{ "provenance": { "source": "undertow_mm board engine v0.1", "generated_at": "2026-08-12T14:04:10+00:00", "freshness": { "publication": { "generated_at": "2026-08-12T14:04:10+00:00", "clock": "UTC", "freshness_claim": "timestamp_only", "note": "publisher clock only; it does not assert that upstream inputs are current" }, "upstream_inputs": { "oldest_measure_asof": "2026-05-31", "newest_measure_asof": "2026-08-12", "n_measures_with_asof": 112, "n_measures_total": 112, "coverage": "complete", "freshness_claim": "observation_dates_only", "note": "dates declared by rendered readings; no age threshold or current/fresh verdict is inferred" } }, "packs_sha256": { "auctions.json": "17c9cd0cb940631dcbcf3abcbc37e995e76008ee111fe50cfa44493e028be8d1", "backstop_telemetry.jsonl": "fc6436622748389da415ad4b7e50dc805dd89ec4f1edac30d01b15e946b45037", "bstocks.jsonl": "e0f49dbec4aa5b6b393e547018b7cf2c408fae888ce427c9b5085c77a66de1c0", "china.json": "7f02542d3671f598d30021fee59db212218a182baf128a46cdf782cff7fbd4d3", "crypto_depth.jsonl": "cbd5b59a10b15de9a597918df15726da8eb257ac39d8383623b160d5f00ec863", "derivs_telemetry.jsonl": "35a94c6ffe99875491123ecba6422d5f10f0aa941e4055dc756fb4ba67735f99", "equity_liquidity.json": "8e19a998c5859d44ef0d84f3b6b1e0a7cba2e50808f530628f04324771e2d726", "fredmkt.json": "d12c6329a60a82bd73a59f628019785be762652df9b0e4b6088cae28d561ae05", "hkma_cnh.json": "cdf598f8604b5a00d9a0993fb310bef97a17b9dd0176fcf475807a6331657623", "nyfed_pd.json": "38181c5d4d3662068d9a51fbc7f824e223577e99cba21ce65b653182c2c74291", "options_watch.jsonl": "408ac594e26c9c31c45d21e8ba99fc826086a897a488c3ff1ac64b6ba5213cdc", "portwatch.json": "6edd4957f805ac38b0a7542449b0c7ba938416a04e5a3f322e99198187f454cb", "seiche.json": "f9d825725b4392267d9737866705ad3b168a2b3d01a88c532f9ae6a67506d4f6", "ust_auction_impact.json": "cc2ee6775c92a923763c2349ff1400e895f26c9dba013672cf2ec365666a7aa0", "venue_divergence.jsonl": "70185000200c6f2f439c7c7ee5fb509b20c41f9441c0fe5f32a936ae8bb65bcc", "yiwu.json": "c0c7da74bfa841da356b2c2845558980a409006be184531764f50d83a667da35", "replay_coverage.json": "c9d7b80f0a452dc85294b2524d7af611a33dc07a36be0f48ca65ee24975650e0", "sar_backbone.json": "b85b251868ddd875850d43a795d0a355b528ecae79f5d1978e068004fcba5a20", "sar_crypto.json": "c2802c2910649a62d64ae0734b203c569dc27a0843a89595d9998b87d752d409", "crowding.json": "34dae39857f7e2874022f2b16cffd47158b94b8a967e1bc4ddcadfcd91d3d930", "states_demo.json": "347d45ce137994cfee8902befb65e5e09abf5169bf195bcb9ed0e880fcb5e91d", "guarantees_demo.json": "c5a33cf2d8852c9303d7677fffa6581160a51c29d73b0473211c85ae307b5ae8", "guarantees.json": "8e4358355bfb81aa57aef746d5cb4904ecc4b2c6d122105376b78e0c0724ce46", "exit_cost.json": "cefc2f09d04fbe87cc2a1fdf1f502dc14f6496674aeb2cff2df62ce690e7c5a1", "crypto_desk.json": "fb884f9e4e3c37b1beaa7444fa2b8a8241c3f50e901641837320a267aaae4782", "strategy.json": "9269399b4bef548a2758e60eee9a2dd14be38360aa51ad35a8066d5fdb97470c", "fetch.json": "35b93cac66402c412ee24e91f0222330f4d8c2899dd0f4311075f901c586aa26", "sealed_calls.json": "610f6621b3028442e35196ff17dbadadc7bd6d649e75fdbef21adc0156c05051", "quantum_watch.json": "dfa66d9b0a6d3bc41ec1fa0a1171305219ca6993ccf8a156dd9fd57bb71a0af6" }, "input_health": { "packs": { "china.json": { "declared_faults": [ "vantage_cnh_hibor: RuntimeError: vantage cnh-hibor-history.jsonl: unreachable via primary+mirror: HTTP Error 404: Not Found", "vantage_yiwu: RuntimeError: vantage yiwu-history.jsonl: unreachable via primary+mirror: HTTP Error 404: Not Found" ], "n_declared_faults": 2, "empty_series": [ "CNH_HIBOR_1W", "CNH_HIBOR_ON", "CONNECT_NB", "FWD_WEDGE_1Y", "YIWU_PRICE", "YIWU_PROSPERITY" ], "n_empty_series": 6 } }, "n_packs_with_findings": 1, "note": "what each pack STATES about itself: sources it recorded as failed, series it carries but never filled, and packs older than their cadence. Separate from