{
  "tool_id": "art-261-test-hedge-effectiveness",
  "note": "ASC 815 hedge effectiveness: dollar-offset 80-125% + OLS regression (beta≈-1, R²≥0.80). Both methods tested. Boundary cases at exactly 80% and 125%.",
  "vectors": [
    {
      "name": "effective_both_methods_high_r2",
      "description": "5 observations, near-perfect negative correlation. Dollar-offset -0.9667 in [0.80,1.25] ✓; OLS beta≈-0.9694 R²≈0.9999 ✓. Both pass → is_effective:true.",
      "policy_parameters": {
        "method": "both",
        "effectiveness_standard": "asc815",
        "hedge_ratio": 1,
        "hedged_item_changes": [
          100,
          150,
          200,
          -50,
          -100
        ],
        "hedging_instrument_changes": [
          -95,
          -145,
          -195,
          48,
          97
        ]
      },
      "output_payload": {
        "is_effective": true,
        "effectiveness_standard": "asc815",
        "method_applied": "both",
        "observation_count": 5,
        "cumulative_hedged_change": 300,
        "cumulative_hedging_change": -290,
        "dollar_offset_ratio": -0.9667,
        "dollar_offset_effective": true,
        "asc815_80_125_band": "80%-125% (ASC 815-20-35)",
        "ols_beta": -0.969403,
        "ols_alpha": 0.16418,
        "r_squared": 0.9999,
        "regression_effective": true,
        "hedge_ratio": 1,
        "ifrs9_hedge_ratio_passes": true,
        "effectiveness_reason": "Both dollar-offset (80-125%) and OLS regression (beta approx -1, R-squared >= 0.80) pass.",
        "anchor_surface": "anchor.ainumbers.co/mcp -- anchor the execution_hash at designation date to create RFC 3161 contemporaneous evidence that the hedge effectiveness test ran at designation, not backfilled (FASB ASC 815 anti-backdating rationale).",
        "table_version": "ASC815-HEDGE-EFFECTIVENESS-V2023",
        "table_source": "ASC 815-20-35 (hedge accounting, dollar-offset + regression); FASB ASU 2017-12; IFRS 9.6.4.1 (effectiveness requirements); IAS 39 AG105-AG113",
        "regulatory_basis": "ASC 815-20-35: dollar-offset 80-125% OR regression (beta approx -1, R-squared >= 0.80) for highly effective designation; FASB ASU 2017-12 simplification; IFRS 9.6.4.1: economic relationship + credit risk non-dominant + hedge ratio. ZERO PII: changes arrays and aggregate statistics only.",
        "pii_note": "ZERO PII: fair-value or cash-flow changes, aggregate statistics only. No counterparty, notional terms, or personal data enters this kernel.",
        "not_legal_advice": "Not accounting or legal advice. Hedge effectiveness assessments must be reviewed by qualified accounting professionals and auditors before use in hedge accounting documentation."
