{ "tool_id": "art-406-cross-venue-margin-estimator", "note": "golden_hash filled by golden-parity.test.mjs --update. Vector 1: 3-venue book, MPC off-exchange custody, leverage within program cap. Vector 2: 2-venue book, on-exchange isolated custody, leverage exceeds program cap. Vector 3: single-venue edge (no cross-venue benefit possible).", "vectors": [ { "name": "three_venue_within_cap", "description": "Bybit/Deribit/OKX book, $200,000 combined isolated margin, 35% cross-venue netting offset, 3x leverage against a 4x ClearLoop Loans cap, 8% APR financing over 30 days, MPC off-exchange custody.", "policy_parameters": { "venue_positions": [ { "venue": "bybit", "gross_notional_usd": 500000, "isolated_margin_requirement_usd": 100000 }, { "venue": "deribit", "gross_notional_usd": 300000, "isolated_margin_requirement_usd": 60000 }, { "venue": "okx", "gross_notional_usd": 200000, "isolated_margin_requirement_usd": 40000 } ], "cross_margin_offset_pct": 0.35, "leverage_multiple": 3, "leverage_program_cap_multiple": 4, "leverage_program_name": "ClearLoop Loans", "financing_apr_pct": 8, "financing_horizon_days": 30, "custody_model": "mpc_off_exchange_bankruptcy_remote", "constants_version": "2026-07-19.clearloop-falconx-v1" }, "output_payload": { "leverage_program_name": "ClearLoop Loans", "leverage_program_cap_multiple": 4, "leverage_multiple": 3, "custody_model": "mpc_off_exchange_bankruptcy_remote", "constants_version": "2026-07-19.clearloop-falconx-v1", "venue_count": 3, "venue_positions": [ { "venue": "bybit", "gross_notional_usd": 500000, "isolated_margin_requirement_usd": 100000 }, { "venue": "deribit", "gross_notional_usd": 300000, "isolated_margin_requirement_usd": 60000 }, { "venue": "okx", "gross_notional_usd": 200000, "isolated_margin_requirement_usd": 40000 } ], "sum_isolated_margin_usd": 200000, "cross_margin_offset_pct": 0.35, "cross_venue_margin_requirement_usd": 130000, "capital_freed_usd": 70000, "capital_efficiency_pct": 0.35, "financing_notional_usd": 1000000, "financed_amount_usd": 666666.67, "financing_apr_pct": 8, "financing_horizon_days": 30, "financing_cost_usd": 4383.56, "counterparty_risk_framing": "Assets held in MPC custody, off the trading venues, structured bankruptcy-remote from any single venue’s insolvency -- venue default risk is a trading-counterparty risk, not a custody/asset-loss risk.", "disambiguation": "Cross-venue crypto off-exchange settlement/margin (Copper ClearLoop / FalconX / Ceffu model) for a book spread across trading venues. Distinct from the TradFi treasury-clearing cluster (art-48..51), which addresses the US Treasury cash/repo clearing mandate and CME-FICC Combined Portfolio margining. This receipt attests our computation over the user’s declared positions and venue terms -- it does not verify those positions, and is not a margin call, a settlement instruction, or investment advice." }, "compliance_flags": [], "golden_hash": "3de70f39fc1239ac4ea0ec3a37e7b7279e02462a2268d2e07b95a011861f1e95" }, { "name": "leverage_exceeds_program_cap", "description": "Two-venue book at 6x leverage against a 5x FalconX Prime Connect cap -- leverage-exceeds-cap flag fires. On-exchange isolated custody.", "policy_parameters": { "venue_positions": [ { "venue": "bybit", "gross_notional_usd": 400000, "isolated_margin_requirement_usd": 80000 }, { "venue": "deribit", "gross_notional_usd": 400000, "isolated_margin_requirement_usd": 80000 } ], "cross_margin_offset_pct": 0.2, "leverage_multiple": 6, "leverage_program_cap_multiple": 5, "leverage_program_name": "FalconX Prime Connect", "financing_apr_pct": 10, "financing_horizon_days": 14, "custody_model": "on_exchange_isolated", "constants_version": "2026-07-19.clearloop-falconx-v1" }, "output_payload": { "leverage_program_name": "FalconX Prime Connect", "leverage_program_cap_multiple": 