{ "tool_id": "art-477-intraday-liquidity-monitoring", "note": "golden_hash filled by golden-parity.test.mjs --update.", "vectors": [ { "name": "seeded_default_covered_ok", "description": "Five time-stamped settlement transactions produce a mid-morning negative excursion; two time-specific obligations both settle on time; available sources exceed the daily maximum usage.", "policy_parameters": { "start_of_day_available_musd": 500, "transactions": [ { "tx_id": "t1", "time_hhmm": "08:00", "flow_type": "inflow", "amount_musd": 100 }, { "tx_id": "t2", "time_hhmm": "09:30", "flow_type": "outflow", "amount_musd": 250 }, { "tx_id": "t3", "time_hhmm": "10:15", "flow_type": "outflow", "amount_musd": 120 }, { "tx_id": "t4", "time_hhmm": "13:00", "flow_type": "inflow", "amount_musd": 200 }, { "tx_id": "t5", "time_hhmm": "15:45", "flow_type": "outflow", "amount_musd": 80 } ], "time_specific_obligations": [ { "obligation_id": "o1", "due_time_hhmm": "10:00", "settled_time_hhmm": "09:45", "amount_musd": 150 }, { "obligation_id": "o2", "due_time_hhmm": "14:00", "settled_time_hhmm": "13:30", "amount_musd": 90 } ], "available_intraday_sources": [ { "source_id": "src-cb-balance", "amount_musd": 200 }, { "source_id": "src-committed-line", "amount_musd": 150 } ] }, "output_payload": { "start_of_day_available_musd": 500, "daily_max_usage_musd": 270, "cumulative_position_path": [ { "tx_id": "t1", "time_hhmm": "08:00", "flow_type": "inflow", "amount_musd": 100, "cumulative_position_musd": 100 }, { "tx_id": "t2", "time_hhmm": "09:30", "flow_type": "outflow", "amount_musd": 250, "cumulative_position_musd": -150 }, { "tx_id": "t3", "time_hhmm": "10:15", "flow_type": "outflow", "amount_musd": 120, "cumulative_position_musd": -270 }, { "tx_id": "t4", "time_hhmm": "13:00", "flow_type": "inflow", "amount_musd": 200, "cumulative_position_musd": -70 }, { "tx_id": "t5", "time_hhmm": "15:45", "flow_type": "outflow", "amount_musd": 80, "cumulative_position_musd": -150 } ], "total_payments_musd": 450, "total_receipts_musd": 300, "time_specific_obligations": [ { "obligation_id": "o1", "due_time_hhmm": "10:00", "settled_time_hhmm": "09:45", "amount_musd": 150, "settled": true, "met_on_time": true }, { "obligation_id": "o2", "due_time_hhmm": "14:00", "settled_time_hhmm": "13:30", "amount_musd": 90, "settled": true, "met_on_time": true } ], "obligations_summary": { "total_obligations": 2, "obligations_met": 2, "obligations_missed": 0 }, "available_intraday_sources": [ { "source_id": "src-cb-balance", "amount_musd": 200 }, { "source_id": "src-committed-line", "amount_musd": 150 } ], "available_sources_total_musd": 350, "usage_covered": true, "coverage_ratio": 1.3, "regulatory_basis": "BCBS 248 \"Monitoring tools for intraday liquidity management\" (Basel Committee on Banking Supervision, April 2013).", "note": "Daily maximum intraday liquidity usage is the largest negative excursion of a cumulative net settlement position built from the caller-supplied time-stamped transaction list, starting at zero -- independent of the opening balance. Start-of-day available liquidity, time-specific-obligation timing, and available intraday sources are caller-supplied inputs, echoed and classified, not derived from external data. Evidence artifact only -- not a filing, not a regulatory submission, and not a claim of full BCBS 248 seven-tool coverage." }, "compliance_flags": [ "INTRADAY_USAGE_WITHIN_AVAILABLE_SOURCES", "ALL_TIME_SPECIFIC_OBLIGATIONS_MET" ], "golden_hash": "b6b33e750a7a47200e1c23224473011147faa7de659262982cdfb9825d21868f" }, { "name": "usage_exceeds_sources_missed_obligation", "description": "Large early outflow drives a deep negative excursion; available sources fall short of the daily maximum usage; one obligation is settled after its due time.", "policy_parameters": { "start_of_day_available_musd": 300, "transactions": [ { "tx_id": "t1", "time_hhmm": "08:15", "flow_type": "outflow", "amount_musd": 400 }, { "tx_id": "t2", "time_hhmm": "11:00", "flow_type": "inflow", "amount_musd": 50 }, { "tx_id": "t3", "time_hhmm": "16:00", "flow_type": "inflow", "amount_musd": 100 } ], "time_specific_obligations": [ { "obligation_id": "o1", "due_time_hhmm": "09:00", "settled_time_hhmm": "09:30", "amount_musd": 400 } ], "available_intraday_sources": [ { "source_id": "src-cb-balance", "amount_musd": 150 } ] }, "output_payload": { "start_of_day_available_musd": 300, "daily_max_usage_musd": 400, "cumulative_position_path": [ { "tx_id": "t1", "time_hhmm": "08:15", "flow_type": "outflow", "amount_musd": 400, "cumulative_position_musd": -400 }, { "tx_id": "t2", "time_hhmm": "11:00", "flow_type": "inflow", "amount_musd": 50, "cumulative_position_musd": -350 }, { "tx_id": "t3", "time_hhmm": "16:00", "flow_type": "inflow", "amount_musd": 100, "cumulative_position_musd": -250 } ], "total_payments_musd": 400, "total_receipts_musd": 150, "time_specific_obligations": [ { "obligation_id": "o1", "due_time_hhmm": "09:00", "settled_time_hhmm": "09:30", "amount_musd": 400, "settled": true, "met_on_time": false } ], "obligations_summary": { "total_obligations": 1, "obligations_met": 