CSPT reconstructs a latent market dual state from persistent law-of-one-price wedges across funding, FX, futures, and collateralized instruments. It is built to turn fragmented basis stress into one measured state object with pinned plumbing, convex recovery, and audit-ready outputs.
The instrument starts with the reconstructed state and the diagnostics that qualify it. What matters here is what tightened, when it tightened, and how the measurement layer was constructed.
Largest single-day balance-sheet repricing landed on 2020-03-20.
Peak secured-funding pressure printed on 2020-03-31.
The current wedge set resolves through advisory-pinned margins and basket-level Treasury basis construction.
The event view combines daily state coordinates, held-out prediction error, and quarter-end treatment evidence in one frame. Narrative follows the state, not the other way around.
Peak reconstructed balance-sheet pressure reached 120.67 on 2020-03-31.
Secured-funding pressure peaked at 8.86 on 2020-03-31.
Initial-margin pressure peaked at 0.35 on 2020-03-20.
CME performance bond changes begin to shift the initial-margin coordinate in the same state space as the funding wedges.
Balance-sheet, secured-funding, and initial-margin coordinates all print materially wider in the same window.
The episode remains framed as a dual-state reconstruction rather than a stack of isolated spread moves.
The front end is deliberately quiet. The backend remains severe: convention-controlled wedge construction, pinned loadings, convex recovery, diagnostics, and audit-ready artifact lineage served without client-side guesswork.
NY Fed SOFR, ECB €STR, FRED curve anchors, Treasury auction metadata, and March CME clearing notices are normalized into immutable parquet snapshots.
CVXPY with CLARABEL recovers the active measured sub-basis using robust loss, non-negativity, temporal smoothing, and explicit rank diagnostics.
The localhost layer exposes summary JSON, full state series, and constraint Greeks while preserving artifact paths and hashes for audit, replay, and memo pinning.
The current build already measures a coherent state. The remaining extensions are precision upgrades, not a change in category, and they remain named explicitly.
The March window uses curve-implied issue pricing, conversion factors, carry, and CTD-style selection instead of a blunt single-leg Treasury proxy.
Treasury and FX performance bond steps are pinned to dated CME advisories and forward-filled by effective date into the loading surface.
The remaining precision step is historical tradeable cash-bond pricing. The current build keeps that boundary explicit while preserving a coherent measurement object today.