-10",0.028,0.027],["2025-02-13",0.028,0.027],["2025-02-18",0.027,0.026],["2025-02-21",0.027,0.025],["2025-02-26",0.027,0.021],["2025-03-03",0.028,0.021],["2025-03-06",0.027,0.021],["2025-03-11",0.028,0.02],["2025-03-14",0.028,0.018],["2025-03-19",0.024,0.016],["2025-03-24",0.025,0.015],["2025-03-27",0.025,0.015],["2025-04-01",0.025,0.017],["2025-04-04",0.026,0.019],["2025-04-09",0.027,0.019],["2025-04-14",0.027,0.019],["2025-04-17",0.029,0.022],["2025-04-22",0.028,0.02],["2025-04-25",0.03,0.025],["2025-04-30",0.029,0.024],["2025-05-05",0.03,0.026],["2025-05-08",0.028,0.022],["2025-05-13",0.027,0.021],["2025-05-16",0.027,0.021],["2025-05-21",0.025,0.018],["2025-05-26",0.026,0.019],["2025-05-29",0.026,0.018],["2025-06-03",0.026,0.019],["2025-06-06",0.026,0.02],["2025-06-11",0.027,0.02],["2025-06-16",0.028,0.021],["2025-06-19",0.03,0.025],["2025-06-24",0.03,0.024],["2025-06-27",0.031,0.026],["2025-07-02",0.031,0.031],["2025-07-07",0.031,0.03],["2025-07-10",0.031,0.029],["2025-07-15",0.032,0.029],["2025-07-18",0.031,0.028],["2025-07-23",0.031,0.027],["2025-07-28",0.03,0.025],["2025-07-31",0.031,0.026],["2025-08-05",0.031,0.028],["2025-08-08",0.031,0.027],["2025-08-13",0.031,0.027],["2025-08-18",0.03,0.028],["2025-08-21",0.033,0.027],["2025-08-26",0.033,0.027],["2025-08-29",0.034,0.026],["2025-09-03",0.034,0.028],["2025-09-08",0.034,0.029],["2025-09-11",0.035,0.03],["2025-09-16",0.034,0.031],["2025-09-19",0.035,0.031],["2025-09-24",0.038,0.03],["2025-09-29",0.038,0.029],["2025-10-02",0.035,0.032],["2025-10-07",0.036,0.031],["2025-10-10",0.034,0.03],["2025-10-15",0.034,0.031],["2025-10-20",0.047,0.039],["2025-10-23",0.052,0.038],["2025-10-28",0.053,0.037],["2025-10-31",0.049,0.04],["2025-11-05",0.049,0.04],["2025-11-10",0.052,0.038],["2025-11-13",0.055,0.039],["2025-11-18",0.05,0.038],["2025-11-21",0.061,0.041],["2025-11-26",0.063,0.038],["2025-12-01",0.05,0.038],["2025-12-04",0.05,0.039],["2025-12-09",0.058,0.038],["2025-12-12",0.062,0.036],["2025-12-17",0.066,0.043],["2025-12-22",0.064,0.044],["2025-12-25",0.164,0.212],["2025-12-30",0.178,0.254],["2026-01-02",0.065,0.048],["2026-01-07",0.067,0.046],["2026-01-12",0.072,0.046],["2026-01-15",0.067,0.046],["2026-01-20",0.062,0.045],["2026-01-23",0.093,0.061],["2026-01-28",0.101,0.07],["2026-02-02",0.059,0.034],["2026-02-05",0.065,0.033],["2026-02-10",0.062,0.032],["2026-02-13",0.058,0.028],["2026-02-18",0.066,0.04],["2026-02-23",0.129,0.155],["2026-02-26",0.117,0.118],["2026-03-03",0.066,0.04],["2026-03-06",0.06,0.039],["2026-03-11",0.067,0.037],["2026-03-16",0.069,0.037],["2026-03-19",0.055,0.031],["2026-03-24",0.121,0.153],["2026-03-27",0.17,0.254],["2026-04-01",0.053,0.034],["2026-04-06",0.056,0.033],["2026-04-09",0.055,0.027],["2026-04-14",0.052,0.024],["2026-04-17",0.053,0.032],["2026-04-22",0.056,0.034],["2026-04-27",0.083,0.051],["2026-04-30",0.057,0.032],["2026-05-05",0.056,0.032],["2026-05-08",0.056,0.028],["2026-05-13",0.053,0.021],["2026-05-18",0.053,0.021],["2026-05-21",0.052,0.018],["2026-05-26",0.051,0.016],["2026-05-29",0.051,0.023],["2026-06-03",0.053,0.023],["2026-06-08",0.066,0.031],["2026-06-11",0.064,0.022],["2026-06-16",0.056,0.023],["2026-06-19",0.06,0.026],["2026-06-24",0.132,0.158],["2026-06-29",0.102,0.09],["2026-07-02",0.06,0.032],["2026-07-07",0.059,0.031],["2026-07-10",0.054,0.019],["2026-07-15",0.05,0.016],["2026-07-20",0.047,0.016],["2026-07-23",0.052,0.016],["2026-07-28",0.059,0.016],["2026-07-31",0.055,0.024],["2026-08-05",0.056,0.022],["2026-08-10",0.063,0.021]],"caveats":["members share upstream data \u2014 dispersion understates true model disagreement","~6 historical episodes: the stack is capped at ~10 parameters on purpose","walk-forward with boundary embargo; members are themselves walk-forward outputs (no peeking anywhere in the chain)","missing members imputed with train-window means; per-member coverage published"],"method":"per-member 1-D logistic calibration + logistic stack over calibrated members and regime dummies; expanding walk-forward (warmup 250d, refit 42bd, embargo 5bd); published = stack only if it beats the equal-weight mean OOS; target = PROOF funding event within 5bd","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"regatta":{"ok":true,"asof":"2026-08-07","n_days":462,"n_events":55,"size":0.1,"rows":[{"model":"rule","label":"rule index (calibrated)","brier":0.1048,"mcs_pvalue":1.0,"in_set":true},{"model":"tell","label":"The Tell (calibrated)","brier":0.1088,"mcs_pvalue":0.458,"in_set":true},{"model":"stack_published","label":"the Stack (as published)","brier":0.109,"mcs_pvalue":0.5,"in_set":true},{"model":"climatology","label":"calendar climatology","brier":0.1098,"mcs_pvalue":0.294,"in_set":true},{"model":"tide","label":"Tide Tables","brier":0.1112,"mcs_pvalue":0.181,"in_set":true},{"model":"ml","label":"ML Lab","brier":0.113,"mcs_pvalue":0.5,"in_set":true},{"model":"swell","label":"Swell curve","brier":0.1138,"mcs_pvalue":0.12,"in_set":true},{"model":"bathy","label":"Bathymetry","brier":0.1149,"mcs_pvalue":0.039,"in_set":false}],"included":["climatology","ml","rule","stack_published","swell","tell","tide"],"verdict":"7 of 8 entrants survive \u2014 but CLIMATOLOGY IS AMONG THEM: no boat has statistically separated from the base rate on this sample; point rankings are decoration","duplicates_merged":null,"balanced_panel_coverage":0.25,"caveats":["MCS inclusion is a statement about statistical indistinguishability, not skill: a set containing everything means the sample is too short to separate the fleet","the race runs only on days where EVERY entrant has a value \u2014 coverage share of the balanced panel is printed above","members share upstream data, so losses are positively correlated; the MCS bootstraps loss DIFFERENTIALS (its design), but shared data still shrinks the effective information","overlapping 5bd labels are serially correlated \u2014 the stationary block bootstrap (block 21bd) is the mitigation, not a cure","context/honesty layer: nothing here feeds the composite or the Stack (doctrine)","all historical entrants use final/current-vintage source history; multiple-testing correction does not create as-published vintage evidence"],"method":"Model Confidence Set (Hansen\u2013Lunde\u2013Nason 2011) over daily Brier losses vs the shared PROOF label; entrants = calibrated fleet members + published stack + expanding PIT climatology; stationary block bootstrap, block 21bd, 1000 reps, seed 7, elimination rule 'R', size 0.1. Survivors are indistinguishable from the best at 90% confidence.","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"searoom":{"ok":true,"asof":"2026-08-11","today":{"set":"no_event","reading":"confident quiet: at the 90% long-run level the set is {no event}","p_published":0.062,"q_radius":0.093,"alpha_working":0.1482},"coverage":{"target":0.9,"realized":0.937,"n_resolved_sets":1423},"set_counts":{"no_event":1379,"both":15,"event":0,"empty":34},"informative_rate":0.966,"informative_rate_250d":0.876,"experts":[{"gamma":0.002,"weight":0.023,"coverage":0.924,"alpha_working":0.1686},{"gamma":0.01,"weight":0.047,"coverage":0.899,"alpha_working":0.083},{"gamma":0.05,"weight":0.93,"coverage":0.89,"alpha_working":0.151}],"verdict":"realized coverage 93.7% vs 90% target (DRIFTED, read the caveats); informative on 97% of days (88% over the last 250); REGIME LEAK: coverage below target inside STRAIN, and the rest of the time the honest statement is 'the record cannot rule either outcome out'","caveats":["label feedback is honestly delayed 5bd (the event window must close before a label may steer alpha or join the score pool), which slows adaptation; the delay costs speed, not the long-run rate","what ACI delivers is a LONG-RUN AVERAGE coverage rate under distribution shift, not a finite-sample and not a per-day guarantee: any single day's set can be wrong, and ~10% of them are supposed to be","the convergence result is a property of one ACI feedback loop; the radius published here is an aggregate of several, so the realized coverage printed above is the evidence for it, not a theorem","a set of {event, no-event} is trivially covered AND useless, so the informative rate is the honest headline number, not the coverage","AgACI: the step size gamma is not chosen by config but by exponentially-weighted aggregation of several gamma experts under pinball loss (the proper score for a quantile) \u2014 radii clipped at 1.0, which already contains both labels","per-regime coverage is ACCOUNTING, not a per-regime claim: ACI steers the marginal long-run rate, and the regime table exists so conditional failure cannot hide inside it","quantile rule ceil((n+1)(1-alpha))/n is the conservative finite-n correction, valid on its own only under exchangeability, which drift breaks; warmup 250 resolved scores before the first set; deterministic, no RNG","context layer over the Stack's published stream \u2014 never composite (doctrine)"],"method":"Aggregated Adaptive Conformal Inference (Gibbs and Cand\u00e8s 2021; Zaffran et al. 2022) on the published fleet probability: nonconformity |y - p|; gamma experts (0.002, 0.01, 0.05) each steering alpha_(t+1) = alpha_t + gamma(alpha* - err_t); radii aggregated by EWA (eta=1) under pinball loss at the 90% level; errors evaluated on resolution (5bd delay). The claim is a LONG-RUN AVERAGE coverage rate of 90% that tracks its target under distribution shift, not a finite-sample or per-day guarantee; sets over {event, no-event}; per-regime coverage accounted with Wilson 95% intervals when the regime series is