Threshold Configuration Reference
All thresholds described in this section are configurable by the operations team. The values below are the recommended Phase 1 defaults. They should be reviewed and adjusted as the protocol's liquidity depth, corridor mix, and real-world volatility patterns become better understood through live operation.
Reserve Pool Capacity
| Parameter | Default Value | Description | Adjustment Guidance |
|---|---|---|---|
| Reserve Pool Max Capacity | $5,000,000 USD | Maximum total TVL of the Reserve Pool | Increase as LP capital grows and external rebalancing infrastructure matures |
| Reserve Pool Min Liquidity | 80% ($4,000,000) | Minimum USDT balance required in Reserve. Below this triggers Active Pool support request. | Should not be reduced below 70% without ops review |
Gross Exposure Thresholds
| Parameter | Default Value | Description | Adjustment Guidance |
|---|---|---|---|
| Gross Exposure Warning | 70% of capacity ($3.5M) | First warning trigger for total inventory exposure | Tighten if external RFQ execution speed is slow in your market |
| Gross Exposure Breach | 90% of capacity ($4.5M) | Emergency trigger for total inventory exposure | Should not exceed 95% under any configuration |
VaR Thresholds
| Parameter | Default Value | Description | Adjustment Guidance |
|---|---|---|---|
| VaR Warning | 5% of Reserve Capital | First warning trigger for portfolio VaR as % of capital | Tighten for EM-heavy corridor mix; loosen for G10-heavy mix |
| VaR Breach | 10% of Reserve Capital | Emergency trigger for portfolio VaR as % of capital | Minimum recommended: 8%. Maximum recommended: 15%. |
| VaR Confidence Level | 95% (multiplier 1.645) | Statistical confidence level for VaR calculation | Use 99% (2.326) for stress-test scenario reporting |
| Diversification Discount | 15% | Portfolio correlation reduction applied to aggregated corridor VaRs | Reduce to 10% if corridors show higher correlation during stress |
Concentration & Drawdown Thresholds
| Parameter | Default Value | Description | Adjustment Guidance |
|---|---|---|---|
| Concentration Warning | 50% in one corridor | First warning for single-corridor concentration | Reduce as number of corridors increases |
| Concentration Breach | 60% in one corridor | Emergency trigger for single-corridor concentration | Keep below 65% during Phase 1 single-corridor operations |
| Drawdown Warning | 2% of Reserve Capital | First warning for unrealised loss | Tighten during high volatility periods via manual override |
| Drawdown Breach | 5% of Reserve Capital | Emergency trigger for unrealised loss | Do not exceed 7% under any configuration |
Emergency RFQ Parameters
| Parameter | Default Value | Description | Adjustment Guidance |
|---|---|---|---|
| Emergency Tolerance — Attempt 1 | WAOP minus 50 bps | Initial price floor for emergency RFQ | Tighten for liquid corridors; widen for EM corridors |
| Emergency Tolerance — Attempt 2 | WAOP minus 100 bps | Widened floor after first retry failure | Should always be wider than Attempt 1 by at least 30 bps |
| Emergency Tolerance — Attempt 3 | WAOP minus 200 bps | Final floor before HALT escalation | Should represent the maximum acceptable rebalancing loss per unit |
| Emergency RFQ Timeout | 60 seconds | Per-attempt timeout for emergency RFQ responses | Do not exceed 120 seconds for EM corridors |