The scenario
Pinnacle Securities LLC borrows 100,000,000 USD overnight against US Treasury collateral at 5.30%, over a 3-day weekend term. At maturity it returns 100,044,166.67 USD — principal plus 44,166.67 interest — and receives its collateral back.
How FORAY models it
The Arrangement records the repurchase agreement with its term as effective date (F11) and maturity (F14); collateral detail, haircut, and the tri-party agent ride in residue. Two Accruals carry the interest computation and the end-of-day collateral mark. The closing Action settles 100,044,166.67 against the maturity expectation — an 11-significant-digit amount compared exactly, well inside the 15-significant-digit wire profile.
What to observe in the record
- The opening leg predates any expectation and allocates nothing; the closing leg allocates the full maturity amount.
- CUSIP, margin status, and Fedwire references are residue: evidence context, not Root facts.
- The rate benchmark (SOFR) rides with the interest Accrual’s residue — recorded assertions about the computation’s market context.
The record
Wire 4.2 record
This record is a teaching example, emitted by the FORAY generator (template overnight-repo) — not hand-written. No blockchain anchoring has occurred or is implied; anchor-related fields are placeholders. Parties, amounts, and dates are illustrative. Wire keys are catalog codes (F-codes); the readable names used in the prose above are the implementer register, which never appears in hashed bytes.
{
"F1": "REPO_2026_ON_TREASURY_001",
"F2": "REPO_2026_ON_TREASURY_001",
"F3": "Pinnacle Securities LLC",
"F7": 100000000,
"F8": "USD",
"F15": "settled",
"F25": {
"compliance_flags": [
"SEC_15c3",
"FINRA_4210",
"Fed_Reg_T",
"SOFR_Compliant"
]
},
"F26": "overnight_repo",
"schema_version": "4.2",
"timestamp": "2026-01-24T15:00:00Z",
"arrangements": [
{
"F4": "repurchase_agreement",
"F5": [
{
"jurisdiction": "US-NY",
"lei": "549300PINNACLE12345",
"name": "Pinnacle Securities LLC",
"role": "cash_borrower"
},
{
"jurisdiction": "US-NY",
"lei": "254900FEDRESNY67890",
"name": "Federal Reserve Bank of New York",
"role": "cash_lender"
}
],
"F7": 100000000,
"F11": "2026-01-24T00:00:00Z",
"F14": "2026-01-27T00:00:00Z",
"F25": {
"collateral": {
"accrued_interest": 850000,
"collateral_value_after_haircut": 100000000,
"cusip": "912810SZ3",
"dirty_price": 100.87,
"face_value": 102000000,
"isin": "US912810SZ35",
"market_value": 102040000,
"security": "US Treasury 4.25% 11/15/2034",
"type": "US_Treasury"
},
"description": "Overnight RP - US Treasury Collateral",
"haircut_percentage": 0.02,
"legal_documents": [
"GMRA_2011",
"MRA_Annex",
"Tri_Party_Agreement"
],
"margin_call_threshold": 0.01,
"repo_rate": 0.053,
"repo_rate_basis": "ACT/360",
"repo_type": "overnight",
"term_days": 3,
"tri_party_agent": {
"account_id": "TPA-PINN-001",
"name": "Bank of New York Mellon"
}
},
"id": "ARR_REPO_OVERNIGHT"
}
],
"accruals": [
{
"F4": "repo_interest",
"F17": "Calculated",
"F18": "hash_2d5f8b1e4a7c60373849d2e5f8b1a4c7",
"F19": {
"day_count_basis": "ACT/360",
"days": 3,
"principal": 100000000,
"repo_rate": 0.053
},
"F20": 44166.67,
"F22": [
"ARR_REPO_OVERNIGHT"
],
"F25": {
"accounting_entry": {
"credit": {
"account": "2300-Repo Interest Payable",
"amount": 44166.67
},
"debit": {
"account": "7200-Interest Expense - Repo",
"amount": 44166.67
}