process health on purpose \u2014 a collector can succeed perfectly at fetching nothing, which is how six empty China series sat under an all-green ledger. Silence here means a pack declared nothing, which is not the same as 'this data is good'." }, "board_content_sha256": "53a8390028445e5f9b9b778ea5ba8c8f57ed9c2a726ac82233d6f15e61944f42", "board_sha256_scope": "canonical JSON of the undertow.board.v1 board (including its top-level schema) plus packs_sha256, excluding volatile provenance (generated_at); each pack hash is canonical JSON with clock-only keys stripped, so a rebuild that changed nothing but a timestamp attests identically", "pit": { "ledgered": true, "record_hash": "418a0b51e234e51206ca3613effcd418d3feb274b06b344b649b38d9ae1f880a", "key": "2026-08-12.rev16", "revision": 16, "publication": "data/board/2026-08-12/manifest.rev16.json", "supersedes_sha256": "1c6ab4eadb2153c1e697f0ddfd1fcf992e10166fcc86070ade259fc700bbe093", "note": "same-day revision 16: NOT the original point-in-time record for 2026-08-12 \u2014 the original publication is preserved unchanged (AF/1.0 \u00a74)" }, "inventory": [ "complex_totals.json", "fund_concentration_complex.json" ] }, "schema": "undertow.board.v1", "asof": "2026-08-12", "policy": { "min_scored_measures": 2, "min_obs": 60, "min_span_days": 21, "gate": "a measure emits stress_pctl iff n >= 60 AND span >= 21d over the SAME series the percentile ranks; the count leg alone is gameable by denser sampling (wave2 \u00a7W3.7)", "span_enforcement": "span_days is mandatory for score eligibility. Producers that omit it remain visible but are withheld and counted per cell as n_span_unverified; missing evidence never passes by trust", "tiers": "mean stress_pctl of qualifying measures: >=0.90 DEFICIENT, >=0.75 STRAINED, <=0.10 SURPLUS, else NORMAL; <2 qualifying measures -> PARTIAL; none -> UNAVAILABLE", "funding": "overlay only, never blended into segment scores (v0.1); regime from composite of scored measures, else from a unanimous regime= verdict declared by unscored measures", "validation_replays": "ENFORCED: a candidate scored tier is published only when its segment has at least one PASSING pre-registered replay and no FAILED negative control. Missing, future-dated, malformed, or failing evidence downgrades the cell to PARTIAL; candidate_tier/candidate_score remain audit-only. This build's replay evidence status: VERIFIED.", "replay_mode": "enforce" }, "segments": { "UST": { "tier": "PARTIAL", "score": null, "measures_disagree": true, "tier_margin": { "nearest_boundary": 0.75, "margin": 0.2018 }, "n_measures": 19, "n_qualifying": 6, "measures": [ { "measure": "2s10s slope (DGS10-DGS2)", "stress_pctl": null, "obs": 12544, "asof": "2026-08-10", "span_days": 18332.0, "limits": "informational: slope +0.47pp, more inverted than 62.7% of daily history since 1976-06-01. stress_pctl withheld because curve inversion is a macro/recession signal, not a market-liquidity stress measure \u2014 an inverted curve can coexist with orderly Treasury liquidity, so mapping it onto the 0-1 stress scale would fabricate a liquidity claim." }, { "measure": "UST auction concession (10Y curve point)", "stress_pctl": null, "obs": 100, "asof": "2026-07-30", "span_days": 2143.0, "limits": "last 8 auctions mean raw window change 7.625bp vs 100 rolling windows since 2020-09-09 (drift-adjusted mean over the full sample: 0.7474bp, unscored); higher = the curve point's yield rose more over trading days [-5,-1] before its auctions = the stress direction, so NOT inverted. component stress_pctl withheld (subscriber tier) is carried by the scored (blended) row \u2014 unscored here to avoid multiply-counting one event family in the segment mean" } ], "n_span_unverified": 0, "validation_replay": { "status": "VERIFIED", "score_eligible": false, "clause2_satisfied": false, "failed_controls": [ "calm_2017_ust_control" ], "n_registered": 