Counterfoil · research desk
internal · public read
Risk policy · deskwide, live
public, allocator-grade

The risk parameters that drive the book, consolidated.

Six panels an allocator reconciles first — VaR budget, per-strategy position-size bands, leverage ceiling, drawdown limits, key-person / continuity policy, and high-water-mark mechanics — sourced from the same static mandate modules the per-strategy pages, /risk-metrics, and the whitepaper PDF risk section read. The figures here therefore reconcile byte-for-byte with whichever surface an allocator opens first.

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What this page lists

  • VaR budget — 95% 1-day, plus the trailing-window NaN reduction.
  • Per-strategy position-size bands — gross & net per sleeve.
  • Leverage ceiling — non-stable 2.5x, stable 3.0x, with per-sleeve cap.
  • Drawdown limits — 8% desk-wide cap, per-sleeve slot inside.
  • Key-person / continuity policy — mandate + attestation + reconciliation + handover.
  • High-water-mark mechanics — 10% performance above per-account HWM.

VaR budget · per-sleeve bands · leverage ceiling · drawdown limits · key-person · high-water-mark.

Cross-sleeve risk budget

All four sleeves draw from a single shared risk budget. A breach in one sleeve consumes headroom from every other sleeve — position sizing auto-tightens across the book, not just on the next trade.

Parameters

Six panels, four on this surface.

The first four panels render below — VaR budget, per-strategy position-size bands, leverage ceiling, and drawdown limits. The remaining two — key-person policy and high-water-mark mechanics — render below the table with their own editorial layout.

VaR budget

One published budget for the worst-day allowance.
Historical VaR, computed once per close, compared against the published budget so an allocator sees the loss magnitude AND the headroom.

Budget

3.0%

Confidence · Horizon

Confidence

95%

1-day

Computed across

90d

Historical VaR, computed once per close, compared against the published budget so an allocator sees the loss magnitude AND the headroom.

Definition

The fifth-percentile loss of the desk's distribution of one-day returns across the trailing 90 daily-return observations — i.e. the loss magnitude that historical data suggests we would not exceed on 95% of days.

  • Computed at the 16:00 UTC reconciliation, before the daily memo ships.
  • Compared to the budget on /risk-metrics so the running figure and the published cap live side by side.
  • Recomputed on every sleeve — not just the desk composite — so a single sleeve breach is visible before it consumes shared headroom.
  • An allocator can re-derive the figure from the trailing-90-day return distribution published in /api/pnl/series without trusting the desk's narrative.

Position-size bands

Per-sleeve gross and net bands, published, not negotiated.
Four rows, one per sleeve. The GROSS and NET columns are read from the same strategy modules the per-strategy mandate pages render, so the figures here match the cadence table on /methodology and the bands card on each per-strategy page byte-for-byte.
SleeveGross · NAV ×Net · NAV ×CadenceRebalance schedule
btc-long-shortBTC long-short basis
1.2–1.8×-0.2–0.6×Twice-daily inventory pass00:30 and 12:30 UTC, plus an intraday risk pass whenever realised 1-day VaR breaches 60% of the single-trade cap or any sleeve approaches 60% of its drawdown slot.
eth-long-shortETH long-short basis
1.2–1.8×0.0–0.4×Twice-daily inventory pass00:30 and 12:30 UTC, plus an intraday risk pass whenever realised 1-day VaR breaches 60% of the single-trade cap or the alt-L1 sleeve approaches 60% of its drawdown slot.
solSOL momentum + carry
1.0–1.5×-0.3–0.5×Daily inventory pass00:30 UTC, plus an intraday risk pass whenever realised 1-day VaR breaches 60% of the single-trade cap or the high-beta sleeve approaches 60% of its drawdown slot.
stablecoin-yieldStable & basis basket
2.0–3.0×-0.1–0.1×Twice-daily inventory pass00:30 and 12:30 UTC, plus an intraday risk pass whenever realised 1-day VaR breaches 60% of the single-trade cap or the basis basket approaches 60% of its drawdown slot.

All four sleeves share the 00:30 / 12:30 UTC published rebalance window (SOL runs 00:30 UTC daily). The intraday risk pass trips when realised 1-day VaR breaches 60% of any single-trade cap, OR any sleeve approaches 60% of its drawdown slot.

Leverage ceiling

Two ceilings, one for non-stable exposure and one for the stable & basis basket.
Published in NAV multiples and computed as grossUsd ÷ NAV. The panel below renders the desk ceiling plus the per-sleeve cap it must operate inside.

Non-stable ceiling

2.5×

BTC + ETH + SOL combined

Stable & basis ceiling

3.0×

USDC + USDT + DAI + perp carry + basis basket

Definition

Gross NAV multiple = grossUsd ÷ NAV. The desk's published ceiling is binding on gross, not net — net directional exposure sits inside the published gross band for each sleeve.

