{ "tool_id": "art-578-etf-pcf-basket-verification", "note": "Vector 1 is a clean basket: every PCF line is delivered in kind at exactly its expected quantity, no cash-in-lieu, and the cash deposited equals the balancing amount: MATCHES/auto_pass. Vector 2 has a genuine 40-share shortfall on US5949181045 covered by a declared cash-in-lieu substitution (line still matches: 250 delivered + 40 substituted = 300 expected) but the cash deposited (116000) does not equal the recomputed expected cash (balancing 15000 + cash-in-lieu 40*2500=100000 = 115000, delta 1000 vs tolerance 100): DIVERGES/review_required on BALANCING_CASH_MISMATCH alone. Vector 3 omits the cash tolerance entirely and exercises the did_not_run/INDETERMINATE path. All quantities are integer shares, all cash figures integer minor units. golden_hash computed at fixture generation time.", "vectors": [ { "name": "clean-basket-matches", "policy_parameters": { "cash_tolerance_minor": 100, "transaction_type": "create", "units_requested": 1, "creation_unit_size": 50000, "pcf": { "as_of": "2026-08-07", "balancing_amount_per_unit_minor": 15000, "lines": [ { "security_id": "US0378331005", "name": "Issuer A common stock", "quantity_per_unit": 500 }, { "security_id": "US5949181045", "name": "Issuer B common stock", "quantity_per_unit": 300 }, { "security_id": "US4592001014", "name": "Issuer C common stock", "quantity_per_unit": 200 } ] }, "basket": { "lines": [ { "security_id": "US0378331005", "quantity": 500 }, { "security_id": "US5949181045", "quantity": 300 }, { "security_id": "US4592001014", "quantity": 200 } ], "cash_in_lieu": [], "cash_deposited_minor": 15000 } }, "output_payload": { "decision": { "gate_policy": "auto_pass", "execution_state": "ran", "reason": null }, "verdict": "MATCHES", "transaction_type": "create", "units_requested": 1, "creation_unit_size": 50000, "pcf_as_of": "2026-08-07", "cash_tolerance_minor": 100, "line_count": 3, "line_results": [ { "security_id": "US0378331005", "name": "Issuer A common stock", "expected_quantity": 500, "delivered_quantity": 500, "substituted_quantity": 0, "covered_quantity": 500, "matches": true, "cash_in_lieu_value_minor": 0 }, { "security_id": "US5949181045", "name": "Issuer B common stock", "expected_quantity": 300, "delivered_quantity": 300, "substituted_quantity": 0, "covered_quantity": 300, "matches": true, "cash_in_lieu_value_minor": 0 }, { "security_id": "US4592001014", "name": "Issuer C common stock", "expected_quantity": 200, "delivered_quantity": 200, "substituted_quantity": 0, "covered_quantity": 200, "matches": true, "cash_in_lieu_value_minor": 0 } ], "cash_in_lieu_total_minor": 0, "expected_cash_minor": 15000, "cash_deposited_minor": 15000, "cash_delta_minor": 0, "cash_matches": true, "findings": [], "rejected_inputs": [], "scope_note": "Performs arithmetic only over a caller-declared Portfolio Composition File and a caller-declared assembled basket. Does not source, derive, or independently verify the PCF, does not price securities, and does not determine which lines are cash-in-lieu-eligible.", "clause_note": "DTCC's ETF Processing service (Fund/SERV, over NSCC) settles authorized-participant creation/redemption baskets against the fund's daily Portfolio Composition File. This kernel performs the per-line and balancing-amount reconciliation an AP or its custodian already runs against that PCF. No DTCC endorsement of this tool is implied or claimed." }, "golden_hash": "51cd845dc95b70083c4195616fe4d6c30991dc577c545b18c5a0c4f32fbe47a4" }, { "name": "cash-in-lieu-shortfall-and-cash-mismatch-diverges", "policy_parameters": { "cash_tolerance_minor": 100, "transaction_type": "create", "units_requested": 1, "creation_unit_size": 50000, "pcf": { "as_of": "2026-08-06", "balancing_amount_per_unit_minor": 15000, "lines": [ { "security_id": "US0378331005", "name": "Issuer A common stock", "quantity_per_unit": 500 }, { "security_id": "US5949181045", "name": "Issuer B common stock", "quantity_per_unit": 300 }, { "security_id": "US4592001014", "name": "Issuer C common stock", "quantity_per_unit": 200 } ] }, "basket": { "lines": [ { "security_id": "US0378331005", "quantity": 