3, "n_runnable": 3, "n_passed": 2, "n_failed": 1 }, "candidate_tier": "NORMAL", "candidate_score": 0.5482, "score_withheld_reason": "candidate score failed the mandatory replay gate: requires at least one passing pre-registered replay and no failed negative control; replay evidence status=VERIFIED", "measure_limits": [ { "measure": "2s10s slope (DGS10-DGS2)", "limits": "informational: slope +0.47pp, more inverted than 62.7% of daily history since 1976-06-01. stress_pctl withheld because curve inversion is a macro/recession signal, not a market-liquidity stress measure \u2014 an inverted curve can coexist with orderly Treasury liquidity, so mapping it onto the 0-1 stress scale would fabricate a liquidity claim." }, { "measure": "UST auction concession (10Y curve point)", "limits": "last 8 auctions mean raw window change 7.625bp vs 100 rolling windows since 2020-09-09 (drift-adjusted mean over the full sample: 0.7474bp, unscored); higher = the curve point's yield rose more over trading days [-5,-1] before its auctions = the stress direction, so NOT inverted. component stress_pctl withheld (subscriber tier) is carried by the scored (blended) row \u2014 unscored here to avoid multiply-counting one event family in the segment mean" }, { "measure": "UST auction concession (2Y curve point)", "limits": "last 8 auctions mean raw window change 6.25bp vs 138 rolling windows since 2020-08-25 (drift-adjusted mean over the full sample: -0.1126bp, unscored); higher = the curve point's yield rose more over trading days [-5,-1] before its auctions = the stress direction, so NOT inverted. component stress_pctl withheld (subscriber tier) is carried by the scored (blended) row \u2014 unscored here to avoid multiply-counting one event family in the segment mean" }, { "measure": "UST auction concession (3M curve point)", "limits": "last 8 auctions mean raw window change 0.5bp vs 305 rolling windows since 2020-08-17 (drift-adjusted mean over the full sample: -0.2047bp, unscored); higher = the curve point's yield rose more over trading days [-5,-1] before its auctions = the stress direction, so NOT inverted. component stress_pctl withheld (subscriber tier) is carried by the scored (blended) row \u2014 unscored here to avoid multiply-counting one event family in the segment mean" }, { "measure": "UST auction concession (blended curve points)", "limits": "higher = the curve point's yield rose more over trading days [-5,-1] before its auctions = the stress direction, so NOT inverted. Drift-adjusted concession per curve point, unscored, for the reader to weigh this percentile against: 10Y=0.7474bp, 2Y=-0.1126bp, 3M=-0.2047bp \u2014 these are full-sample means and the percentile above does not reflect them." }, { "measure": "UST auction concession (uncovered tenors)", "limits": "2049 auctions across 54 security terms (5Y/7Y/20Y/30Y and the off-tenor bills) have no constant-maturity series at their tenor \u2014 declared absent, never measured against a borrowed curve point" }, { "measure": "UST auction concession, drift-adjusted (10Y)", "limits": "Level statement, unscored by design \u2014 a level in bp is not a percentile and must not be aggregated as one." }, { "measure": "UST auction concession, drift-adjusted (2Y)", "limits": "Level statement, unscored by design \u2014 a level in bp is not a percentile and must not be aggregated as one." }, { "measure": "UST auction concession, drift-adjusted (3M)", "limits": "Level statement, unscored by design \u2014 a level in bp is not a percentile and must not be aggregated as one." }, { "measure": "auction bid-to-cover weakness (bills)", "limits": "low bid-to-cover = weak demand = stress; percentile INVERTED so 1.0 = weakest cover; component stress_pctl withheld (subscriber tier) is carried by the scored (blended) row \u2014 unscored here to avoid double-counting in the segment