Chain Stages · 2 Steps · §21.4 Gated on /is_effective

1 ROOT · GATED §21.4 gate

Hedge Effectiveness Test art-261-test-hedge-effectiveness

ASC 815-20-35 retrospective effectiveness: dollar-offset ratio (fair-value change of hedging instrument / hedged item, must be 80–125%) and OLS R² regression (≥0.8, pure deterministic arithmetic, no transcendentals). Emits is_effective (bool), offset_ratio_pct, r_squared, compliance_flags. RFC 3161 anchor surface for timestamped hedge designation. Gate evaluates /is_effective.

§21.4 GATE: input: /is_effective

▶is_effective = false → END(INEFFECTIVE: hedge accounting not permitted; chain exits at Step 1)

▶default (is_effective = true) → art-263-score-cash-forecast-accuracy(EFFECTIVE: proceed to Step 2)

MCP Call · test_hedge_effectiveness

{
  "jsonrpc": "2.0",
  "method": "tools/call",
  "params": {
    "name": "test_hedge_effectiveness",
    "arguments": {
      "hedge_type": "fair_value",
      "hedging_instrument_changes": [
        105, 98, 112, 95, 108, 102, 97, 115, 99, 103
      ],
      "hedged_item_changes": [
        -103, -96, -110, -93, -106, -100, -95, -113, -97, -101
      ],
      "effectiveness_threshold_pct": 80,
      "r_squared_threshold": 0.8,
      "anchor_surface": {
        "hedge_id": "HEDGE-2024-001",
        "designation_date": "2024-01-15",
        "hedged_item_description": "Fixed-rate note receivable 5.5% 2027"
      }
    }
  },
  "id": 1
}

↓ if effective

2 TERMINAL · CONDITIONAL node

Cash Forecast Accuracy Scoring art-263-score-cash-forecast-accuracy

AFP 2024 MAPE/bias scoring of hedged cash-flow forecasts for ASC 815-20-35 prospective effectiveness documentation. Forecasts represent the expected cash flows of the hedged item. Detects persistent timing bias (>75% same-sign errors). Returns accuracy_tier (EXCELLENT/GOOD/ACCEPTABLE/POOR), by_horizon breakdown, and timing_bias_detected. Only reached when gate passes (hedge is effective). Final stage.

MCP Call · score_cash_forecast_accuracy

{
  "jsonrpc": "2.0",
  "method": "tools/call",
  "params": {
    "name": "score_cash_forecast_accuracy",
    "arguments": {
      "forecasts": [
        {"actual_amount": 10300, "forecast_amount": 10290, "horizon_days": 30,  "label": "Q1 coupon receipt"},
        {"actual_amount": 10300, "forecast_amount": 10315, "horizon_days": 90,  "label": "Q2 coupon receipt"},
        {"actual_amount": 10300, "forecast_amount": 10280, "horizon_days": 180, "label": "Q3 coupon receipt"},
        {"actual_amount": 10300, "forecast_amount": 10310, "horizon_days": 270, "label": "Q4 coupon receipt"}
      ]
    }
  },
  "id": 2
}

Hedge Effectiveness Documentation