supplied.","coverage_by_regime":{"CALM":{"n":481,"coverage":0.994,"wilson95":[0.982,0.998]},"EROSION":{"n":834,"coverage":0.928,"wilson95":[0.908,0.944]},"STRAIN":{"n":108,"coverage":0.75,"wilson95":[0.661,0.822]}},"regime_leaks":["STRAIN"],"historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"seastate":{"ok":true,"asof":"2026-08-11","n_days":2077,"p_rough_now":0.004,"states":{"calm":{"mu_bp":-0.08,"sigma_bp":1.71,"expected_duration_bd":26.0},"rough":{"mu_bp":4.72,"sigma_bp":19.73,"expected_duration_bd":5.0}},"transition":{"p_stay_calm":0.961,"p_stay_rough":0.792},"rows":[["2020-09-09",0.002],["2020-09-14",0.002],["2020-09-17",0.002],["2020-09-22",0.002],["2020-09-25",0.002],["2020-09-30",0.002],["2020-10-05",0.002],["2020-10-08",0.002],["2020-10-14",0.002],["2020-10-19",0.002],["2020-10-22",0.002],["2020-10-27",0.002],["2020-10-30",0.002],["2020-11-04",0.002],["2020-11-09",0.002],["2020-11-13",0.002],["2020-11-18",0.002],["2020-11-23",0.004],["2020-11-27",0.002],["2020-12-02",0.002],["2020-12-07",0.002],["2020-12-10",0.002],["2020-12-15",0.002],["2020-12-18",0.002],["2020-12-23",0.002],["2020-12-29",0.002],["2021-01-04",0.002],["2021-01-07",0.002],["2021-01-12",0.002],["2021-01-15",0.002],["2021-01-21",0.004],["2021-01-26",0.005],["2021-01-29",0.002],["2021-02-03",0.002],["2021-02-08",0.005],["2021-02-11",0.002],["2021-02-17",0.002],["2021-02-22",0.003],["2021-02-25",0.002],["2021-03-02",0.002],["2021-03-05",0.002],["2021-03-10",0.002],["2021-03-15",0.002],["2021-03-18",0.002],["2021-03-23",0.002],["2021-03-26",0.002],["2021-03-31",0.002],["2021-04-06",0.002],["2021-04-09",0.002],["2021-04-14",0.002],["2021-04-19",0.002],["2021-04-22",0.002],["2021-04-27",0.002],["2021-04-30",0.002],["2021-05-05",0.002],["2021-05-10",0.002],["2021-05-13",0.002],["2021-05-18",0.002],["2021-05-21",0.002],["2021-05-26",0.002],["2021-06-01",0.002],["2021-06-04",0.002],["2021-06-09",0.002],["2021-06-14",0.002],["2021-06-17",0.002],["2021-06-22",0.002],["2021-06-25",0.002],["2021-06-30",0.002],["2021-07-06",0.002],["2021-07-09",0.002],["2021-07-14",0.002],["2021-07-19",0.002],["2021-07-22",0.002],["2021-07-27",0.002],["2021-07-30",0.002],["2021-08-04",0.002],["2021-08-09",0.002],["2021-08-12",0.002],["2021-08-17",0.002],["2021-08-20",0.002],["2021-08-25",0.002],["2021-08-30",0.002],["2021-09-02",0.002],["2021-09-08",0.002],["2021-09-13",0.002],["2021-09-16",0.002],["2021-09-21",0.002],["2021-09-24",0.002],["2021-09-29",0.002],["2021-10-04",0.002],["2021-10-07",0.002],["2021-10-13",0.002],["2021-10-18",0.002],["2021-10-21",0.003],["2021-10-26",0.002],["2021-10-29",0.002],["2021-11-03",0.002],["2021-11-08",0.002],["2021-11-12",0.002],["2021-11-17",0.002],["2021-11-22",0.002],["2021-11-26",0.002],["2021-12-01",0.002],["2021-12-06",0.002],["2021-12-09",0.002],["2021-12-14",0.002],["2021-12-17",0.002],["2021-12-22",0.002],["2021-12-28",0.002],["2021-12-31",0.002],["2022-01-05",0.002],["2022-01-10",0.002],["2022-01-13",0.002],["2022-01-19",0.002],["2022-01-24",0.002],["2022-01-27",0.002],["2022-02-01",0.002],["2022-02-04",0.002],["2022-02-09",0.002],["2022-02-14",0.002],["2022-02-17",0.002],["2022-02-23",0.002],["2022-02-28",0.002],["2022-03-03",0.002],["2022-03-08",0.002],["2022-03-11",0.002],["2022-03-16",0.003],["2022-03-21",0.003],["2022-03-24",0.007],["2022-03-29",0.004],["2022-04-01",0.003],["2022-04-06",0.003],["2022-04-11",0.003],["2022-04-14",0.003],["2022-04-20",0.007],["2022-04-25",0.004],["2022-04-28",0.003],["2022-05-03",0.006],["2022-05-06",0.003],["2022-05-11",0.003],["2022-05-16",0.003],["2022-05-19",0.003],["2022-05-24",0.003],["2022-05-27",0.003],["2022-06-02",0.003],["2022-06-07",0.003],["2022-06-10",0.007],["2022-06-15",0.998],["2022-06-21",0.998],["2022-06-24",0.984],["2022-06-29",0.004],["2022-07-05",0.008],["2022-07-08",0.005],["2022-07-13",0.005],["2022-07-18",0.009],["2022-07-21",0.004],["2022-07-26",0.003],["2022-07-29",0.003],["2022-08-03",0.003],["2022-08-08",0.003],["2022-08-11",0.003],["2022-08-16",0.003],["2022-08-19",0.003],["2022-08-24",0.003],["2022-08-29",0.003],["2022-09-01",0.003],["2022-09-07",0.003],["2022-09-12",0.003],["2022-09-15",0.003],["2022-09-20",0.004],["2022-09-23",0.025],["2022-09-28",0.162],["2022-10-03",0.207],["2022-10-06",0.006],["2022-10-12",0.004],["2022-10-17",0.006],["2022-10-20",0.003],["2022-10-25",0.003],["2022-10-28",0.009],["2022-11-02",0.005],["2022-11-07",0.003],["2022-11-10",0.003],["2022-11-16",0.006],["2022-11-21",0.003],["2022-11-25",0.003],["2022-11-30",0.006],["2022-12-05",0.003],["2022-12-08",0.002],["2022-12-13",0.002],["2022-12-16",0.006],["2022-12-21",0.002],["2022-12-27",0.002],["2022-12-30",0.002],["2023-01-05",0.003],["2023-01-10",0.003],["2023-01-13",0.002],["2023-01-19",0.003],["2023-01-24",0.002],["2023-01-27",0.003],["2023-02-01",0.003],["2023-02-06",0.003],["2023-02-09",0.002],["2023-02-14",0.002],["2023-02-17",0.002],["2023-02-23",0.002],["2023-02-28",0.002],["2023-03-03",0.002],["2023-03-08",0.002],["2023-03-13",0.002],["2023-03-16",0.007],["2023-03-21",0.002],["2023-03-24",0.002],["2023-03-29",0.029],["2023-04-03",0.789],["2023-04-06",0.005],["2023-04-12",0.002],["2023-04-17",0.002],["2023-04-20",0.002],["2023-04-25",0.002],["2023-04-28",0.003],["2023-05-03",0.003],["2023-05-08",0.002],["2023-05-11",0.002],["2023-05-16",0.002],["2023-05-19",0.002],["2023-05-24",0.002],["2023-05-30",0.003],["2023-06-02",0.004],["2023-06-07",0.002],["2023-06-12",0.002],["2023-06-15",0.003],["2023-06-21",0.002],["2023-06-26",0.002],["2023-06-29",0.003],["2023-07-05",0.003],["2023-07-10",0.003],["2023-07-13",0.003],["2023-07-18",0.003],["2023-07-21",0.002],["2023-07-26",0.003],["2023-07-31",0.002],["2023-08-03",0.002],["2023-08-08",0.002],["2023-08-11",0.002],["2023-08-16",0.002],["2023-08-21",0.002],["2023-08-24",0.002],["2023-08-29",0.002],["2023-09-01",0.003],["2023-09-07",0.003],["2023-09-12",0.002],["2023-09-15",0.003],["2023-09-20",0.002],["