{"schema":"seiche.estuary.v1","generated_at":"2026-08-22T00:19:34+00:00","context_only":true,"ok":true,"as_of":"2026-08-20","headline":{"upstream_pressure":29.1,"fx_pressure":17.4,"materials_pressure":43.3,"funding_priced":43.7,"transmission_gap":-14.6,"regime":"IN SYNC","verdict":"FX/material pressure and funding pricing are broadly aligned. The loudest upstream row is Swiss franc; the loudest physical row is Aluminum.","coverage_pct":100.0,"present_series":35,"expected_series":35,"context_only":true},"leaders":{"fx":[{"key":"CHF","label":"Swiss franc","bucket":"AFE","last_local_per_usd":0.8116,"unit":"CHF per USD","change_5d_pct":0.47,"change_20d_pct":0.58,"change_60d_pct":2.77,"realized_vol_20d_pct":7.9,"depreciation_percentile":60.9,"volatility_percentile":77.6,"pressure":67.6,"direction":"weaker vs USD","policy_diff_vs_effr_bp":null,"policy_rate_label":null,"policy_rate_cadence":null,"policy_asof":null,"asof":"2026-08-14","source_id":"DEXSZUS"},{"key":"BRL","label":"Brazilian real","bucket":"EM","last_local_per_usd":5.2388,"unit":"BRL per USD","change_5d_pct":2.96,"change_20d_pct":2.56,"change_60d_pct":3.87,"realized_vol_20d_pct":8.73,"depreciation_percentile":80.4,"volatility_percentile":26.8,"pressure":58.9,"direction":"weaker vs USD","policy_diff_vs_effr_bp":null,"policy_rate_label":null,"policy_rate_cadence":null,"policy_asof":null,"asof":"2026-08-14","source_id":"DEXBZUS"},{"key":"HKD","label":"Hong Kong dollar","bucket":"AFE","last_local_per_usd":7.8472,"unit":"HKD per USD","change_5d_pct":0.02,"change_20d_pct":0.09,"change_60d_pct":0.18,"realized_vol_20d_pct":0.19,"depreciation_percentile":70.8,"volatility_percentile":5.0,"pressure":44.5,"direction":"flat","policy_diff_vs_effr_bp":null,"policy_rate_label":null,"policy_rate_cadence":null,"policy_asof":null,"asof":"2026-08-14","source_id":"DEXHKUS"},{"key":"JPY","label":"Japanese yen","bucket":"AFE","last_local_per_usd":159.21,"unit":"JPY per USD","change_5d_pct":1.06,"change_20d_pct":-1.98,"change_60d_pct":0.06,"realized_vol_20d_pct":11.64,"depreciation_percentile":17.4,"volatility_percentile":84.6,"pressure":44.3,"direction":"stronger vs USD","policy_diff_vs_effr_bp":-265.3,"policy_rate_label":"TONA","policy_rate_cadence":"daily","policy_asof":"2026-08-19","asof":"2026-08-14","source_id":"DEXJPUS"},{"key":"NZD","label":"New Zealand dollar","bucket":"AFE","last_local_per_usd":1.69578,"unit":"NZD per USD","change_5d_pct":-0.08,"change_20d_pct":-0.83,"change_60d_pct":-1.1,"realized_vol_20d_pct":8.72,"depreciation_percentile":35.1,"volatility_percentile":51.0,"pressure":41.5,"direction":"stronger vs USD","policy_diff_vs_effr_bp":null,"policy_rate_label":null,"policy_rate_cadence":null,"policy_asof":null,"asof":"2026-08-14","source_id":"DEXUSNZ"}],"materials":[{"key":"ALUMINUM","label":"Aluminum","category":"industrial","last":3158.265,"unit":"$/metric ton","cadence":"monthly","short_change":-8.16,"horizon_change":-12.13,"horizon":"3 months","change_unit":"%","realized_vol_pct":22.53,"shock_percentile":81.2,"volatility_percentile":92.9,"pressure":85.3,"direction":"lower","channel":"collateral + margin","asof":"2026-07-01","source_id":"PALUMUSDM"},{"key":"ALL","label":"All commodities","category":"broad","last":193.2045,"unit":"2016=100","cadence":"monthly","short_change":-0.73,"horizon_change":-9.84,"horizon":"3 months","change_unit":"%","realized_vol_pct":29.41,"shock_percentile":73.8,"volatility_percentile":96.2,"pressure":81.6,"direction":"lower","channel":"collateral + margin","asof":"2026-07-01","source_id":"PALLFNFINDEXM"},{"key":"WHEAT","label":"Wheat","category":"agriculture","last":228.7388,"unit":"$/metric