Macro Sovereign Floor & Ecosystem Stress Console
Dynamically propagate discount rates, energy input costs, capex velocity, and regulatory frictions across the 6-layer stack.
Presets:
Benchmark Floor
3.50%
Warsh 4.792%
6.50%
Macro Volatility
4.00%
5.25%
7.00%
2026 Commitment
$450B (-43%)
Base $790B
$1,100B
Copilot / Agentic MRM
20% (High Friction)
42.5%
85% (Frictionless)
Brent Energy Baseline:
$88/bbl
TSMC Geopolitical Spread:
+200 bps
GPU Hardware Life (Depreciation):
Merton Structural Credit Risk & Default Transmission Matrix 1-Year Horizon
Equity modeled as a European Call option $E = V\mathcal{N}(d_1) - De^{-rT}\mathcal{N}(d_2)$ on total enterprise assets.
Merton Barrier: $D = \text{ST Debt} + 0.5 \times \text{LT Debt}$
| Entity / Ticker | Layer | Implied $V$ | Barrier $D$ | Asset Vol ($\sigma_V$) | Distance to Default ($DD$) | 1Y Implied $PD$ | Rating |
|---|
Structural Credit Derivation ($DD$ Engine)
Second Line Risk Control: Under the 4.792% sovereign floor, debt refinancing costs increase by 180–240 bps. While mega-cap solvency remains intact, Broadcom (AVGO) carries elevated post-merger integration debt, driving a higher 1Y $PD$ sensitivity if hyperscaler capex contracts.
Asset Value vs. Default Barrier ($D$)
Asset distribution $\ln(V_T) \sim \mathcal{N}(\dots)$ vs. insolvency barrier.
Focused Entity:
Probability of Default ($PD$):
0.65% (65 bps)
Default Buffer Margin:
$485 Billion (+124%)