2023-09-25",0.003],["2023-09-28",0.003],["2023-10-03",0.018],["2023-10-06",0.002],["2023-10-12",0.002],["2023-10-17",0.002],["2023-10-20",0.002],["2023-10-25",0.002],["2023-10-30",0.002],["2023-11-02",0.006],["2023-11-07",0.003],["2023-11-10",0.003],["2023-11-15",0.003],["2023-11-20",0.002],["2023-11-24",0.003],["2023-11-29",0.002],["2023-12-04",0.974],["2023-12-07",0.003],["2023-12-12",0.002],["2023-12-15",0.002],["2023-12-20",0.002],["2023-12-26",0.017],["2023-12-29",0.997],["2024-01-04",0.161],["2024-01-09",0.002],["2024-01-12",0.002],["2024-01-18",0.002],["2024-01-23",0.002],["2024-01-26",0.003],["2024-01-31",0.003],["2024-02-05",0.002],["2024-02-08",0.002],["2024-02-13",0.002],["2024-02-16",0.002],["2024-02-22",0.002],["2024-02-27",0.002],["2024-03-01",0.002],["2024-03-06",0.002],["2024-03-11",0.002],["2024-03-14",0.002],["2024-03-19",0.002],["2024-03-22",0.002],["2024-03-27",0.007],["2024-04-02",0.104],["2024-04-05",0.003],["2024-04-10",0.002],["2024-04-15",0.003],["2024-04-18",0.003],["2024-04-23",0.002],["2024-04-26",0.003],["2024-05-01",0.005],["2024-05-06",0.002],["2024-05-09",0.002],["2024-05-14",0.002],["2024-05-17",0.002],["2024-05-22",0.002],["2024-05-28",0.003],["2024-05-31",0.027],["2024-06-05",0.011],["2024-06-10",0.004],["2024-06-13",0.002],["2024-06-18",0.008],["2024-06-24",0.002],["2024-06-27",0.008],["2024-07-02",0.506],["2024-07-08",0.003],["2024-07-11",0.003],["2024-07-16",0.007],["2024-07-19",0.003],["2024-07-24",0.003],["2024-07-29",0.003],["2024-08-01",0.011],["2024-08-06",0.003],["2024-08-09",0.002],["2024-08-14",0.003],["2024-08-19",0.005],["2024-08-22",0.019],["2024-08-27",0.003],["2024-08-30",0.005],["2024-09-05",0.003],["2024-09-10",0.003],["2024-09-13",0.002],["2024-09-18",0.144],["2024-09-23",0.002],["2024-09-26",0.002],["2024-10-01",1.0],["2024-10-04",0.016],["2024-10-09",0.003],["2024-10-15",0.014],["2024-10-18",0.002],["2024-10-23",0.002],["2024-10-28",0.003],["2024-10-31",0.998],["2024-11-05",0.007],["2024-11-08",0.007],["2024-11-14",0.002],["2024-11-19",0.003],["2024-11-22",0.002],["2024-11-27",0.003],["2024-12-03",1.0],["2024-12-06",0.009],["2024-12-11",0.915],["2024-12-16",0.99],["2024-12-19",0.246],["2024-12-24",0.989],["2024-12-30",0.657],["2025-01-03",0.876],["2025-01-08",0.999],["2025-01-13",0.999],["2025-01-16",0.995],["2025-01-22",0.158],["2025-01-27",0.124],["2025-01-30",0.962],["2025-02-04",0.286],["2025-02-07",0.007],["2025-02-12",0.004],["2025-02-18",0.119],["2025-02-21",0.003],["2025-02-26",0.003],["2025-03-03",0.056],["2025-03-06",0.003],["2025-03-11",0.006],["2025-03-14",0.222],["2025-03-19",0.09],["2025-03-24",0.016],["2025-03-27",0.027],["2025-04-01",0.999],["2025-04-04",0.398],["2025-04-09",1.0],["2025-04-14",0.009],["2025-04-17",0.004],["2025-04-23",0.456],["2025-04-28",0.048],["2025-05-01",0.997],["2025-05-06",0.034],["2025-05-09",1.0],["2025-05-14",0.67],["2025-05-19",0.082],["2025-05-22",0.994],["2025-05-28",0.065],["2025-06-02",0.79],["2025-06-05",0.008],["2025-06-10",0.006],["2025-06-13",0.003],["2025-06-18",0.004],["2025-06-24",0.004],["2025-06-27",1.0],["2025-07-02",1.0],["2025-07-08",0.317],["2025-07-11",0.003],["2025-07-16",0.351],["2025-07-21",0.044],["2025-07-24",0.011],["2025-07-29",0.497],["2025-08-01",0.183],["2025-08-06",0.003],["2025-08-11",0.003],["2025-08-14",0.003],["2025-08-19",0.003],["2025-08-22",0.008],["2025-08-27",0.034],["2025-09-02",0.523],["2025-09-05",1.0],["2025-09-10",0.917],["2025-09-15",1.0],["2025-09-18",0.114],["2025-09-23",0.004],["2025-09-26",0.093],["2025-10-01",0.997],["2025-10-06",0.169],["2025-10-09",0.004],["2025-10-15",1.0],["2025-10-20",0.087],["2025-10-23",1.0],["2025-10-28",1.0],["2025-10-31",1.0],["2025-11-05",0.822],["2025-11-10",0.007],["2025-11-14",0.017],["2025-11-19",0.854],["2025-11-24",0.137],["2025-11-28",1.0],["2025-12-03",0.478],["2025-12-08",0.825],["2025-12-11",0.914],["2025-12-16",0.161],["2025-12-19",0.024],["2025-12-24",0.018],["2025-12-30",0.383],["2026-01-05",0.248],["2026-01-08",0.894],["2026-01-13",0.464],["2026-01-16",0.013],["2026-01-22",0.008],["2026-01-27",0.003],["2026-01-30",0.007],["2026-02-04",0.005],["2026-02-09",0.006],["2026-02-12",0.003],["2026-02-18",1.0],["2026-02-23",0.007],["2026-02-26",0.008],["2026-03-03",0.45],["2026-03-06",0.004],["2026-03-11",0.006],["2026-03-16",0.074],["2026-03-19",0.055],["2026-03-24",0.018],["2026-03-27",0.009],["2026-04-01",0.005],["2026-04-07",0.014],["2026-04-10",0.82],["2026-04-15",0.994],["2026-04-20",0.01],["2026-04-23",0.004],["2026-04-28",0.004],["2026-05-01",0.004],["2026-05-06",0.015],["2026-05-11",0.066],["2026-05-14",0.985],["2026-05-19",1.0],["2026-05-22",1.0],["2026-05-28",0.005],["2026-06-02",0.004],["2026-06-05",0.004],["2026-06-10",0.01],["2026-06-15",1.0],["2026-06-18",0.027],["2026-06-24",0.004],["2026-06-29",0.003],["2026-07-02",0.203],["2026-07-08",0.188],["2026-07-13",0.375],["2026-07-16",0.004],["2026-07-21",0.023],["2026-07-24",0.008],["2026-07-29",0.026],["2026-08-03",0.055],["2026-08-06",0.006],["2026-08-11",0.004]],"validation":{"ok":true,"n_scored":1476,"base_rate":0.043,"auroc_p_rough":0.84,"auroc_climatology":0.269,"beats_climatology":true,"verdict":"filtered