ton","cadence":"monthly","short_change":14.57,"horizon_change":12.88,"horizon":"3 months","change_unit":"%","realized_vol_pct":26.78,"shock_percentile":67.9,"volatility_percentile":83.8,"pressure":73.5,"direction":"higher","channel":"working capital + inflation","asof":"2026-07-01","source_id":"PWHEAMTUSDM"},{"key":"BRENT","label":"Brent crude","category":"energy","last":95.29,"unit":"$/bbl","cadence":"daily","short_change":2.03,"horizon_change":1.44,"horizon":"20 observations","change_unit":"$/bbl","realized_vol_pct":79.99,"shock_percentile":21.4,"volatility_percentile":92.8,"pressure":46.4,"direction":"higher","channel":"working capital + inflation","asof":"2026-08-18","source_id":"DCOILBRENTEU"},{"key":"COPPER","label":"Copper","category":"industrial","last":13542.8209,"unit":"$/metric ton","cadence":"monthly","short_change":-0.07,"horizon_change":5.06,"horizon":"3 months","change_unit":"%","realized_vol_pct":8.85,"shock_percentile":46.2,"volatility_percentile":17.9,"pressure":36.3,"direction":"higher","channel":"working capital + inflation","asof":"2026-07-01","source_id":"PCOPPUSDM"}],"funding":[{"key":"sofr_iorb","label":"SOFR − IORB","spread_bp":-2.0,"change_20d_bp":-1.0,"level_percentile":73.1,"widening_percentile":33.8,"pressure":59.3,"asof":"2026-08-20"},{"key":"cp_financial","label":"3m financial CP − Treasury","spread_bp":-2.0,"change_20d_bp":-6.0,"level_percentile":50.5,"widening_percentile":31.2,"pressure":43.7,"asof":"2026-08-19"},{"key":"cp_nonfinancial","label":"3m nonfinancial CP − Treasury","spread_bp":-18.0,"change_20d_bp":-12.0,"level_percentile":9.2,"widening_percentile":12.0,"pressure":10.2,"asof":"2026-08-19"}]},"fx_breadth":{"broad":{"index":118.903,"change_20d_pct":-1.35,"pressure_percentile":13.3,"asof":"2026-08-14"},"advanced":{"change_20d_pct":-1.1,"pressure_percentile":25.2,"asof":"2026-08-14"},"emerging":{"change_20d_pct":-1.59,"pressure_percentile":7.9,"asof":"2026-08-14"},"median_pair_depreciation_percentile":24.9,"median_pair_volatility_percentile":30.6},"materials_breadth":{"categories":[{"category":"energy","pressure":29.3,"n":4,"leaders":["BRENT","WTI"]},{"category":"industrial","pressure":36.3,"n":3,"leaders":["ALUMINUM","COPPER"]},{"category":"agriculture","pressure":49.5,"n":2,"leaders":["WHEAT","CORN"]},{"category":"broad","pressure":81.6,"n":1,"leaders":["ALL"]}],"higher_pct":50.0},"passage":{"edges":[{"source":"EM dollar","target":"Nonfinancial CP−bill","lag_bd":0,"corr_discovery":0.292,"corr_holdout":0.051,"corr_full":0.219,"n_discovery":855,"n_holdout":571,"status":"tentative","direction":"wider funding","search":"target + lag chosen from discovery only; lags [0, 1, 3, 5, 10]bd"},{"source":"WTI","target":"Nonfinancial CP−bill","lag_bd":0,"corr_discovery":-0.367,"corr_holdout":0.203,"corr_full":-0.123,"n_discovery":859,"n_holdout":574,"status":"not_earned","direction":"unresolved","search":"target + lag chosen from discovery only; lags [0, 1, 3, 5, 10]bd"},{"source":"JPY","target":"Financial CP−bill","lag_bd":10,"corr_discovery":-0.228,"corr_holdout":0.086,"corr_full":-0.09,"n_discovery":1057,"n_holdout":705,"status":"not_earned","direction":"unresolved","search":"target + lag chosen from discovery only; lags [0, 1, 3, 5, 10]bd"},{"source":"Broad USD","target":"Nonfinancial CP−bill","lag_bd":0,"corr_discovery":0.264,"corr_holdout":0.034,"corr_full":0.19,"n_discovery":855,"n_holdout":571,"status":"not_earned","direction":"unresolved","search":"target + lag chosen from discovery only; lags [0, 1, 3, 5, 10]bd"},{"source":"Natural gas","target":"Nonfinancial CP−bill","lag_bd":0,"corr_discovery":-0.027,"corr_holdout":-0.015,"corr_full":-0.014,"n_discovery":859,"n_holdout":574,"status":"not_earned","direction":"unresolved","search":"target + lag chosen from discovery only; lags [0, 1, 3, 5, 10]bd"},{"source":"EM FX breadth","target":"Nonfinancial CP−bill","lag_bd":0,"corr_discovery":0.24,"corr_holdout":-0.013,"corr_full":0.147,"n_discovery":856,"n_holdout":572,"status":"not_earned","direction":"unresolved","search":"target + lag chosen from discovery only; lags [0, 1, 3, 5, 10]bd"}],"earned":0,"tentative":1,"not_earned":5,"doctrine":"target and lag are selected on the first 60% of each aligned history; earned requires the same sign and |r| ≥ 0.10 in the untouched final 40%. Correlation is not causation."},"analogs":{"ok":true,"asof":"2026-08-14","k":8,"horizon_bd":10,"event_threshold_bp":5.0,"event_rate_pct":87.5,"event_rate_ci95_pct":[52.9,97.8],"base_rate_pct":74.0,"lift":1.18,"base_trials":235,"analogs":[{"date":"2025-07-01","distance":0.222,"funding_event_10bd":false,"max_widening_10bd_bp":0.0,"by_market_bp":{"SOFR−IORB":-4.0,"Nonfinancial CP−bill":0.0,"Financial CP−bill":-3.0}},{"date":"2025-12-30","distance":0.232,"funding_event_10bd":true,"max_widening_10bd_bp":16.0,"by_market_bp":{"SOFR−IORB":16.0,"Nonfinancial CP−bill":0.0,"Financial CP−bill":-2.0}},{"date":"2025-09-17","distance":0.244,"funding_event_10bd":true,"max_widening_10bd_bp":11.0,"by_market_bp":{"SOFR−IORB":11.0,"Nonfinancial CP−bill":6.0,"Financial CP−bill":11.0}},{"date":"2019-07-02","distance":0.251,"funding_event_10bd":true,"max_widening_10bd_bp":11.0,"by_market_bp":{"SOFR−IORB":8.0,"Nonfinancial CP−bill":11.0,"Financial CP−bill":8.0}},{"date":"2020-01-08","distance":0.274,"funding_event_10bd":true,"max_widening_10bd_bp":6.0,"by_market_bp":{"SOFR−IORB":1.0,"Nonfinancial CP−bill":6.0,"Financial CP−bill":6.0}},{"date":"2025-04-01","distance":0.296,"funding_event_10bd":true,"max_widening_10bd_bp":12.0,"by_market_bp":{"SOFR−IORB":3.0,"Nonfinancial CP−bill":7.0,"Financial CP−bill":12.0}},{"date":"2024-09-20","distance":0.336,"funding_event_10bd":true,"max_widening_10bd_bp":22.0,"by_market_bp":{"SOFR−IORB":22.0,"Nonfinancial CP−bill":12.0,"Financial CP−bill":9.0}},{"date":"2024-07-17","distance":0.338,"funding_event_10bd":true,"max_widening_10bd_bp":8.0,"by_market_bp":{"SOFR−IORB":3.0,"Nonfinancial CP−bill":8.0,"Financial CP−bill":1.0}}],"method":"nearest prior daily states over broad/EM USD, pair depreciation/volatility, WTI and gas; each feature uses a trailing 3y z-score, candidates are 28 calendar days apart, and outcomes are the next 10 observed funding prints. Selection sees no forward funding outcome."},"dollar_system":{"swap_lines":{"outstanding_usd_m":123.0,"change_13w_usd_m":107.0,"asof":"2026-08-19"},"foreign_official_rrp":{"outstanding_usd_b":373.37,"change_13w_usd_b":55.61,"asof":"2026-08-19"},"fima_repo":{"outstanding_usd_m":0.0,"asof":"2026-08-19"},"offshore_dollar_credit":{"outstanding_usd_t":14.74,"asof":"2026-03-31","cadence":"quarterly, published with a long native lag"}},"settlement_structure":{"survey_asof":"2025-04","fx_turnover_usd_t_per_day":9.6,"gross_obligations_usd_t_per_day":14.0,"pvp_share_pct":36.0,"pre_settlement_netting_share_pct":15.0,"gross_bilateral_share_pct":10.0,"gross_bilateral_usd_t_per_day":1.4,"source":"BIS 2025 Triennial Survey / June 2026 settlement-risk analysis","url":"https://www.bis.org/publ/qtrpdf/r_qt2606c.htm"},"scenario":{"assumptions":{"daily_fx_obligations_usd_b":5.0,"gross_bilateral_share_pct":10.0,"adverse_fx_move_pct":2.0,"commodity_inventory_usd_b":0.5,"commodity_price_move_pct":10.0,"commodity_hedge_ratio_pct":70.0,"haircut_increase_pct":3.0,"receivable_days":45.0,"funding_rate_pct":3.63},"outputs":{"fx":{"gross_obligations_usd":5000000000.0,"principal_without_pvp_usd":500000000.0,"replacement_cost_shock_usd":10000000.0},"materials":{"inventory_value_change_usd":50000000.0,"hedge_margin_call_usd":35000000.0,"haircut_cash_call_usd":15000000.0,"receivable_carry_usd":2237671.23,"same_day_margin_and_haircut_usd":50000000.0}},"status":"scenario_only"},"coverage_matrix":[{"aspect":"spot