},
"description": "Overnight repo interest accrual (3 days over weekend)",
"rate_benchmark": {
"reference_rate": "SOFR",
"sofr_rate": 0.0528,
"spread_to_sofr": 0.0002
}
},
"id": "ACC_REPO_INTEREST"
},
{
"F4": "collateral_mark",
"F17": "Calculated",
"F18": "hash_4f7a0c3e6b9d80595061f4a7b0c3d6e9",
"F19": {
"accrued_interest_per_100": 0.85,
"closing_price": 100.92,
"cusip_face_value": 102000000
},
"F20": 103806600,
"F22": [
"ARR_REPO_OVERNIGHT"
],
"F25": {
"description": "End of day collateral valuation",
"margin_status": {
"actual_collateral": 103806600,
"excess_margin": 1806600,
"margin_call_required": false,
"required_collateral": 102000000
},
"price_source": "Bloomberg_BGN"
},
"id": "ACC_COLLATERAL_VALUATION"
}
],
"anticipations": [
{
"F4": "repo_maturity",
"F10": 100044166.67,
"F22": [
"ARR_REPO_OVERNIGHT"
],
"F23": [
"ACC_REPO_INTEREST"
],
"F25": {
"description": "Repo maturity - return cash plus interest, receive collateral",
"rollover_intent": "mature_no_roll",
"settlement_obligations": {
"cash_to_return": 100044166.67,
"collateral_cusip": "912810SZ3",
"collateral_to_receive": 102000000
}
},
"F27": "2026-01-27",
"F28": 0.9999,
"id": "ANT_REPO_MATURITY"
}
],
"actions": [
{
"F4": "repo_opening_leg",
"F6": "Federal Reserve Bank of New York",
"F9": 100000000,
"F12": "2026-01-24T15:00:00Z",
"F15": "completed",
"F16": "fedwire",
"F22": [
"ARR_REPO_OVERNIGHT"
],
"F23": [],
"F24": [],
"F25": {
"cash_settlement": {
"amount": 100000000,
"fedwire_reference": "FW20260124PINN0001"
},
"collateral_settlement": {
"cusip": "912810SZ3",
"delivering_participant": "0901",
"dtc_reference": "DTC20260124COL0001",
"face_value": 102000000,
"receiving_participant": "0060"
},
"description": "Opening leg - deliver collateral, receive cash"
},
"id": "ACT_REPO_OPENING"
},
{
"F4": "repo_closing_leg",
"F6": "Federal Reserve Bank of New York",
"F9": 100044166.67,
"F12": "2026-01-27T10:00:00Z",
"F15": "completed",
"F16": "fedwire",
"F21": [
{
"allocation_type": "full",
"amount": 100044166.67,
"currency": "USD",
"ref": "ANT_REPO_MATURITY",
"ref_type": "anticipation",
"remaining_balance": 0
}
],
"F22": [
"ARR_REPO_OVERNIGHT"
],
"F23": [
"ACC_REPO_INTEREST"
],
"F24": [
"ANT_REPO_MATURITY"
],
"F25": {
"cash_settlement": {
"breakdown": {
"interest": 44166.67,
"principal": 100000000
},
"fedwire_reference": "FW20260127PINN0002"
},
"collateral_settlement": {
"cusip": "912810SZ3",
"delivering_participant": "0060",
"dtc_reference": "DTC20260127COL0002",
"face_value": 102000000,
"receiving_participant": "0901"
},
"description": "Closing leg - return cash plus interest, receive collateral back",
"variance": {
"actual": 100044166.67,
"difference": 0,
"expected": 100044166.67
}
},
"id": "ACT_REPO_CLOSING"
}
],
"component_hashes": {
"accruals": "sha256:PLACEHOLDER",
"actions": "sha256:PLACEHOLDER",
"anticipations": "sha256:PLACEHOLDER",
"arrangements": "sha256:PLACEHOLDER"
},
"merkle_root": "sha256:PLACEHOLDER",
"blockchain_anchor": {
"anchored_at": null,
"block_height": null,
"confirmation_time_ms": null,
"kaspa_tx_id": null
}
}Canonical form — the hashed bytes
The canonical byte form is a single line: F-coded members in ascending numeric order, envelope members in their ruled enumeration, one legal spelling per number. The hash below is computed over exactly the bytes shown — copy the line into any SHA-256 tool to reproduce it.