mean" }, { "measure": "auction bid-to-cover weakness (blended)", "limits": "low bid-to-cover = weak demand = stress; percentile INVERTED so 1.0 = weakest cover" }, { "measure": "auction bid-to-cover weakness (notes_bonds)", "limits": "low bid-to-cover = weak demand = stress; percentile INVERTED so 1.0 = weakest cover; component stress_pctl withheld (subscriber tier) is carried by the scored (blended) row \u2014 unscored here to avoid double-counting in the segment mean" }, { "measure": "dealer UST bills net positions (congestion)", "limits": "high net dealer inventory = balance-sheet congestion = least capacity to absorb customer selling = stress; high = stress, no inversion; levels spliced across NY Fed series breaks", "caveat": "level percentile vs an expanding own history since 2013: dealer balance sheets grew structurally over that period, so this percentile carries a trend as well as a stress signal. The pre-registered Q2-2017 calm control FAILS on this measure family \u2014 published, not retuned (replay ledger; prereg BAR 7a records the rejected fix)." }, { "measure": "dealer UST coupon net positions (congestion)", "limits": "high net dealer inventory = balance-sheet congestion = least capacity to absorb customer selling = stress; high = stress, no inversion; levels spliced across NY Fed series breaks", "caveat": "level percentile vs an expanding own history since 2013: dealer balance sheets grew structurally over that period, so this percentile carries a trend as well as a stress signal. The pre-registered Q2-2017 calm control FAILS on this measure family \u2014 published, not retuned (replay ledger; prereg BAR 7a records the rejected fix)." }, { "measure": "dealer UST net positions (congestion)", "limits": "high net dealer inventory = balance-sheet congestion = least capacity to absorb customer selling = stress; high = stress, no inversion; levels spliced across NY Fed series breaks; own-history stress_pctl withheld (subscriber tier) (informational only): derived aggregate: total = bills + coupons by identity and both components are scored \u2014 unscored to avoid double-counting in the segment mean" }, { "measure": "dealer UST settlement fails (FTD+FTR)", "limits": "high = stress, no inversion; levels spliced across NY Fed series breaks", "caveat": "level percentile vs an expanding own history since 2013: dealer balance sheets grew structurally over that period, so this percentile carries a trend as well as a stress signal. The pre-registered Q2-2017 calm control FAILS on this measure family \u2014 published, not retuned (replay ledger; prereg BAR 7a records the rejected fix)." }, { "measure": "primary dealer takedown share (bills)", "limits": "high dealer share = dealers forced to absorb = weak demand = stress; component stress_pctl withheld (subscriber tier) is carried by the scored (blended) row \u2014 unscored here to avoid double-counting in the segment mean" }, { "measure": "primary dealer takedown share (blended)", "limits": "high dealer share = dealers forced to absorb = weak demand = stress" }, { "measure": "primary dealer takedown share (notes_bonds)", "limits": "high dealer share = dealers forced to absorb = weak demand = stress; component stress_pctl withheld (subscriber tier) is carried by the scored (blended) row \u2014 unscored here to avoid double-counting in the segment mean" } ], "span_withheld_fields": [ "score_lo", "score_hi", "dispersion", "dispersion_note" ], "span_withheld_note": "withheld: score_lo, score_hi, dispersion, dispersion_note and mean_pctl are the min, max, range and mean of the QUALIFYING measures' stress percentiles. Not every qualifying row of this cell is in the free view, so the span would hand over a trimmed row's percentile with no row attached, which is the number the register's prose withholds. The tier, the score, measures_disagree and the true counts ride