P(rough) ranks funding events better than climatology \u2014 the estimated regime carries forward information"},"reading":"the water is calm: filtered P(rough) = 0.00; rough spells historically persist ~5bd once entered (calm ~26bd)","caveats":["FILTERED probabilities only \u2014 the smoother uses the future and is forbidden here (smoothed regime probabilities are the classic look-ahead of the regime literature)","two states is an editorial choice (the marine scale has nine; the sample supports two); ROUGH = larger-variance state by fixed convention, so labels cannot switch","prefix refits at deterministic positions + a causal filter: no published value changes when future data arrives (house invariant)","the composite's regime words are editorial thresholds; this is the statistical counterpart \u2014 when they disagree, that disagreement is information","context, never composite (doctrine)"],"method":"2-state Gaussian HMM (Hamilton filter, hand-rolled EM: deterministic init, tol 1e-07, \u226480 iters, sigma floor) on the spread residual (x \u2212 trailing 30bd median, shifted). History: prefix refits at 600 rows then every 126bd, filtered causally. Validation: AUROC of filtered P(rough) for the shared PROOF event within 5bd vs expanding PIT climatology, self-demoting.","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false},"book":{"ok":true,"asof":"2026-08-11","today":{"stance":"neutral","prior_stance":"neutral","changed_vs_prior":false,"p_ensemble":0.062,"dispersion":0.026,"dispersion_gate_on":false,"tell":37.0,"positions":[{"sleeve":"ust2y","label":"2y UST duration","weight":0.0,"direction":"flat","vol_ann_pct":1.6,"tcost_bp":1.0},{"sleeve":"ust10y","label":"10y UST 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"2024-12-20",1.2762,1.6115,1.1334],["2024-12-25",1.2769,1.6268,1.134],["2024-12-30",1.2775,1.6047,1.1346],["2025-01-02",1.2781,1.6031,1.1351],["2025-01-07",1.2788,1.607,1.1357],["2025-01-10",1.2794,1.592,1.1363],["2025-01-15",1.2801,1.6168,1.1369],["2025-01-20",1.2807,1.6259,1.1374],["2025-01-23",1.2814,1.6434,1.138],["2025-01-28",1.282,1.6375,1.1386],["2025-01-31",1.2826,1.6344,1.1391],["2025-02-05",1.2833,1.6361,1.1397],["2025-02-10",1.2839,1.6357,1.1403],["2025-02-13",1.2846,1.6416,1.1409],["2025-02-18",1.2852,1.6426,1.1414],["2025-02-21",1.2859,1.631,1.142],["2025-02-26",1.2865,1.6172,1.1426],["2025-03-03",1.2872,1.6074,1.1431],["2025-03-06",1.2878,1.5936,1.1437],["2025-03-11",1.2884,1.5652,1.1443],["2025-03-14",1.2891,1.5751,1.1449],["2025-03-19",1.2897,1.5846,1.1454],["2025-03-24",1.2904,1.5966,1.146],["2025-03-27",1.291,1.586,1.1466],["2025-04-01",1.2999,1.5808,1.1472],["2025-04-04",1.2227,1.5048,1.1477],["2025-04-09",1.2632,1.5541,1.1483],["2025-04-14",1.2625,1.5491,1.1489],["2025-04-17",1.2539,1.5331,1.1495],["2025-04-22",1.2678,1.5409,1.15],["2025-04-25",1.2752,1.579,1.1506],["2025-04-30",1.2758,1.5882,1.1512],["2025-05-05",1.2765,1.5957,1.1518],["2025-05-08",1.2771,1.6045,1.1523],["2025-05-13",1.2778,1.634,1.1529],["2025-05-16",1.2784,1.6452,1.1535],["2025-05-21",1.2791,1.6316,1.1541],["2025-05-26",1.2797,1.6274,1.1547],["2025-05-29",1.2804,1.6422,1.1553],["2025-06-03",1.281,1.6498,1.1558],["2025-06-06",1.2817,1.6521,1.1564],["2025-06-11",1.2823,1.6615,1.157],["2025-06-16",1.283,1.6609,1.1576],["2025-06-19",1.2836,1.6541,1.1582],["2025-06-24",1.2842,1.6738,1.1588],["2025-06-27",1.2849,1.6864,1.1593],["2025-07-02",1.2855,1.6951,1.1599],["2025-07-07",1.2862,1.6926,1.1605],["2025-07-10",1.2868,1.7071,1.1611],["2025-07-15",1.2875,1.7002,1.1617],["2025-07-18",1.2881,1.7096,1.1623],["2025-07-23",1.2888,1.7198,1.1629],["2025-07-28",1.2894,1.7232,1.1635],["2025-07-31",1.2901,1.716,1.164],["2025-08-05",1.2907,1.7143,1.1646],["2025-08-08",1.2914,1.7276,1.1652],["2025-08-13",1.292,1.7445,1.1658],["2025-08-18",1.2926,1.7347,1.1663],["2025-08-21",1.2933,1.7217,1.1669],["2025-08-26",1.2939,1.7373,1.1675],["2025-08-29",1.2945,1.735,1.1681],["2025-09-03",1.2952,1.7365,1.1686],["2025-09-08",1.2958,1.7478,1.1692],["2025-09-11",1.2964,1.7639,1.1697],["2025-09-16",1.297,1.7673,1.1703],["2025-09-19",1.2976,1.772,1.1708],["2025-09-24",1.2982,1.7667,1.1714],["2025-09-29",1.2988,1.7708,1.1719],["2025-10-02",1.2994,1.7848,1.1724],["2025-10-07",1.3,1.7847,1.173],["2025-10-10",1.3006,1.7597,1.1735],["2025-10-15",1.3012,1.7744,1.1741],["2025-10-20",1.3018,1.7845,1.1746],["2025-10-23",1.3024,1.7846,1.1751],["2025-10-28",1.303,1.8079,1.1756],["2025-10-31",1.3035,1.7955,1.1762],["2025-11-05",1.3041,1.784,1.1767],["2025-11-10",1.3047,1.7923,1.1772],["2025-11-13",1.3053,1.7752,1.1778],["2025-11-18",1.3059,1.7535,1.1783],["2025-11-21",1.3065,1.7461,1.1788],["2025-11-26",1.3071,1.7813,1.1794],["2025-12-01",1.3076,1.775,1.1799],["2025-12-04",1.3082,1.7869,1.1804],["2025-12-09",1.3088,1.7836,1.1809],["2025-12-12",1.3093,1.7804,1.1814],["2025-12-17",1.3099,1.7637,1.1819],["2025-12-22",1.3104,1.7872,1.1824],["2025-12-25",1.311,1.7933,1.1829],["2025-12-30",1.3116,1.7906,1.1834],["2026-01-02",1.3121,1.7865,1.1839],["2026-01-07",1.3127,1.7972,1.1844],["2026-01-12",1.3132,1.8035,1.1849],["2026-01-15",1.3138,1.8043,1.1854],["2026-01-20",1.3143,1.7755,1.1859