      },
      "golden_hash": "f1ef2839c57e9c5b46a4775ae5e299c287c2a18c472adfc41aab89c3c7c4d524"
    },
    {
      "name": "ineffective_dollar_offset_below_80pct",
      "description": "Dollar-offset only. Cumulative hedged=350, hedging=-120 → ratio=-0.3429 abs=0.3429 < 0.80 → ineffective.",
      "policy_parameters": {
        "method": "dollar_offset",
        "effectiveness_standard": "asc815",
        "hedge_ratio": 1,
        "hedged_item_changes": [
          100,
          50,
          200
        ],
        "hedging_instrument_changes": [
          -40,
          -20,
          -60
        ]
      },
      "output_payload": {
        "is_effective": false,
        "effectiveness_standard": "asc815",
        "method_applied": "dollar_offset",
        "observation_count": 3,
        "cumulative_hedged_change": 350,
        "cumulative_hedging_change": -120,
        "dollar_offset_ratio": -0.3429,
        "dollar_offset_effective": false,
        "asc815_80_125_band": "80%-125% (ASC 815-20-35)",
        "ols_beta": null,
        "ols_alpha": null,
        "r_squared": null,
        "regression_effective": null,
        "hedge_ratio": 1,
        "ifrs9_hedge_ratio_passes": true,
        "effectiveness_reason": "Dollar-offset ratio outside 80-125% range (ASC 815-20-35).",
        "anchor_surface": "anchor.ainumbers.co/mcp -- anchor the execution_hash at designation date to create RFC 3161 contemporaneous evidence that the hedge effectiveness test ran at designation, not backfilled (FASB ASC 815 anti-backdating rationale).",
        "table_version": "ASC815-HEDGE-EFFECTIVENESS-V2023",
        "table_source": "ASC 815-20-35 (hedge accounting, dollar-offset + regression); FASB ASU 2017-12; IFRS 9.6.4.1 (effectiveness requirements); IAS 39 AG105-AG113",
        "regulatory_basis": "ASC 815-20-35: dollar-offset 80-125% OR regression (beta approx -1, R-squared >= 0.80) for highly effective designation; FASB ASU 2017-12 simplification; IFRS 9.6.4.1: economic relationship + credit risk non-dominant + hedge ratio. ZERO PII: changes arrays and aggregate statistics only.",
        "pii_note": "ZERO PII: fair-value or cash-flow changes, aggregate statistics only. No counterparty, notional terms, or personal data enters this kernel.",
        "not_legal_advice": "Not accounting or legal advice. Hedge effectiveness assessments must be reviewed by qualified accounting professionals and auditors before use in hedge accounting documentation."
      },
      "golden_hash": "40457f2d837568c8f4882de39c74f873dbe5f57f13394a051a8669b931ebbeb4"
    },
    {
      "name": "effective_at_80pct_boundary",
      "description": "Single observation at exactly 80% boundary: hedged=100, hedging=-80 → ratio=-0.80 abs=0.80 (boundary inclusive) → effective. Insufficient obs for regression.",
      "policy_parameters": {
        "method": "both",
        "effectiveness_standard": "asc815",
        "hedge_ratio": 1,
        "hedged_item_changes": [
          100
        ],
        "hedging_instrument_changes": [
          -80
        ]
      },
      "output_payload": {
        "is_effective": true,
        "effectiveness_standard": "asc815",
        "method_applied": "both",
        "observation_count": 1,
        "cumulative_hedged_change": 100,
        "cumulative_hedging_change": -80,
        "dollar_offset_ratio": -0.8,
        "dollar_offset_effective": true,
        "asc815_80_125_band": "80%-125% (ASC 815-20-35)",
        "ols_beta": null,
        "ols_alpha": null,
        "r_squared": null,
        "regression_effective": null,
        "hedge_ratio": 1,
        "ifrs9_hedge_ratio_passes": true,
        "effectiveness_reason": "Dollar-offset 80-125% passes (insufficient observations for regression).",
        "anchor_surface": "anchor.ainumbers.co/mcp -- anchor the execution_hash at designation date to create RFC 3161 contemporaneous evidence that the hedge effectiveness test ran at designation, not backfilled (FASB ASC 815 anti-backdating rationale).",
        "table_version": "ASC815-HEDGE-EFFECTIVENESS-V2023",
        "table_source": "ASC 815-20-35 (hedge accounting, dollar-offset + regression); FASB ASU 2017-12; IFRS 9.6.4.1 (effectiveness requirements); IAS 39 AG105-AG113",
        "regulatory_basis": "ASC 815-20-35: dollar-offset 80-125% OR regression (beta approx -1, R-squared >= 0.80) for highly effective designation; FASB ASU 2017-12 simplification; IFRS 9.6.4.1: economic relationship + credit risk non-dominant + hedge ratio. ZERO PII: changes arrays and aggregate statistics only.",
        "pii_note": "ZERO PII: fair-value or cash-flow changes, aggregate statistics only. No counterparty, notional terms, or personal data enters this kernel.",
        "not_legal_advice": "Not accounting or legal advice. Hedge effectiveness assessments must be reviewed by qualified accounting professionals and auditors before use in hedge accounting documentation."
      },
      "golden_hash": "cb04670c77ebcde3f7c4a1c957f3a84c847af1f3a4bc9ee03a6aa8b54b031544"
    }
  ]
}