free unchanged, and the span rides free whole on any cell whose qualifying measures are all in the free view." }, "IG": { "tier": "NORMAL", "score": 0.3682, "measures_disagree": true, "tier_margin": { "nearest_boundary": 0.1, "margin": 0.2682 }, "n_measures": 3, "n_qualifying": 3, "measures": [ { "measure": "IG OAS (BAMLC0A0CM)", "stress_pctl": 0.155, "obs": 784, "asof": "2026-08-10", "span_days": 1092.0, "limits": "wider investment-grade spread = costlier credit liquidity = more stress. CAVEAT: FRED caps keyless ICE BofA downloads to a trailing ~3y window, so this percentile omits earlier crisis regimes (2008, 2020) and understates rarity in calm tapes." }, { "measure": "dealer corporate net positions (congestion)", "obs": 696, "asof": "2026-07-29", "span_days": 4865.0, "caveat": "level percentile vs an expanding own history since 2013: dealer balance sheets grew structurally over that period, so this percentile carries a trend as well as a stress signal. The pre-registered Q2-2017 calm control FAILS on this measure family \u2014 published, not retuned (replay ledger; prereg BAR 7a records the rejected fix).", "limits": "PROXY for IG \u2014 NY Fed corporate-securities series spans the whole corporate credit complex (CP + IG + below-IG bonds), not IG alone; only consistent-history corporate series available; high net dealer inventory = balance-sheet congestion = least capacity to absorb customer selling = stress; high = stress, no inversion; levels spliced across NY Fed series breaks", "stress_pctl_withheld": true, "stress_pctl_withheld_note": "withheld: the numeric stress_pctl of this row, and of this row only. The cell score is the MEAN of its n_qualifying rows, so with exactly one qualifying row behind the free trim, score x n_qualifying minus the free percentiles is that trimmed row's percentile exactly, and the free register names it. Withholding one free qualifying percentile leaves two unknowns in that equation instead of one. This row keeps its name, its limits and its caveat; the cell keeps its tier, its score and its true counts. The percentile is Agent/Desk tier, the same tier it is on any trimmed row." } ], "n_span_unverified": 0, "validation_replay": { "status": "VERIFIED", "score_eligible": true, "clause2_satisfied": true, "failed_controls": [], "n_registered": 2, "n_runnable": 2, "n_passed": 2, "n_failed": 0 }, "measure_limits": [ { "measure": "IG OAS (BAMLC0A0CM)", "limits": "wider investment-grade spread = costlier credit liquidity = more stress. CAVEAT: FRED caps keyless ICE BofA downloads to a trailing ~3y window, so this percentile omits earlier crisis regimes (2008, 2020) and understates rarity in calm tapes." }, { "measure": "dealer corporate net positions (congestion)", "limits": "PROXY for IG \u2014 NY Fed corporate-securities series spans the whole corporate credit complex (CP + IG + below-IG bonds), not IG alone; only consistent-history corporate series available; high net dealer inventory = balance-sheet congestion = least capacity to absorb customer selling = stress; high = stress, no inversion; levels spliced across NY Fed series breaks", "caveat": "level percentile vs an expanding own history since 2013: dealer balance sheets grew structurally over that period, so this percentile carries a trend as well as a stress signal. The pre-registered Q2-2017 calm control FAILS on this measure family \u2014 published, not retuned (replay ledger; prereg BAR 7a records the rejected fix).", "stress_pctl_withheld": true, "stress_pctl_withheld_note": "withheld: the numeric stress_pctl of this row, and of this row only. The cell score is the MEAN of its n_qualifying rows, so with exactly one qualifying row behind the free trim, score x n_qualifying minus the free percentiles is that trimmed row's percentile exactly, and the free register names it. Withholding one free qualifying percentile leaves