{
  "content_version": "2026-09-21-MD-review-v3",
  "cutoff": "2026-09-21",
  "frozen": {
    "schema": "m-d-primary-inputs-v1",
    "verified_on": "2026-09-21",
    "money_unit": "USD",
    "price_unit": "USD per U.S. barrel",
    "contract": {
      "code": "CL",
      "quantity_barrels": "1000",
      "tick_usd_per_barrel": "0.01",
      "source_id": "MD-S02",
      "locator": "200102.B–C",
      "version": "online rule retrieved 2026-09-21; amendment effective date not supplied"
    },
    "historical_window": {
      "identity": "real_observations_with_derived_june_settlement",
      "spread_definition": "May settlement minus June settlement",
      "basis_definition": "EIA Cushing daily close minus May settlement; not synchronous executable quotes",
      "rows": [
        {
          "date": "2020-04-17",
          "may_settlement": "18.27",
          "may_minus_june": "-6.76",
          "spot": "18.31"
        },
        {
          "date": "2020-04-20",
          "may_settlement": "-37.63",
          "may_minus_june": "-58.06",
          "spot": "-36.98"
        },
        {
          "date": "2020-04-21",
          "may_settlement": "10.01",
          "may_minus_june": "-1.56",
          "spot": "8.91"
        }
      ],
      "vm_position": "teaching long one May entered at Apr17 settlement; not an actual account",
      "missing": [
        "April2020 IM/MM",
        "broker and intraday calls",
        "synchronous executable quotes"
      ]
    },
    "margin_paths": {
      "identity": "teaching_assumptions_not_historical_CME_margins",
      "contracts": "1",
      "direction": "long",
      "starting_total_cash": "12000",
      "initial_margin": "8000",
      "maintenance_margin": "6500",
      "call_rule": "after variation, strict balance<MM triggers transfer to restore IM; equality does not trigger",
      "cash_policy": "no interest, withdrawals, fees or intraday calls",
      "paths": {
        "A": [
          "75",
          "73.5",
          "74.2",
          "71.8",
          "75.6"
        ],
        "B": [
          "75",
          "75.2",
          "75.4",
          "75.5",
          "75.6"
        ]
      },
      "increased_requirement_variant": {
        "path": "A",
        "effective_after_mark_index": 2,
        "initial_margin": "10000",
        "maintenance_margin": "8500",
        "insufficient_cash_action": "stop at unmet call; no invented financing or liquidation price"
      }
    },
    "carry_cash_ledger": {
      "identity": "teaching_deliverable_lot_not_market_arbitrage_claim",
      "spot": "75",
      "upfront_storage_per_barrel": "1",
      "end_delivery_cost_per_barrel": "0.20",
      "simple_annual_funding_rate": "0.05",
      "day_count_denominator": "365",
      "holding_days": "90",
      "fixed_forward_delivery_price": "78",
      "assumptions": [
        "deliverable grade/location/access",
        "storage at inception financed with oil",
        "day90 repayment and handling",
        "counterparty performs",
        "other friction set to zero",
        "convenience service is not cash"
      ],
      "futures_cash_timing_variant": {
        "identity": "sparse discrete teaching account, not actual CL calendar or equilibrium theorem",
        "marks": [
          {
            "day": 0,
            "price": "78"
          },
          {
            "day": 30,
            "price": "79"
          },
          {
            "day": 90,
            "price": "77.5"
          }
        ],
        "cash_purchase_delivery_payment_day": 90,
        "initial_margin": "8000",
        "margin_remuneration_rate": "0",
        "initial_margin_financed": true,
        "variation_outflow_financed_until_day90": true,
        "intermediate_unlisted_marks": "none in this discrete teaching model"
      }
    },
    "roll": {
      "identity": "teaching executions at historical settlements; no actual fills",
      "old_contract": "May 2020 CL",
      "new_contract": "June 2020 CL",
      "old_entry_price_assumption": "20",
      "roll_date": "2020-04-17",
      "next_mark_date": "2020-04-20",
      "costs": "zero defaults; no observed execution costs"
    },
    "aecom_swap": {
      "identity": "disclosed_facts",
      "as_of": "2025-09-30",
      "notional": "400000000",
      "currency": "USD",
      "fixed_rate_paid": "0.01283",
      "floating_received_description": "prevailing one-month SOFR",
      "effective_month": "2023-02",
      "expiration_month": "2028-03",
      "source_id": "MD-S06",
      "not_disclosed": [
        "confirmation index definition",
        "fixing/payment/day-count",
        "swap floor",
        "specific loan allocation",
        "CSA and clearing",
        "actual period payments"
      ]
    },
    "swap_cash_example": {
      "identity": "conditional_teaching_variant_not_AECOM_actual_settlement",
      "accrual_numerator_days": "30",
      "accrual_denominator_days": "360",
      "floating_rates": [
        "0.04",
        "0.02",
        "0"
      ],
      "loan_notional": "400000000",
      "loan_spread": "0.0175",
      "matching_assumptions": [
        "same index/fixing/accrual/payment",
        "nonnegative floating rates with loan floor inactive",