],["2026-01-23",1.3149,1.7938,1.1864],["2026-01-28",1.3155,1.8018,1.1869],["2026-02-02",1.316,1.7903,1.1874],["2026-02-05",1.3166,1.7512,1.188],["2026-02-10",1.3172,1.7798,1.1885],["2026-02-13",1.3177,1.7696,1.189],["2026-02-18",1.3183,1.7712,1.1895],["2026-02-23",1.3188,1.7652,1.19],["2026-02-26",1.3194,1.779,1.1905],["2026-03-03",1.32,1.7672,1.191],["2026-03-06",1.3205,1.7554,1.1915],["2026-03-11",1.3211,1.7613,1.192],["2026-03-16",1.3217,1.7568,1.1925],["2026-03-19",1.3222,1.7379,1.1931],["2026-03-24",1.3228,1.7289,1.1936],["2026-03-27",1.3234,1.6985,1.1941],["2026-04-01",1.324,1.7313,1.1946],["2026-04-06",1.3245,1.7371,1.1951],["2026-04-09",1.3251,1.7706,1.1956],["2026-04-14",1.3257,1.7931,1.1961],["2026-04-17",1.3262,1.8177,1.1967],["2026-04-22",1.3268,1.8195,1.1972],["2026-04-27",1.3274,1.8225,1.1977],["2026-04-30",1.3279,1.8244,1.1982],["2026-05-05",1.3285,1.8356,1.1987],["2026-05-08",1.3291,1.8541,1.1992],["2026-05-13",1.3297,1.8568,1.1997],["2026-05-18",1.3302,1.8455,1.2003],["2026-05-21",1.3308,1.8528,1.2008],["2026-05-26",1.3314,1.8623,1.2013],["2026-05-29",1.3319,1.8685,1.2018],["2026-06-03",1.3325,1.8518,1.2023],["2026-06-08",1.3331,1.8308,1.2028],["2026-06-11",1.3337,1.8337,1.2034],["2026-06-16",1.3342,1.8521,1.2039],["2026-06-19",1.3348,1.8465,1.2044],["2026-06-24",1.3354,1.8274,1.2049],["2026-06-29",1.336,1.8375,1.2055],["2026-07-02",1.3366,1.8427,1.206],["2026-07-07",1.3372,1.8467,1.2065],["2026-07-10",1.3378,1.8568,1.2071],["2026-07-15",1.3384,1.8586,1.2076],["2026-07-20",1.339,1.8422,1.2081],["2026-07-23",1.3396,1.8346,1.2087],["2026-07-28",1.3402,1.8388,1.2092],["2026-07-31",1.3408,1.8423,1.2098],["2026-08-05",1.3413,1.8773,1.2103],["2026-08-10",1.3419,1.8778,1.2108]],"verdict":"the Book does NOT beat the static mix after costs (net Sharpe 0.28 CI [-0.31, 0.94] vs 0.67); beats all-cash (4.51% vs 2.91%/yr); does NOT survive doubled transaction costs"},"live":{"n_days":0,"note":"live record starts accruing with the first published book"},"duration_note":"duration sleeves are PAPER PROXIES: r \u2248 y/252 \u2212 D\u00b7\u0394y + \u00bdC\u00b7\u0394y\u00b2 on constant-maturity par yields (D/C fixed in config), not tradeable futures \u2014 no roll-down, no CTD switches, no financing spread; validated for sign and rough magnitude only","caveats":["PAPER P&L on proxy returns \u2014 see duration_note; no borrow/financing beyond the cash leg; close-to-close only","the stance map was frozen knowing the history this backtest reuses \u2014 the live hash-chained record is the only arbiter free of that critique","persistent positions: Sharpe CI is stationary-block-bootstrap (21bd) and the Newey\u2013West t-stat is printed; n_stance_runs is the independent-ish n","BTC weekend moves fold into Monday on the business-day grid","not investment advice"],"method":"stance = hysteresis on ensemble P (enter 0.35/exit 0.22; risk_on P\u22640.08 & Tell\u2264-15.0) + dispersion gate 0.25; per-sleeve vol targeting 10% ann (lookback 63d), |w|\u22641.0, gross\u22642.0; signal t \u2192 returns t+1; costs per config; benchmarks through the identical pipeline","historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"validated_backtest":false,"real_money_eligible":false,"mode":"paper_research_only"},"historical_evidence":{"status":"FINAL_VINTAGE_CONSTRUCTION_PIT","validated_backtest_eligible":false,"real_money_eligible":false,"reason":"chronological transforms use final/current-vintage history and do not reconstruct what was publicly knowable on each historical date","required_inputs":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"manifest":{},"missing":["spread_bp","tail_bp","srf_accepted","dw_b","rrp_b","res_gdp","pair_b","digestion"],"unsafe":{"spread_bp":"undeclared","tail_bp":"undeclared","srf_accepted":"undeclared","dw_b":"undeclared","rrp_b":"undeclared","res_gdp":"undeclared","pair_b":"undeclared","digestion":"undeclared"},"accepted_statuses":["alfred_vintage","as_published_capture","effectively_unrevised_print"]},"modelcourt":{"ok":true,"asof":"2026-08-12","horizon_bd":5,"members":[{"model":"bathymetry","p":0.045,"horizon_bd":5,"asof":"2026-08-11","in_pool":true,"weight":0.0,"skill":{"source":"bathymetry.validation","brier":0.0341,"brier_climatology":0.0387,"brier_skill":0.121,"auroc":0.453,"n_scored":1540,"n_events":50,"verdict":"the fitted dynamics do NOT beat climatology on levels \u2014 read the landscape (well, barrier, gap) as structure, not the probabilities as odds"},"note":"escape-time odds from fitted dynamics; Brier skill can be positive while AUROC is below chance, so calibration credit is gated on ranking"},{"model":"ml","p":0.025,"horizon_bd":5,"asof":"2026-08-10","in_pool":true,"weight":0.075,"skill":{"source":"ml.validation","brier":0.0377,"brier_climatology":0.0381,"brier_skill":0.01,"auroc":0.821,"n_scored":1586,"n_events":63,"verdict":"does not out-rank the rule-based index (0.821 vs 0.848); probability levels beat climatology"},"note":"walk-forward gradient model; genuine OOS record, but its own reliability table overshoots above 0.30 and levels lose to climatology on the