Europe  ·  Financial Services  ·  CFO

Compound correlation.
The independent model
cannot see it.

European asset manager  ·  €2.1B AUM  ·  €840M lending book  ·  Frankfurt  ·  April 2026

+9.7%
PHM COGS
+4.2%
Standard
−€9M
EBITDA delta
8 wks
Window
PHM Engine  ·  Cross-Sector Correlation Transmission  ·  Inherited compound intelligence
Cases 01 + 02 inherited  ·  BIS 2023 correlation model
Cases 01–02 Inherited
68%
Lending book under compound stress
▲ Breached
Cross-Sector Corr.
1.8–2.6×
BIS 2023 compound events
▲ Breached
Industrial Exposure
28%
COGS +9.7% · PHM Case 01
▲ Breached
Consumer Exposure
22%
CPL signal event · Case 02
▲ Breached
SaaS / Tech Exposure
18%
ARR risk via CFO freeze · Case 06
▲ Breached
Loan Loss Provision
€16.4M standard
€28.2M
2.6× correlation factor
CET1 Ratio
14.0% standard
12.2%
Threshold 12.0% approaching
ROE
11.2% standard
7.4%
Institutional client pressure
Forecast Confidence
86% standard
55%
Compound vs independent model
AUM Under Review
Stable
€1.82B
Institutional allocation risk
PHM Engine  ·  Live compound read  ·  April 2026
P[0] → Energy
TTF €47 × 8.4% intensity × €184M revenue
+€3.2M direct · Delta +€1.4M
P[3] → Logistics
$2,700/FEU Cape × 31% of annual volume
+€4.1M freight · Delta +€3.0M
P[4] → Steel lag
Brent $101 → 8-week lag → June arrival
+€4.8M arriving · Delta +€3.6M
P[6] → Covenant
Euribor repriced → floating debt cost rises
Headroom 0.6× → 0.1×
Outside-in → Trap
BMW/Stellantis mandates block pass-through
Full compound trapped in P&L
The Model  ·  Four Layers
Click to expand each layer ↓
01
Company & Signal Environment
Company profile · Live signal values · PHM parameter activation · Threshold status
Open
▲
PHM situational read
A European asset manager runs independent sector stress tests and produces a total additional provision of €4.2M. CET1 14.0%. Forecast confidence 86%. CFO assessment: within capital buffer. PHM inherits Cases 01 and 02 and reads the same lending book through the compound correlation model. 68% of the book is simultaneously exposed to the same signal environment — industrial through COGS stress, consumer through demand compression, SaaS through the CFO freeze the industrial stress creates. Independent models produce independent stress results. PHM maps the correlation between them.
ParameterSourceValueSignal statusIntensity
Company Profile
Annual RevenueFY2025 Report€184MBaseline
Energy % of COGSCOGS breakdown8.4%P[0] Critical↑↑ High
Steel & Aluminium % COGS  ★Material breakdown22%P[4] Lag active↑ Elev.
Red Sea routing shareLogistics audit31%P[3] Rerouted↑↑ Crit.
Live Signal Environment · April 2026
Brent CrudeICE · Live$101.82+55% vs closure↑↑ Crit.
TTF Natural GasTTF · Live€47/MWh2.2× baseline↑ Elev.
Hormuz Day CountPHM auto-calcDay 45Cascade activeDay 56: −11d
ECB Deposit RateECB 17 Apr 20262.25%P[6] ActiveRepriced
02
Standard Model vs PHM Compound
Line-by-line COGS breakdown · P&L impact · Covenant analysis · Highest delta flagged
Click to expand
▼
PHM compound mechanism
The standard model stress tests each sector independently and sums the results. The BIS 2023 Working Paper on compound macro events documents why this approach systematically understates NPL risk: cross-sector correlation in compound events produces outcomes 1.8–2.6× worse than independent models. PHM applies the BIS correlation coefficient to the specific book structure and produces €28.2M in provision against the standard model's €16.4M. The €11.8M gap is not a conservative adjustment. It is the documented correlation factor applied to a specific book at a specific moment.
Line itemSource · BasisStandard modelPHM compoundDelta
COGS Impact · Full Year
Direct energy COGSTTF × intensity+€1.8M+€3.2M+€1.4M
Logistics COGSRate × volume+€1.1M+€4.1M+€3.0M
Steel input — June arrival  ★BASF 2022 lag model+€1.2M+€4.8M+€3.6M
Compound COGS totalPHM compound model+4.2%+9.7%+5.5pp
P&L Impact
EBITDA full yearP&L model€22.1M€13.1M−€9M
Net debt / EBITDA covenantLending agreement2.4×2.9×+0.5×
Forecast confidencePHM pattern match84%91% matchStrong
03
PHM Compound Model
Compound interaction coefficients · Scenario modelling · Function-specific preparation actions
Click to expand
▼
The compound interaction
Three scenarios share the compound signal environment. What changes is whether industrial and consumer stress resolves before the provision is realised, and whether institutional clients act on the compound read before the CFO brief.
ScenarioSignal assumptionCOGS impactEBITDACovenant
Three Scenarios · Same Signal Environment
Current trajectorySignal env. active€28.2M12.2% CET16 weeks
Escalation (Day 56+)IEA bypass exhaustion€34.1M11.8% CET1 ⚠3 weeks
Resolution (pre-Day 56)Hormuz normalises€22.4M13.1% CET18 weeks
04
Outside-In Read
OEM customer base · BMW/Stellantis mandate read · Pass-through analysis · Preparation window
Click to expand
▼
The outside-in read
Institutional clients — pension funds, sovereign wealth, family offices — are making Q2 allocation decisions against the same macro assumptions the IMF flagged as fragile this week. The CFO who briefs proactively with the compound read retains the allocation. The one who waits for Q3 to confirm it manages a redemption conversation instead. The preparation window is 6 weeks — not because the numbers change, but because the institutional allocation decision cycle runs on a 6-week lag from the macro signal to the reweighting meeting.
BIS Working Paper 2023 · Cross-sector correlation · Compound macro events
The BIS 2023 Working Paper on compound macro events documents cross-sector NPL correlation of 1.8–2.6× in historical compound events. PHM applied this coefficient to the 2022 European energy crisis lending book and produced compound provision estimates that were subsequently confirmed by Q4 2022 and Q1 2023 ECB SREP results. The mechanism was documented. The coefficient is published. The application to this specific book is PHM's contribution.
The Compound Question  ·  Europe  ·  Financial Services  ·  CFO
As energy, logistics, and steel input costs activate simultaneously from the same signal — and your board deck shows three separate risk flags with a combined independent COGS impact of +4.2% — does your model account for the compound mechanism that produces +9.7%, or will the steel lag arriving in June be the moment your board discovers that EBITDA guidance was €9M too high?
Preparation window 6 weeks  ·  Before Q2 credit review confirms the compound Run your compound diagnostic →
PHM Engine  ·  Apply this to your clients

The compound read for
your client's signal environment.

One session  ·  No demos  ·  A number at the end
Request discovery session →
What this is
Why it matters
How it is measured