two unknowns in that equation instead of one. This row keeps its name, its limits and its caveat; the cell keeps its tier, its score and its true counts. The percentile is Agent/Desk tier, the same tier it is on any trimmed row." }, { "measure": "dealer corporate settlement fails (FTD+FTR)", "limits": "PROXY for IG \u2014 NY Fed corporate-securities series spans the whole corporate credit complex (CP + IG + below-IG bonds), not IG alone; only consistent-history corporate series available; high = stress, no inversion; levels spliced across NY Fed series breaks", "caveat": "level percentile vs an expanding own history since 2013: dealer balance sheets grew structurally over that period, so this percentile carries a trend as well as a stress signal. The pre-registered Q2-2017 calm control FAILS on this measure family \u2014 published, not retuned (replay ledger; prereg BAR 7a records the rejected fix)." } ], "span_withheld_fields": [ "score_lo", "score_hi", "dispersion", "dispersion_note" ], "span_withheld_note": "withheld: score_lo, score_hi, dispersion, dispersion_note and mean_pctl are the min, max, range and mean of the QUALIFYING measures' stress percentiles. Not every qualifying row of this cell is in the free view, so the span would hand over a trimmed row's percentile with no row attached, which is the number the register's prose withholds. The tier, the score, measures_disagree and the true counts ride free unchanged, and the span rides free whole on any cell whose qualifying measures are all in the free view." }, "HY": { "tier": "PARTIAL", "score": null, "n_measures": 1, "n_qualifying": 1, "measures": [ { "measure": "HY OAS (BAMLH0A0HYM2)", "stress_pctl": 0.086, "obs": 785, "asof": "2026-08-10", "span_days": 1092.0, "limits": "wider high-yield spread = costlier credit liquidity = more stress. CAVEAT: FRED caps keyless ICE BofA downloads to a trailing ~3y window, so this percentile omits earlier crisis regimes (2008, 2020) and understates rarity in calm tapes." } ], "n_span_unverified": 0, "eta_days": null, "eta_note": "cannot project: fewer than 2 measures declare both obs and span_days, so the cadence is not derivable \u2014 stated rather than guessed", "validation_replay": { "status": "VERIFIED", "score_eligible": false, "clause2_satisfied": false, "failed_controls": [], "n_registered": 1, "n_runnable": 0, "n_passed": 0, "n_failed": 0 }, "measure_limits": [ { "measure": "HY OAS (BAMLH0A0HYM2)", "limits": "wider high-yield spread = costlier credit liquidity = more stress. CAVEAT: FRED caps keyless ICE BofA downloads to a trailing ~3y window, so this percentile omits earlier crisis regimes (2008, 2020) and understates rarity in calm tapes." } ] }, "EQUITY": { "tier": "PARTIAL", "score": null, "n_measures": 5, "n_qualifying": 1, "measures": [ { "measure": "VIX close (VIXCLS)", "stress_pctl": 0.3496, "obs": 9248, "asof": "2026-08-10", "span_days": 13369.0, "limits": "higher implied vol = more stress. PROXY: VIX is an equity volatility index used as a liquidity-cost correlate (vol drives dealer VaR and haircuts), not a direct liquidity measure." }, { "measure": "amihud (large)", "stress_pctl": null, "obs": 0, "asof": "2026-06-30", "span_days": 0.0, "limits": "Amihud illiquidity, large-cap basket (40/40 names, basket v2 (2026-07-17: v1 + fx ETF-proxy bucket; large/small_mid membership UNCHANGED so their percentile histories remain v1-comparable)): monthly median across names of mean(|daily ret|/dollar volume), per $1B traded; higher = thinner market = more stress. Universe gate: universe status 'legacy_survivorship_conditioned' is not point-in-time; survivorship-conditioned backfill excluded from scoring. Prereg bar 4a (proxy validity vs crypto L2 depth truth) NOT yet evaluated \u2014 measure only, no validated-signal claim. stress_pctl withheld: accruing monthly history (n=0, span 0.0d; scores at n>=60 AND