500 }, { "security_id": "US5949181045", "quantity": 250 }, { "security_id": "US4592001014", "quantity": 200 } ], "cash_in_lieu": [ { "security_id": "US5949181045", "shortfall_quantity": 40, "substitution_price_minor": 2500 } ], "cash_deposited_minor": 116000 } }, "output_payload": { "decision": { "gate_policy": "review_required", "execution_state": "ran", "reason": null }, "verdict": "DIVERGES", "transaction_type": "create", "units_requested": 1, "creation_unit_size": 50000, "pcf_as_of": "2026-08-06", "cash_tolerance_minor": 100, "line_count": 3, "line_results": [ { "security_id": "US0378331005", "name": "Issuer A common stock", "expected_quantity": 500, "delivered_quantity": 500, "substituted_quantity": 0, "covered_quantity": 500, "matches": true, "cash_in_lieu_value_minor": 0 }, { "security_id": "US5949181045", "name": "Issuer B common stock", "expected_quantity": 300, "delivered_quantity": 250, "substituted_quantity": 40, "covered_quantity": 290, "matches": false, "cash_in_lieu_value_minor": 100000 }, { "security_id": "US4592001014", "name": "Issuer C common stock", "expected_quantity": 200, "delivered_quantity": 200, "substituted_quantity": 0, "covered_quantity": 200, "matches": true, "cash_in_lieu_value_minor": 0 } ], "cash_in_lieu_total_minor": 100000, "expected_cash_minor": 115000, "cash_deposited_minor": 116000, "cash_delta_minor": 1000, "cash_matches": false, "findings": [ { "code": "LINE_QUANTITY_MISMATCH", "severity": "high", "security_id": "US5949181045", "message": "Security US5949181045 expected 300 (delivered 250 + cash-in-lieu 40 = 290)." }, { "code": "BALANCING_CASH_MISMATCH", "severity": "high", "message": "Expected cash 115000 minor units (balancing 15000 + cash-in-lieu 100000); deposited 116000; delta 1000." } ], "rejected_inputs": [], "scope_note": "Performs arithmetic only over a caller-declared Portfolio Composition File and a caller-declared assembled basket. Does not source, derive, or independently verify the PCF, does not price securities, and does not determine which lines are cash-in-lieu-eligible.", "clause_note": "DTCC's ETF Processing service (Fund/SERV, over NSCC) settles authorized-participant creation/redemption baskets against the fund's daily Portfolio Composition File. This kernel performs the per-line and balancing-amount reconciliation an AP or its custodian already runs against that PCF. No DTCC endorsement of this tool is implied or claimed." }, "golden_hash": "3cde680208c2bf4e3b2b8731a534010eb01a9d8803a99248c0c2730d2273fbc1" }, { "name": "tolerance-not-declared-indeterminate", "policy_parameters": { "transaction_type": "create", "units_requested": 1, "creation_unit_size": 50000, "pcf": { "as_of": "2026-08-07", "balancing_amount_per_unit_minor": 15000, "lines": [] } }, "output_payload": { "decision": { "gate_policy": "review_required", "execution_state": "did_not_run", "reason": "cash_tolerance_not_declared" }, "verdict": "INDETERMINATE", "transaction_type": null, "units_requested": null, "creation_unit_size": null, "pcf_as_of": null, "cash_tolerance_minor": null, "line_count": 0, "line_results": [], "cash_in_lieu_total_minor": null, "expected_cash_minor": null, "cash_deposited_minor": null, "cash_delta_minor": null, "cash_matches": null, "findings": [], "rejected_inputs": [ { "where": "cash_tolerance_minor", "reason": "absent -- a cash tolerance must be declared, never defaulted", "supplied": null } ], "scope_note": "Performs arithmetic only over a caller-declared Portfolio Composition File and a caller-declared assembled basket. Does not source, derive, or independently verify the PCF, does not price securities, and does not determine which lines are cash-in-lieu-eligible.", "clause_note": "DTCC's ETF Processing service (Fund/SERV, over NSCC) settles authorized-participant creation/redemption baskets against the fund's daily Portfolio Composition File. This kernel performs the per-line and balancing-amount reconciliation an AP or its custodian already runs against that PCF. No DTCC endorsement of this tool is implied or claimed." }, "golden_hash": "994d04c1e25634c28768efb0cbaaa0b57d036ea173f8edec2415e447d055d8d5" } ] }