{"F1":"REPO_2026_ON_TREASURY_001","F2":"REPO_2026_ON_TREASURY_001","F3":"Pinnacle Securities LLC","F7":100000000,"F8":"USD","F15":"settled","F25":{"compliance_flags":["SEC_15c3","FINRA_4210","Fed_Reg_T","SOFR_Compliant"]},"F26":"overnight_repo","schema_version":"4.2","timestamp":"2026-01-24T15:00:00Z","arrangements":[{"F4":"repurchase_agreement","F5":[{"jurisdiction":"US-NY","lei":"549300PINNACLE12345","name":"Pinnacle Securities LLC","role":"cash_borrower"},{"jurisdiction":"US-NY","lei":"254900FEDRESNY67890","name":"Federal Reserve Bank of New York","role":"cash_lender"}],"F7":100000000,"F11":"2026-01-24T00:00:00Z","F14":"2026-01-27T00:00:00Z","F25":{"collateral":{"accrued_interest":850000,"collateral_value_after_haircut":100000000,"cusip":"912810SZ3","dirty_price":100.87,"face_value":102000000,"isin":"US912810SZ35","market_value":102040000,"security":"US Treasury 4.25% 11/15/2034","type":"US_Treasury"},"description":"Overnight RP - US Treasury Collateral","haircut_percentage":0.02,"legal_documents":["GMRA_2011","MRA_Annex","Tri_Party_Agreement"],"margin_call_threshold":0.01,"repo_rate":0.053,"repo_rate_basis":"ACT/360","repo_type":"overnight","term_days":3,"tri_party_agent":{"account_id":"TPA-PINN-001","name":"Bank of New York Mellon"}},"id":"ARR_REPO_OVERNIGHT"}],"accruals":[{"F4":"repo_interest","F17":"Calculated","F18":"hash_2d5f8b1e4a7c60373849d2e5f8b1a4c7","F19":{"day_count_basis":"ACT/360","days":3,"principal":100000000,"repo_rate":0.053},"F20":44166.67,"F22":["ARR_REPO_OVERNIGHT"],"F25":{"accounting_entry":{"credit":{"account":"2300-Repo Interest Payable","amount":44166.67},"debit":{"account":"7200-Interest Expense - Repo","amount":44166.67}},"description":"Overnight repo interest accrual (3 days over weekend)","rate_benchmark":{"reference_rate":"SOFR","sofr_rate":0.0528,"spread_to_sofr":0.0002}},"id":"ACC_REPO_INTEREST"},{"F4":"collateral_mark","F17":"Calculated","F18":"hash_4f7a0c3e6b9d80595061f4a7b0c3d6e9","F19":{"accrued_interest_per_100":0.85,"closing_price":100.92,"cusip_face_value":102000000},"F20":103806600,"F22":["ARR_REPO_OVERNIGHT"],"F25":{"description":"End of day collateral valuation","margin_status":{"actual_collateral":103806600,"excess_margin":1806600,"margin_call_required":false,"required_collateral":102000000},"price_source":"Bloomberg_BGN"},"id":"ACC_COLLATERAL_VALUATION"}],"anticipations":[{"F4":"repo_maturity","F10":100044166.67,"F22":["ARR_REPO_OVERNIGHT"],"F23":["ACC_REPO_INTEREST"],"F25":{"description":"Repo maturity - return cash plus interest, receive collateral","rollover_intent":"mature_no_roll","settlement_obligations":{"cash_to_return":100044166.67,"collateral_cusip":"912810SZ3","collateral_to_receive":102000000}},"F27":"2026-01-27","F28":0.9999,"id":"ANT_REPO_MATURITY"}],"actions":[{"F4":"repo_opening_leg","F6":"Federal Reserve Bank of New York","F9":100000000,"F12":"2026-01-24T15:00:00Z","F15":"completed","F16":"fedwire","F22":["ARR_REPO_OVERNIGHT"],"F23":[],"F24":[],"F25":{"cash_settlement":{"amount":100000000,"fedwire_reference":"FW20260124PINN0001"},"collateral_settlement":{"cusip":"912810SZ3","delivering_participant":"0901","dtc_reference":"DTC20260124COL0001","face_value":102000000,"receiving_participant":"0060"},"description":"Opening leg - deliver collateral, receive cash"},"id":"ACT_REPO_OPENING"},{"F4":"repo_closing_leg","F6":"Federal Reserve Bank of New York","F9":100044166.67,"F12":"2026-01-27T10:00:00Z","F15":"completed","F16":"fedwire","F21":[{"allocation_type":"full","amount":100044166.67,"currency":"USD","ref":"ANT_REPO_MATURITY","ref_type":"anticipation","remaining_balance":0}],"F22":["ARR_REPO_OVERNIGHT"],"F23":["ACC_REPO_INTEREST"],"F24":["ANT_REPO_MATURITY"],"F25":{"cash_settlement":{"breakdown":{"interest":44166.67,"principal":100000000},"fedwire_reference":"FW20260127PINN0002"},"collateral_settlement":{"cusip":"912810SZ3","delivering_participant":"0060","dtc_reference":"DTC20260127COL0002","face_value":102000000,"receiving_participant":"0901"},"description":"Closing leg - return cash plus interest, receive collateral back","variance":{"actual":100044166.67,"difference":0,"expected":100044166.67}},"id":"ACT_REPO_CLOSING"}],"component_hashes":{"accruals":"sha256:PLACEHOLDER","actions":"sha256:PLACEHOLDER","anticipations":"sha256:PLACEHOLDER","arrangements":"sha256:PLACEHOLDER"},"merkle_root":"sha256:PLACEHOLDER","blockchain_anchor":{"anchored_at":null,"block_height":null,"confirmation_time_ms":null,"kaspa_tx_id":null}}Canonical-bytes SHA-256: 1b046a77d02cd9c1e738fc07297526e9e9cfea309514be8834a106f0cf458a9d
Validated against the live validator (POST /api/validate-foray): 0 errors, 0 warnings.