span>=21d)." } ], "n_span_unverified": 0, "eta_days": null, "eta_note": "cannot project: fewer than 2 measures declare both obs and span_days, so the cadence is not derivable \u2014 stated rather than guessed", "validation_replay": { "status": "VERIFIED", "score_eligible": false, "clause2_satisfied": false, "failed_controls": [ "calm_2017_vix_control" ], "n_registered": 2, "n_runnable": 2, "n_passed": 1, "n_failed": 1 }, "measure_limits": [ { "measure": "VIX close (VIXCLS)", "limits": "higher implied vol = more stress. PROXY: VIX is an equity volatility index used as a liquidity-cost correlate (vol drives dealer VaR and haircuts), not a direct liquidity measure." }, { "measure": "amihud (large)", "limits": "Amihud illiquidity, large-cap basket (40/40 names, basket v2 (2026-07-17: v1 + fx ETF-proxy bucket; large/small_mid membership UNCHANGED so their percentile histories remain v1-comparable)): monthly median across names of mean(|daily ret|/dollar volume), per $1B traded; higher = thinner market = more stress. Universe gate: universe status 'legacy_survivorship_conditioned' is not point-in-time; survivorship-conditioned backfill excluded from scoring. Prereg bar 4a (proxy validity vs crypto L2 depth truth) NOT yet evaluated \u2014 measure only, no validated-signal claim. stress_pctl withheld: accruing monthly history (n=0, span 0.0d; scores at n>=60 AND span>=21d)." }, { "measure": "amihud (small_mid)", "limits": "Amihud illiquidity, small/mid-cap basket (20/20 names, basket v2 (2026-07-17: v1 + fx ETF-proxy bucket; large/small_mid membership UNCHANGED so their percentile histories remain v1-comparable)): monthly median across names of mean(|daily ret|/dollar volume), per $1B traded; higher = thinner market = more stress. Universe gate: universe status 'legacy_survivorship_conditioned' is not point-in-time; survivorship-conditioned backfill excluded from scoring. Prereg bar 4a (proxy validity vs crypto L2 depth truth) NOT yet evaluated \u2014 measure only, no validated-signal claim. stress_pctl withheld: accruing monthly history (n=0, span 0.0d; scores at n>=60 AND span>=21d)." }, { "measure": "lambda_hat (large)", "limits": "Kyle lambda-hat, large-cap basket (40/40 names, basket v2 (2026-07-17: v1 + fx ETF-proxy bucket; large/small_mid membership UNCHANGED so their percentile histories remain v1-comparable)): monthly median across names of the within-month OLS slope of daily return on signed dollar flow, per $1B; signed flow = sign(ret)*close*volume, the DAILY-DATA APPROXIMATION of order flow used by arXiv:2607.01377 itself (true order flow needs intraday data); higher impact = more stress. Universe gate: universe status 'legacy_survivorship_conditioned' is not point-in-time; survivorship-conditioned backfill excluded from scoring. Prereg bar 4a (proxy validity vs crypto L2 depth truth) NOT yet evaluated \u2014 measure only, no validated-signal claim. stress_pctl withheld: accruing monthly history (n=0, span 0.0d; scores at n>=60 AND span>=21d)." }, { "measure": "lambda_hat (small_mid)", "limits": "Kyle lambda-hat, small/mid-cap basket (20/20 names, basket v2 (2026-07-17: v1 + fx ETF-proxy bucket; large/small_mid membership UNCHANGED so their percentile histories remain v1-comparable)): monthly median across names of the within-month OLS slope of daily return on signed dollar flow, per $1B; signed flow = sign(ret)*close*volume, the DAILY-DATA APPROXIMATION of order flow used by arXiv:2607.01377 itself (true order flow needs intraday data); higher impact = more stress. Universe gate: universe status 'legacy_survivorship_conditioned' is not point-in-time; survivorship-conditioned backfill excluded from scoring. Prereg bar 4a (proxy validity vs crypto L2 depth truth) NOT yet evaluated \u2014 measure only, no validated-signal claim. stress_pctl withheld: accruing monthly history (n=0, span 0.0d; scores at n>=60 