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 and maturity bucket, scales for a non-standard holding period via the square-root-of-time rule, adds an FX-mismatch haircut where collateral currency differs from exposure currency, and computes net exposure. An item haircut override without a reason code is flagged deficient — the item-level basis for a separate signed human-accountability override record, not minted here. Deterministic per-item haircut application and summation only; no collateral-to-exposure allocation or optimization solver. Evidence artifact only; never a capital-return filing, never regulator-submittable.
| Item | Asset class | Mkt value | Haircut % | Adj value |
|---|
Copy this paragraph into Claude, OpenClaw, or any MCP-aware agent to run this exact tool, with this sample, and verify the artifact.
Run the AINumbers MCP tool `compute_basel_haircut_adjusted_exposure`. Task: 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))).
Synthetic sample input (policy_parameters): {"haircut_table_version":"2026-07-01","holding_period_days":10,"fx_haircut_pct":8,"min_haircut_floor_pct":0,"haircut_table":[{"asset_class":"sovereign_aaa_aa","maturity_bucket":"0-1y","haircut_pct":0.5},{"asset_class":"sovereign_aaa_aa","maturity_bucket":"1-5y","haircut_pct":2},{"asset_class":"sovereign_aaa_aa","maturity_bucket":">5y","haircut_pct":4},{"asset_class":"corporate_aaa_a","maturity_bucket":"1-5y","haircut_pct":4},{"asset_class":"corporate_bbb","maturity_bucket":"1-5y","haircut_pct":6},{"asset_class":"equity_main_index","maturity_bucket":null,"haircut_pct":15}],"exposure":{"amount":100000000,"currency":"USD","asset_class":"cash"},"collateral_items":[{"item_id":"c0","asset_class":"sovereign_aaa_aa","maturity_bucket":"1-5y","market_value":60000000,"currency":"USD"},{"item_id":"c1","asset_class":"corporate_aaa_a","maturity_bucket":"1-5y","market_value":30000000,"currency":"USD"},{"item_id":"c2","asset_class":"equity_main_index","maturity_bucket":null,"market_value":20000000,"currency":"EUR"}]}
Verify before trusting: call `verify_execution_hash` on mcp.ainumbers.co (https://mcp.ainumbers.co/mcp) with the returned execution_hash.
Return the ledger link https://ledger.ainumbers.co/ so a human can re-verify without contacting us.
PII rule: All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.
Open the tool with the sample prefilled: https://ainumbers.co/chaingraph/art-444-collateral-haircut-engine.html#p=v1.H4sIAAAAAAAA_wH4Awf8eyJoYWlyY3V0X3RhYmxlX3ZlcnNpb24iOiIyMDI2LTA3LTAxIiwiaG9sZGluZ19wZXJpb2RfZGF5cyI6MTAsImZ4X2hhaXJjdXRfcGN0Ijo4LCJtaW5faGFpcmN1dF9mbG9vcl9wY3QiOjAsImhhaXJjdXRfdGFibGUiOlt7ImFzc2V0X2NsYXNzIjoic292ZXJlaWduX2FhYV9hYSIsIm1hdHVyaXR5X2J1Y2tldCI6IjAtMXkiLCJoYWlyY3V0X3BjdCI6MC41fSx7ImFzc2V0X2NsYXNzIjoic292ZXJlaWduX2FhYV9hYSIsIm1hdHVyaXR5X2J1Y2tldCI6IjEtNXkiLCJoYWlyY3V0X3BjdCI6Mn0seyJhc3NldF9jbGFzcyI6InNvdmVyZWlnbl9hYWFfYWEiLCJtYXR1cml0eV9idWNrZXQiOiI-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-AMAAA