Per-sleeve leverage caps

SleeveLeverage cap · NAV ×Note
btc-long-shortBTC long-short basis
2.0×Bound to the BTC sleeve's gross band (1.2x – 1.8x).
eth-long-shortETH long-short basis
2.0×Bound to the ETH sleeve's gross band (1.2x – 1.8x).
solSOL momentum + carry
2.0×Bound to the SOL sleeve's gross band (1.0x – 1.5x); high-beta sleeve so tighter gross ceiling.
stablecoin-yieldStable & basis basket
3.0×Bound to the wider stable & basis band (2.0x – 3.0x); the desk ceiling matches the sleeve ceiling.

Drawdown limits

A desk-wide cap, plus a slot inside that cap per sleeve.
The per-sleeve slot is the published number the desk operates inside; the desk cap is what the shared risk budget is sized against. Position sizing auto-tightens across the book the moment any sleeve approaches its slot.

Desk-wide drawdown cap

8.0%

8.0% of NAV · hard circuit-breaker

Definition

Cumulative drawdown, measured NAV-on-NAV. The desk-wide cap is a circuit-breaker — a sleeve approaching its slot auto-tightens every other sleeve inside the shared budget.

Per-sleeve drawdown slots

SleeveDrawdown cap · cumulativeAuto-tighten trigger
btc-long-shortBTC long-short basis
8%60% of slot consumed → tighten
eth-long-shortETH long-short basis
6%60% of slot consumed → tighten
solSOL momentum + carry
9%60% of slot consumed → tighten
stablecoin-yieldStable & basis basket
2%60% of slot consumed → tighten

All four sleeves sit inside the 8% desk-wide cap; each consumes its own slot of the shared budget. The instant any sleeve's running drawdown crosses 60% of its slot, position sizing tightens across the book — not just on the next trade in that sleeve.

Key-person / continuity

Discipline enforced by the mandate, not by any single operator.

The desk has no discretionary override. Every agent operates on a signed mandate — a fixed leverage ceiling, drawdown cap, position limit, venue set, and per-sleeve rebalance cadence — and an independent auditor reconciles agent actions against that mandate at every close.

01 · Mandate

Signed mandate, fixed parameters
Every agent holds a signed mandate that fixes the per-sleeve gross / net band, drawdown cap, leverage ceiling, single-trade VaR, and venue set — none of these are negotiable per trade.

02 · Attestation

Independent attestation cadence
A Big-4 firm refreshes an engagement-agreement-level attestation over the desk's internal controls; an independent auditor reconciles agent actions against the signed mandate at every close.

03 · Reconciliation

Daily 16:00 UTC reconciliation
Each close the desk publishes a signed treasury report that reconciles agent positions, custodian balances, and on-chain balances at 16:00 UTC — the published figures reconcile independently without asking the desk to vouch for itself.

04 · Continuity

Continuity handover, named portfolio manager
The portfolio manager is named on /about and the signed mandate. A second named principal holds the continuity mandate — a parallel signed copy with the same fixed parameters, swapped in on a pre-published trigger so trading discipline is never the property of one operator.

High-water-mark mechanics

Performance fee applies only above a per-account high-water mark.

The 10% performance fee is sized off net gains, not off AUM. A per-account high-water mark means a losing streak resets the fee baseline before any new performance fee can crystallise, so allocators never pay a performance fee on a drawdown's recovery.

Formula

Performance fee = 10% × max(0, NAVtoday − HWMaccount)

Performance fee

10% on net gains above a $20,000 per-account high-water mark.

Management fee

1% per annum on AUM, crystallised monthly in the 16:00 UTC cycle.

Crystallisation

Management fees crystallise monthly; performance fees crystallise daily on the same 16:00 UTC reconciliation cycle that settles holdings and custody balances.

Worked example

An account starts at a $100,000 high-water mark, falls to $85,000 (drawdown), then recovers to $95,000 — the performance fee is $0 because NAVtoday ($95,000) is below HWM ($100,000). The fee only crystallises again once NAVtoday exceeds $100,000.

Read this alongside

Counterfoil Whitepaper →Methodology →Risk metrics (live readout) →Allocator diligence FAQ →

Speak with the desk

Read the same numbers in the whitepaper PDF.

The risk section of the Counterfoil Whitepaper reproduces the same VaR budget, leverage ceiling, drawdown caps, single-trade VaRs, and key-person pillars — sourced from the same static mandate modules, so the figures in the PDF and the figures on this page reconcile byte-for-byte by construction.

Download the whitepaper PDFSee live risk metrics →

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