{
  "tool_id": "art-444-collateral-haircut-engine",
  "kernel_id": "art-444-collateral-haircut-engine",
  "display_name": "Collateral Haircut Engine (Basel CRE22)",
  "tool_version": "1.0.0",
  "mandate_type": "regulatory_reporting",
  "purpose": "Basel CRE22 comprehensive-approach collateral haircut engine for counterparty credit risk: applies a caller-supplied, versioned supervisory haircut table (policy input, not hardcoded) to each collateral item's asset class/maturity bucket, scales for a non-standard holding period via the CRE22.68 square-root-of-time rule, adds an FX-mismatch haircut where collateral currency differs from exposure currency, and computes net exposure E* = max(0, E*(1+He) - sum(C*(1-Hc-Hfx))). An item haircut override without a reason_code is flagged -- the item-level basis for a separate signed §27 human_accountability_record, not minted by this kernel. An unmatched asset_class/maturity_bucket defaults to a conservative 100% haircut, flagged, never silently valued. Deterministic per-item haircut application and summation only -- no collateral-to-exposure allocation/optimization solver. Not calculate_repo_haircut (508, Canton 24/7 timing-gap-specific SFT calculator) or compute_stock_token_collateral_haircut (art-320, RHC liquidation-risk layering) -- this is the generic Basel comprehensive-approach net-exposure engine across asset classes and currencies. Not a capital-return filing tool -- evidence artifact only, never regulator-submittable.",
  "control_description": "Basel CRE22 comprehensive-approach collateral haircut engine for counterparty credit risk: applies a caller-supplied, versioned supervisory haircut table (policy input, not hardcoded) to each collateral item's asset class/maturity bucket, scales for a non-standard holding period via the CRE22.68 square-root-of-time rule, adds an FX-mismatch haircut where collateral currency differs from exposure currency, and computes net exposure E* = max(0, E*(1+He) - sum(C*(1-Hc-Hfx))). An item haircut override without a reason_code is flagged -- the item-level basis for a separate signed §27 human_accountability_record, not minted by this kernel. An unmatched asset_class/maturity_bucket defaults to a conservative 100% haircut, flagged, never silently valued. Deterministic per-item haircut application and summation only -- no collateral-to-exposure allocation/optimization solver. Not calculate_repo_haircut (508, Canton 24/7 timing-gap-specific SFT calculator) or compute_stock_token_collateral_haircut (art-320, RHC liquidation-risk layering) -- this is the generic Basel comprehensive-approach net-exposure engine across asset classes and currencies. Not a capital-return filing tool -- evidence artifact only, never regulator-submittable.",
  "declared_inputs": [],
  "declared_outputs": [],
  "kernel_digest": "sha256:1d708d8172b54b003ff2da60df4711a8999f6e0d8f327a28ef3538e1eae84cb7",
  "trust_label": "independently verified -- zkVM execution proof (risc0/groth16-bn254)",
  "data_vintage": "2026-07-23",
  "last_validated": "2026-07-23",
  "conformance_fixtures_vendored": true,
  "compute_proof_ready": "ready",
  "wave": 71,
  "source_url": "https://ainumbers.co/chaingraph/art-444-collateral-haircut-engine.html",
  "generated_at": "2026-07-25T20:02:55.601Z"
}