Underwriting and Policy Guardrails

Dimension

Lower Bound

Upper Bound

Rationale / Notes

Gross leverage (per sleeve)

–

≤ 1.5×

Delta‑neutral construction; margin‑conservative usage.

Net leverage / BTC delta

Target 0

Immaterial tolerance only

Price direction not a source of return; continuous hedge.

Borrow LTV (spot legs)

≤ 50% target

≤ 60% hard; 55% soft

Buffers well inside venue triggers; auto‑deleveraging.

Per‑venue exposure

–

≤ 15% of venue OI

Controls venue/exit/liquidity and ADL risk.

Single‑counterparty notional

–

≤ 25% of sleeve

Diversifies counterparty/venue exposure.

Deployable spread floor (net)

> 2%

Pause if <2% ~48h

Rotate to cash‑equivalents; protects downside.

Rehypothecation

Prohibited

Margin‑only

Assets otherwise segregated under control agreements.

Custody & movement

Dual‑control

Approved thresholds

Whitelisted wallets; large‑transfer alerts.

Reporting cadence

Daily + live

–

Positions/legs, borrow ladder, margin headroom, P&L attribution.

Kill‑switch authority

Operator + Risk

Auto‑triggers

LTV breach, venue outage, model exceptions.

Breaches trigger automated draw‑stops and/or liquidations plus off‑chain remedies.