5, "leverage_multiple": 6, "custody_model": "on_exchange_isolated", "constants_version": "2026-07-19.clearloop-falconx-v1", "venue_count": 2, "venue_positions": [ { "venue": "bybit", "gross_notional_usd": 400000, "isolated_margin_requirement_usd": 80000 }, { "venue": "deribit", "gross_notional_usd": 400000, "isolated_margin_requirement_usd": 80000 } ], "sum_isolated_margin_usd": 160000, "cross_margin_offset_pct": 0.2, "cross_venue_margin_requirement_usd": 128000, "capital_freed_usd": 32000, "capital_efficiency_pct": 0.2, "financing_notional_usd": 800000, "financed_amount_usd": 666666.67, "financing_apr_pct": 10, "financing_horizon_days": 14, "financing_cost_usd": 2557.08, "counterparty_risk_framing": "Assets held on-exchange, isolated per venue -- a venue default or exchange-level failure exposes the assets posted to that venue directly; no cross-venue custody separation.", "disambiguation": "Cross-venue crypto off-exchange settlement/margin (Copper ClearLoop / FalconX / Ceffu model) for a book spread across trading venues. Distinct from the TradFi treasury-clearing cluster (art-48..51), which addresses the US Treasury cash/repo clearing mandate and CME-FICC Combined Portfolio margining. This receipt attests our computation over the user’s declared positions and venue terms -- it does not verify those positions, and is not a margin call, a settlement instruction, or investment advice." }, "compliance_flags": [ "XVM_LEVERAGE_EXCEEDS_PROGRAM_CAP" ], "golden_hash": "1146f0085a1b6dc8357893a9f0b57aa3f73ee9d081f648d6032000d0645d8fd6" }, { "name": "single_venue_no_cross_margin_benefit", "description": "One-venue book -- cross-venue netting has no second venue to net against, so the single-venue-no-benefit flag fires even though the arithmetic still runs.", "policy_parameters": { "venue_positions": [ { "venue": "bybit", "gross_notional_usd": 100000, "isolated_margin_requirement_usd": 20000 } ], "cross_margin_offset_pct": 0.3, "leverage_multiple": 2, "leverage_program_cap_multiple": 4, "leverage_program_name": "ClearLoop Loans", "financing_apr_pct": 5, "financing_horizon_days": 7, "custody_model": "mpc_off_exchange_bankruptcy_remote", "constants_version": "2026-07-19.clearloop-falconx-v1" }, "output_payload": { "leverage_program_name": "ClearLoop Loans", "leverage_program_cap_multiple": 4, "leverage_multiple": 2, "custody_model": "mpc_off_exchange_bankruptcy_remote", "constants_version": "2026-07-19.clearloop-falconx-v1", "venue_count": 1, "venue_positions": [ { "venue": "bybit", "gross_notional_usd": 100000, "isolated_margin_requirement_usd": 20000 } ], "sum_isolated_margin_usd": 20000, "cross_margin_offset_pct": 0.3, "cross_venue_margin_requirement_usd": 14000, "capital_freed_usd": 6000, "capital_efficiency_pct": 0.3, "financing_notional_usd": 100000, "financed_amount_usd": 50000, "financing_apr_pct": 5, "financing_horizon_days": 7, "financing_cost_usd": 47.95, "counterparty_risk_framing": "Assets held in MPC custody, off the trading venues, structured bankruptcy-remote from any single venue’s insolvency -- venue default risk is a trading-counterparty risk, not a custody/asset-loss risk.", "disambiguation": "Cross-venue crypto off-exchange settlement/margin (Copper ClearLoop / FalconX / Ceffu model) for a book spread across trading venues. Distinct from the TradFi treasury-clearing cluster (art-48..51), which addresses the US Treasury cash/repo clearing mandate and CME-FICC Combined Portfolio margining. This receipt attests our computation over the user’s declared positions and venue terms -- it does not verify those positions, and is not a margin call, a settlement instruction, or investment advice." }, "compliance_flags": [ "XVM_SINGLE_VENUE_NO_CROSS_MARGIN_BENEFIT" ], "golden_hash": "317e18db729273c1e724039a2ef101e14dd9f6db7051d32293750bb2ffeaca1a" } ] }