Counterparty-Level Bank Exposure to Private Credit and Tail-Risk Bounds: Evidence from the February-April 2026 Gate Cascade

Empirical companion to the K-A-T monolith. Provides the first publicly available facility-level bilateral matrix linking individual private-credit lenders to individual G-SIB credit-line providers, hand-curated from EDGAR 10-K filings for thirteen U.S. BDCs. The matrix documents $40.7bn in committed credit lines (JPMorgan dominant primary arranger at $12.15bn). Scaled to $128bn in bank-side disclosures from April 2026 G-SIB Q1 earnings, the matrix anchors a disclosure-calibrated DFAST stress test recovering a 2.18 percentage-point CET1 drawdown at Wells Fargo in the catastrophic 40%-default scenario, breaching the Federal Reserve 2025 DFAST baseline by 0.58pp. The Feb 19-Apr 8 gate cascade is treated as a three-wave natural experiment. Treated alt managers accumulated CAR of -10.10% at day +35 vs +0.07% for low-exposure financials (difference -10.17pp, permutation p = 0.087). Apollo ADS event achieves p = 0.017 at [0,+10]; OCIC/OTIC event p = 0.034. Proposes a Contingent Private Credit Repo Facility (CPCRF) with specified haircut schedule (15% IG / 30% sub-IG), penalty rate (SOFR+100bps floor), and eligibility conditions.