sample"},{"model":"swell","p":0.066,"horizon_bd":5,"asof":"2026-08-11","in_pool":true,"weight":0.925,"skill":{"source":"swell.validation","brier":0.0398,"brier_climatology":0.0454,"brier_skill":0.123,"auroc":0.731,"n_scored":1676,"n_events":68,"verdict":"curve beats climatology out-of-sample \u2014 the dates AND the levels carry information"},"note":"calendar forcing curve 5bd integral; the only member whose own verdict claims both dates and levels"},{"model":"tidetables","p":0.2,"horizon_bd":5,"asof":"2026-08-12","in_pool":true,"weight":0.0,"skill":{"source":"tidetables.skill","brier":0.0509,"brier_climatology":0.0504,"brier_skill":-0.01,"auroc":0.699,"n_scored":1896,"n_events":96,"verdict":"analogs do NOT beat climatology on this sample \u2014 read the fan as context, trust the base rate"},"note":"analog odds (share of 25 nearest analogs with an event within 5bd); its skill block says levels do not beat climatology","odds_detail":{"hits":5,"n":25,"ci95":[0.089,0.391],"base_rate":0.062,"lift":3.24}},{"model":"markov","p":0.0,"horizon_bd":5,"asof":null,"in_pool":false,"weight":null,"skill":null,"note":"regime-reach odds, a DIFFERENT event (hit STRESS regime), counting only, no validation; context, never pooled"}],"absent":[],"ensemble":{"p":0.0629,"rule":"skill_weighted","n_pooled":4,"n_weighted":2,"weights":{"bathymetry":0.0,"ml":0.075,"swell":0.925,"tidetables":0.0}},"dispersion":{"n":4,"min":0.025,"max":0.2,"spread":0.175,"stdev":0.0685},"adjudication":"Model Court, 5bd event odds: 4 models span 2.5 to 20.0 pct, pooled 6.3 pct (skill weighted, 2 of 4 beat climatology); live ranking withheld (10 of 30 resolved at worst).","court":{"in_session":false,"min_resolved":30,"scores":[{"model":"bathymetry","n_resolved":10,"n_pending":6},{"model":"ml","n_resolved":10,"n_pending":6},{"model":"stacker","n_resolved":10,"n_pending":6},{"model":"swell","n_resolved":10,"n_pending":6},{"model":"tidetables","n_resolved":10,"n_pending":6}],"verdict":null},"ledger_status":"ledger accruing: bathymetry 10/30 resolved (6 pending), ml 10/30 resolved (6 pending), stacker 10/30 resolved (6 pending), swell 10/30 resolved (6 pending), tidetables 10/30 resolved (6 pending); ranked verdict withheld until 30 resolved rows per model.","caveats":["member validation blocks are not comparable head to head (different warmups, scored windows, event counts); the ledger is the only like for like scoreboard and it accrues slowly","skill weights come from each model's own published backtest, which shares history with the model's design; the pooled number is a reasoned view, not a market","markov answers a different question (regime reach, not the PROOF pop event); it testifies for context and never enters the pool or dispersion","the ledger backfill must never edit p, only flip realized from null; edited rows would forge the live record"],"method":"members = published 5bd odds mined from each engine's payload; weight = max(Brier skill vs climatology, 0) x AUROC gate clip((AUROC-0.5)/0.2, 0, 1), gate 1 when unpublished; pooled = weighted mean when any weight > 0 else median of the pool; court = live per-model Brier skill vs each model's own-sample climatology once 30 rows per model resolve, ranked descending; raw Brier is published but never ranked, because each model resolves a different set of days"}},"calendar":{"fomc_next_90d":[{"date":"2026-09-16","days_until":35},{"date":"2026-10-28","days_until":77}],"corporate_tax_next_90d":[{"date":"2026-09-15","days_until":34}],"upcoming_settlements":[{"date":"2026-08-17","amount_b":67.0},{"date":"2026-08-18","amount_b":282.0}],"crunch_windows":[{"date":"2026-08-18","forecast_reserves_b":3008.3,"worst_case_b":2947.3,"settlement_b":282.0,"reason":"$282B auction settlement while reserves sit below the estimated kink"},{"date":"2026-08-31","forecast_reserves_b":3013.8,"worst_case_b":2898.1,"settlement_b":null,"reason":"calendar pressure date while reserves sit below the estimated kink"},{"date":"2026-09-15","forecast_reserves_b":3046.3,"worst_case_b":2885.5,"settlement_b":null,"reason":"calendar pressure date while reserves sit below the estimated 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operations","asof":null,"fetched_at":"2026-08-12T15:33:02+00:00","staleness":"unknown","age_days":null,"freshness_grace_days":null,"freshness_basis":"fetch clock only; this table contains heterogeneous observation dates"},{"mnemonic":"tga","source":"tga","label":"Treasury DTS/TGA","asof":null,"fetched_at":"2026-08-12T15:33:03+00:00","staleness":"unknown","age_days":null,"freshness_grace_days":null,"freshness_basis":"fetch clock only; this table contains heterogeneous observation dates"},{"mnemonic":"auctions","source":"auctions","label":"Treasury auctions","asof":null,"fetched_at":"2026-08-12T15:33:03+00:00","staleness":"unknown","age_days":null,"freshness_grace_days":null,"freshness_basis":"fetch clock only; this table contains heterogeneous observation dates"},{"mnemonic":"upcoming","source":"upcoming","label":"Treasury upcoming auctions","asof":null,"fetched_at":"2026-08-12T15:33:02+00:00","staleness":"unknown","age_days":null,"freshness_grace_days":null,"freshness_basis":"fetch clock only; this