direction","fx":"daily · observed","materials":"daily energy / monthly breadth","status":"covered"},{"aspect":"realized volatility","fx":"20d · observed","materials":"cadence-matched · observed","status":"covered"},{"aspect":"policy carry","fx":"local anchor − EFFR where available","materials":"funding carry in Oil × Funding","status":"partial"},{"aspect":"working capital","fx":"settlement scenario","materials":"inventory / receivable scenario","status":"scenario"},{"aspect":"margin + collateral","fx":"replacement-cost scenario","materials":"hedge / haircut scenario","status":"scenario"},{"aspect":"official backstops","fx":"swap lines + FIMA + foreign RRP","materials":"oil recycling proxy on Oil × Funding","status":"covered"},{"aspect":"cross-currency basis / forwards","fx":"no qualifying free live feed","materials":"current futures curves unavailable","status":"out_of_scope"},{"aspect":"precious-metal spot","fx":"—","materials":"old public LBMA/FRED series ended in 2022","status":"out_of_scope"}],"sources":[{"layer":"FX spot + dollar indexes","source":"Federal Reserve H.10 via FRED","cadence":"daily"},{"layer":"crude + natural gas","source":"EIA via FRED","cadence":"daily"},{"layer":"broad / metals / coal / grains","source":"IMF Primary Commodity Prices via FRED","cadence":"monthly"},{"layer":"SOFR / IORB / EFFR / CP / Treasury","source":"NY Fed + Federal Reserve via FRED","cadence":"daily"},{"layer":"swap lines / FIMA / foreign RRP","source":"Federal Reserve H.4.1 via FRED","cadence":"weekly"},{"layer":"offshore USD credit","source":"BIS Data Portal","cadence":"quarterly, lagged"},{"layer":"FX settlement structure","source":"BIS 2025 Triennial Survey / June 2026 settlement-risk analysis","cadence":"triennial structural benchmark"}],"caveats":["The Estuary gap is a transparent context score, not a probability, forecast, trade signal, or Seiche composite input.","H.10 pairs are normalized to local currency per USD; positive change always means local-currency depreciation. H.10 fixes are reference rates, not executable dealer quotes.","Monthly IMF prices are period averages with publication lag. They inform category breadth only and never enter the daily Passage or analog state.","Commodity pressure is deliberately two-sided: higher prices can consume working capital; lower prices can impair collateral and trigger margin. The score identifies an unusually large move, not its net macro effect.","The Passage is a split-sample correlation audit. A stable lead/lag association can still be driven by a third variable; 'earned' never means causal.","Analog event rates use a small, de-clustered neighbor set; the Wilson interval and unconditional base rate must travel with the point estimate.","Policy-rate differentials are not forward points, hedged carry, or cross-currency basis. Those require licensed live curves that Seiche does not have.","BIS settlement figures are an April 2025 structural survey, not today's flow. Scenario outputs are identities under editable assumptions, not measured exposures."],"reading":"The Estuary compares upstream FX and physical-material cash pressure with funding already priced. Passage links are earned only on untouched holdout history; the gap is context, not a probability, forecast, trade signal, or composite input."}