        "constant spread",
        "performance; no fees or collateral modeled"
      ],
      "mismatch_variant": {
        "swap_notional": "300000000",
        "loan_notional": "400000000",
        "rate_increase": "0.01",
        "identity": "not the separate AECOM cap; notional mismatch only"
      }
    }
  },
  "contract": {
    "quantity": 1000,
    "tick": 0.01,
    "min_contracts": 1,
    "max_contracts": 50,
    "rule_access_date": "2026-09-21",
    "source": "MD-S02"
  },
  "history": [
    {
      "date": "2020-04-17",
      "may_settlement": "18.27",
      "may_minus_june": "-6.76",
      "spot": 18.31,
      "may": 18.27,
      "spread": -6.76
    },
    {
      "date": "2020-04-20",
      "may_settlement": "-37.63",
      "may_minus_june": "-58.06",
      "spot": -36.98,
      "may": -37.63,
      "spread": -58.06
    },
    {
      "date": "2020-04-21",
      "may_settlement": "10.01",
      "may_minus_june": "-1.56",
      "spot": 8.91,
      "may": 10.01,
      "spread": -1.56
    }
  ],
  "m10": {
    "identity": "teaching_prices_with_actual_CL_multiplier",
    "side": "long",
    "contracts": 1,
    "entry": 75,
    "next": 76
  },
  "margin": {
    "identity": "teaching_account_not_CCP_or_historical_margin",
    "paths": {
      "A": [
        75,
        73.5,
        74.2,
        71.8,
        75.6
      ],
      "B": [
        75,
        75.2,
        75.4,
        75.5,
        75.6
      ]
    },
    "contracts": 1,
    "initial_per_contract": 8000,
    "maintenance_per_contract": 6500,
    "starting_cash": 12000,
    "raised_initial_per_contract": 10000,
    "raised_maintenance_per_contract": 8500,
    "change_at_mark": 2,
    "deadline": "model stage D_i after settlement, before next mark; not a real broker deadline",
    "transfer_on_time": true
  },
  "carry": {
    "identity": "teaching_funded_deliverable_lot",
    "quantity": 1000,
    "spot": 75,
    "storage": 1,
    "storage_timing": "upfront",
    "handling": 0.2,
    "rate": 0.05,
    "denominator": 365,
    "days": 90,
    "forward": 78,
    "mid": 79,
    "end": 77.5,
    "mid_day": 30,
    "initial_margin": 8000,
    "margin_rate": 0,
    "positive_intermediate_cash_rate": 0,
    "storage_available": true,
    "funding_available": true,
    "deliverable": true,
    "convenience_cash_receipt": 0
  },
  "roll": {
    "identity": "assumed_executions_with_source_settlement_references",
    "contracts": 1,
    "old_entry": 20,
    "old_reference": 18.27,
    "new_reference": 25.03,
    "next_new_settlement": 20.43,
    "previous_settlement": null,
    "illustrative_previous_settlement": 19,
    "old_sell_slippage": 0,
    "new_buy_slippage": 0,
    "fee_per_leg_per_contract": 0,
    "settlement_matches_entry_reference": true
  },
  "swap": {
    "identity": "disclosed_inputs_plus_matched_teaching_loan",
    "loan_notional": 400000000,
    "swap_notional": 400000000,
    "fixed": 0.01283,
    "spread": 0.0175,
    "rate": 0.04,
    "accrual_numerator": 30,
    "accrual_denominator": 360,
    "same_index": true,
    "same_fixing": true,
    "same_payment": true,
    "same_accrual": true,
    "loan_floor": 0,
    "swap_floor": "not disclosed; negative rates not modeled",
    "missing_rates_action": "null floating/combined outputs; request distinct inputs; do not reuse default rate",
    "cash_direction": "company receipts positive, payments positive in dedicated payment columns"
  },
  "delivery_events": [
    {
      "id": "last",
      "title": "最后交易日 L",
      "locator": "200102.F",
      "text": "交割月前月25日前第三个营业日；若25日非营业日，以其前最近营业日为基准再倒数三个营业日。上市后休业表变更有保留原到期日及前移例外。"
    },
    {
      "id": "intent",
      "title": "L 后第1营业日",
      "locator": "200105.A/B",
      "text": "纽约时间15:00前，持仓清算会员提交接受或交付意向。不要将这一步称作实物已交付。"
    },
    {
      "id": "notice",
      "title": "L 后第2营业日：Notice Day",
      "locator": "200105.E/F",
      "text": "清算所分配通知；收到通知的会员承担相应接受或交付安排，通知不可转让。"
    },
    {
      "id": "margin",
      "title": "L 后第3营业日",
      "locator": "200105.A.2; 200107.B",
      "text": "清算会员须向买方收取等于完整货值的交割保证金；卖方另按交易所规定。另须交付指令及设施接入信息。"
    },
    {
      "id": "physical",
      "title": "交割月首日至末日",
      "locator": "200106",
      "text": "安排实物交付及初步货权转移确认；调度和接入必须可行，不等于“有仓位就有仓储”。"
    },
    {
      "id": "payment",
      "title": "交割次月20日及规则调整",
      "locator": "200107.A/C",
      "text": "货款基于最终结算价与交付量。周六或非周一休业日前移；周日或周一休业日后移。须依实际交易所/纽约银行日历。"
    },
    {
      "id": "complete",
      "title": "完成通知与保证金退回",
      "locator": "200107.B/C",
      "text": "交付与付款完成并通知交易所后，按规则退回所持保证金；数量差异另依规定调整。不是第二次商品收入。"
    }
  ],
  "additional_teaching_examples": {
    "forward": {
      "quantity": 1500,
      "price": 78,
      "terminal_spots": [
        90,
        65
      ],
      "upfront_or_margin_cash": 0
    },
    "transfer_contract_X": {
      "quantity": 500,
      "tick": 0.02,
      "contracts": 2,
      "price_change": 0.1
    },
    "roll_known_previous": 19,
    "roll_delivery_value": 80000,
    "roll_execution_variant": {
      "old_sell_slippage": 0.02,
      "new_buy_slippage": 0.03,
      "fee_per_leg_per_contract": 5
    },
    "margin_less_cash": 11000,
    "margin_first_mark_variant": 73.49,
    "carry_mid_variant": 82,
    "swap_notional_variant": 300000000
  }
}