table contains heterogeneous observation dates"},{"mnemonic":"tff","source":"tff","label":"CFTC TFF","asof":null,"fetched_at":"2026-08-12T15:33:02+00:00","staleness":"unknown","age_days":null,"freshness_grace_days":null,"freshness_basis":"fetch clock only; this table contains heterogeneous observation dates"},{"mnemonic":"commodity_cot","source":"commodity","label":"CFTC commodity futures positioning","asof":null,"fetched_at":"2026-08-12T15:33:03+00:00","staleness":"unknown","age_days":null,"freshness_grace_days":null,"freshness_basis":"fetch clock only; this table contains heterogeneous observation dates"}],"editorial":{"schema":"seiche.editorial.v1","generated_at":"2026-08-12T15:48:20+00:00","thesis":"The calendar is carrying the strain call; the price of overnight cash still says abundance.","standfirst":"The board reads 45 out of 100, EROSION; the dated reserve path contributes 11.0 points; the pooled five-business-day event read is 6.2%; plumbing leads market pricing by +37 percentile points.","confidence":"low","confidence_note":"A source or engine fault reduces the evidence set; confidence is cut before the index is interpreted.","dominant_driver":{"engine":"weather","label":"the dated reserve path","score":100.0,"contribution":11.0,"saturated":true},"evidence":[{"label":"Balance-sheet identity","claim":"Reserves rose $8.8B on the week to $2,993B, and the ledger says where from: the residual absorbed $20.6B, the foreign RRP pool released $16.8B, the balance sheet added $10.4B, six legs summing to the reserve change to the dollar with $55.5B of the balance sheet, 0.82% of assets, still sitting in the unnamed residual.","engine":"ledger","asof":"2026-08-05","source":"Federal Reserve H.4.1"},{"label":"Official-sector footprint","claim":"Foreign officials cut their Fed custody Treasuries by $95.2B over 13 weeks while foreign RRP parking held flat, only a partial rotation because the combined official footprint still fell $98.5B to $2,949B, 103% of the custody drop leaving the official sector rather than moving inside it.","engine":"officialbid","asof":"2026-08-05","source":"Federal Reserve custody and foreign RRP"},{"label":"Reserve-demand curve","claim":"Reserves are $710B below the fitted kink, but SOFR is -2.8bp versus IORB; fit R-squared is 0.62.","engine":"kink","asof":"2026-08-05","source":"FRED, NY Fed secured rates, BEA GDP"},{"label":"Dated forcing","claim":"$282B auction settlement while reserves sit below the estimated kink.","engine":"weather","asof":"2026-08-18","source":"Treasury auction calendar and Seiche reserve path"}],"countercase":[{"claim":"SOFR is 2.8bp below IORB, a current abundance signal rather than a scarcity print.","asof":"2026-08-05","source":"NY Fed secured rates and Federal Reserve IORB"},{"claim":"Standing Repo Facility take-up is $0.00B; the backstop is not being tested in size.","asof":"2026-08-12","source":"New York Fed operations"},{"claim":"Market stress sits at only the 23rd percentile of its own history.","asof":"2026-08-11","source":"VIX, credit spreads and rates volatility"}],"watch":[{"date":"2026-08-18","label":"$282B auction settlement while reserves sit below the estimated kink","worst_case_reserves_b":2947.3,"settlement_b":282.0},{"date":"2026-08-31","label":"calendar pressure date while reserves sit below the estimated kink","worst_case_reserves_b":2898.1,"settlement_b":null},{"date":"2026-09-15","label":"calendar pressure date while reserves sit below the estimated kink","worst_case_reserves_b":2885.5,"settlement_b":null}],"method":"Deterministic synthesis over the published point-in-time engines. Confidence measures agreement across independent signals, not the probability of a market outcome."},"data_quality":{"schema":"seiche.data_quality.v1","generated_at":"2026-08-12T15:48:20+00:00","source_count":96,"status_counts":{"aging":28,"dead":2,"fresh":53,"stale":4,"unknown":9},"classified_source_count":87,"unclassified_source_count":9,"classification_coverage_pct":90.6,"fresh_share_pct":62.4,"last_fetch_at":"2026-08-12T15:33:40+00:00","oldest_fetch_at":"2026-08-12T15:33:02+00:00","headline_ages":[{"series":"sofr_pct","asof":"2026-08-11","age_days":1},{"series":"effr_pct","asof":"2026-08-11","age_days":1},{"series":"iorb_pct","asof":"2026-08-12","age_days":0},{"series":"reserves_b","asof":"2026-08-05","age_days":7},{"series":"rrp_b","asof":"2026-08-11","age_days":1},{"series":"tga_b","asof":"2026-08-10","age_days":2},{"series":"srf_accepted_b","asof":"2026-08-12","age_days":0},{"series":"dw_b","asof":"2026-08-05","age_days":7},{"series":"vix","asof":"2026-08-11","age_days":1},{"series":"hy_oas_pct","asof":"2026-08-11","age_days":1}],"realtime":{"available":true,"endpoint":"https://api.seiche.info/undertow/live/quotes.json","schema":"undertow.live_relay.v1","declared_cadence_ms":1500,"scope":"crypto venue microstructure only"},"publication_note":"Official macro series update on their publishers' clocks. Venue data is shown separately and never used to disguise a weekly or daily macro print as real time."},"navigator":{"ok":false,"reason":"no LLM endpoint configured \u2014 the Navigator stays ashore"}}