0, "obligations_missed": 1 }, "available_intraday_sources": [ { "source_id": "src-cb-balance", "amount_musd": 150 } ], "available_sources_total_musd": 150, "usage_covered": false, "coverage_ratio": 0.38, "regulatory_basis": "BCBS 248 \"Monitoring tools for intraday liquidity management\" (Basel Committee on Banking Supervision, April 2013).", "note": "Daily maximum intraday liquidity usage is the largest negative excursion of a cumulative net settlement position built from the caller-supplied time-stamped transaction list, starting at zero -- independent of the opening balance. Start-of-day available liquidity, time-specific-obligation timing, and available intraday sources are caller-supplied inputs, echoed and classified, not derived from external data. Evidence artifact only -- not a filing, not a regulatory submission, and not a claim of full BCBS 248 seven-tool coverage." }, "compliance_flags": [ "INTRADAY_USAGE_EXCEEDS_AVAILABLE_SOURCES", "TIME_SPECIFIC_OBLIGATIONS_MISSED" ], "golden_hash": "ee7a08f75bdf1524b3e90df326ab80dbb6425bbed07c225b915d7cd41a419790" }, { "name": "unsettled_obligation_flag", "description": "One obligation is never settled (no settled_time_hhmm supplied) -- flagged missed. Transactions never dip negative, so daily maximum usage is zero.", "policy_parameters": { "start_of_day_available_musd": 250, "transactions": [ { "tx_id": "t1", "time_hhmm": "09:00", "flow_type": "inflow", "amount_musd": 500 }, { "tx_id": "t2", "time_hhmm": "12:00", "flow_type": "outflow", "amount_musd": 300 } ], "time_specific_obligations": [ { "obligation_id": "o1", "due_time_hhmm": "11:00", "settled_time_hhmm": null, "amount_musd": 200 } ], "available_intraday_sources": [ { "source_id": "src-cb-balance", "amount_musd": 100 } ] }, "output_payload": { "start_of_day_available_musd": 250, "daily_max_usage_musd": 0, "cumulative_position_path": [ { "tx_id": "t1", "time_hhmm": "09:00", "flow_type": "inflow", "amount_musd": 500, "cumulative_position_musd": 500 }, { "tx_id": "t2", "time_hhmm": "12:00", "flow_type": "outflow", "amount_musd": 300, "cumulative_position_musd": 200 } ], "total_payments_musd": 300, "total_receipts_musd": 500, "time_specific_obligations": [ { "obligation_id": "o1", "due_time_hhmm": "11:00", "settled_time_hhmm": null, "amount_musd": 200, "settled": false, "met_on_time": false } ], "obligations_summary": { "total_obligations": 1, "obligations_met": 0, "obligations_missed": 1 }, "available_intraday_sources": [ { "source_id": "src-cb-balance", "amount_musd": 100 } ], "available_sources_total_musd": 100, "usage_covered": true, "coverage_ratio": null, "regulatory_basis": "BCBS 248 \"Monitoring tools for intraday liquidity management\" (Basel Committee on Banking Supervision, April 2013).", "note": "Daily maximum intraday liquidity usage is the largest negative excursion of a cumulative net settlement position built from the caller-supplied time-stamped transaction list, starting at zero -- independent of the opening balance. Start-of-day available liquidity, time-specific-obligation timing, and available intraday sources are caller-supplied inputs, echoed and classified, not derived from external data. Evidence artifact only -- not a filing, not a regulatory submission, and not a claim of full BCBS 248 seven-tool coverage." }, "compliance_flags": [ "INTRADAY_USAGE_WITHIN_AVAILABLE_SOURCES", "TIME_SPECIFIC_OBLIGATIONS_MISSED" ], "golden_hash": "e5ce26dd6ceebe49359d2090286effc1b61bab50256b03c63284a2b4ba5639e2" }, { "name": "zero_input_edge", "description": "No transactions, no obligations, no available sources. Zero usage, trivially within (zero) available sources, no obligations flag emitted since the set is empty.", "policy_parameters": { "start_of_day_available_musd": 0, "transactions": [], "time_specific_obligations": [], "available_intraday_sources": [] }, "output_payload": { "start_of_day_available_musd": 0, "daily_max_usage_musd": 0, "cumulative_position_path": [], "total_payments_musd": 0, "total_receipts_musd": 0, "time_specific_obligations": [], "obligations_summary": { "total_obligations": 0, "obligations_met": 0, "obligations_missed": 0 }, "available_intraday_sources": [], "available_sources_total_musd": 0, "usage_covered": true, "coverage_ratio": null, "regulatory_basis": "BCBS 248 \"Monitoring tools for intraday liquidity management\" (Basel Committee on Banking Supervision, April 2013).", "note": "Daily maximum intraday liquidity usage is the largest negative excursion of a cumulative net settlement position built from the caller-supplied time-stamped transaction list, starting at zero -- independent of the opening balance. Start-of-day available liquidity, time-specific-obligation timing, and available intraday sources are caller-supplied inputs, echoed and classified, not derived from external data. Evidence artifact only -- not a filing, not a regulatory submission, and not a claim of full BCBS 248 seven-tool coverage." }, "compliance_flags": [ "INTRADAY_USAGE_WITHIN_AVAILABLE_SOURCES" ], "golden_hash": "14d1c8545a7ac88ef6562861c41ba5a51b6dc980e14c51d1d5587013e0636e18" } ] }