AND span>=21d)." } ] }, "ETF": { "tier": "PARTIAL", "score": null, "n_measures": 2, "n_qualifying": 0, "measures": [ { "measure": "ap_top_complex_share_of_mapped_flow", "stress_pctl": null, "obs": 48, "asof": "2026-08-12", "limits": "structural/informational: top AP complex (Bank of America) carries 30.6% of $4.64T total mapped create/redeem flow across 48 complexes (N-CEN AP map); no own-history percentile in v0.1, so unscored by design" }, { "measure": "median_fund_top_complex_share", "stress_pctl": null, "obs": 1009, "asof": "2026-08-12", "limits": "structural/informational: median fund routes 49.9% of its primary flow through its single top AP complex, across 1009 funds with defined concentration (22 excluded: zero/negative net mapped flow, no defined share; N-CEN AP map); no own-history percentile in v0.1, so unscored by design" } ], "n_span_unverified": 0, "eta_days": null, "eta_note": "cannot project: fewer than 2 measures declare both obs and span_days, so the cadence is not derivable \u2014 stated rather than guessed", "validation_replay": { "status": "VERIFIED", "score_eligible": false, "clause2_satisfied": false, "failed_controls": [], "n_registered": 0, "n_runnable": 0, "n_passed": 0, "n_failed": 0 }, "measure_limits": [ { "measure": "ap_top_complex_share_of_mapped_flow", "limits": "structural/informational: top AP complex (Bank of America) carries 30.6% of $4.64T total mapped create/redeem flow across 48 complexes (N-CEN AP map); no own-history percentile in v0.1, so unscored by design" }, { "measure": "median_fund_top_complex_share", "limits": "structural/informational: median fund routes 49.9% of its primary flow through its single top AP complex, across 1009 funds with defined concentration (22 excluded: zero/negative net mapped flow, no defined share; N-CEN AP map); no own-history percentile in v0.1, so unscored by design" } ] }, "FX": { "tier": "PARTIAL", "score": null, "n_measures": 2, "n_qualifying": 0, "measures": [ { "measure": "amihud (fx)", "stress_pctl": null, "obs": 0, "asof": "2026-06-30", "span_days": 0.0, "limits": "Amihud illiquidity, currency-ETF proxy basket (6/6 names, basket v2 (2026-07-17: v1 + fx ETF-proxy bucket; large/small_mid membership UNCHANGED so their percentile histories remain v1-comparable)): monthly median across names of mean(|daily ret|/dollar volume), per $1B traded; higher = thinner market = more stress. Universe gate: universe status 'legacy_survivorship_conditioned' is not point-in-time; survivorship-conditioned backfill excluded from scoring. Prereg bar 4a (proxy validity vs crypto L2 depth truth) NOT yet evaluated \u2014 measure only, no validated-signal claim. stress_pctl withheld: accruing monthly history (n=0, span 0.0d; scores at n>=60 AND span>=21d). FX PROXY CAVEAT: this measures the liquidity of exchange-traded currency ETFs (UUP/FXE/FXY/FXB/FXF/FXC), NOT the OTC interbank FX market \u2014 a wrapper stress read, labeled as such on the board." }, { "measure": "lambda_hat (fx)", "stress_pctl": null, "obs": 0, "asof": "2026-06-30", "span_days": 0.0, "limits": "Kyle lambda-hat, currency-ETF proxy basket (6/6 names, basket v2 (2026-07-17: v1 + fx ETF-proxy bucket; large/small_mid membership UNCHANGED so their percentile histories remain v1-comparable)): monthly median across names of the within-month OLS slope of daily return on signed dollar flow, per $1B; signed flow = sign(ret)*close*volume, the DAILY-DATA APPROXIMATION of order flow used by arXiv:2607.01377 itself (true order flow needs intraday data); higher impact = more stress. Universe gate: universe status 'legacy_survivorship_conditioned' is not point-in-time; survivorship-conditioned backfill excluded from scoring. Prereg bar 4a (proxy validity vs crypto L2 depth truth) NOT yet evaluated \u2014 measure only, no validated-signal claim. stress_pctl withheld: accruing monthly history (n=0, span 0.0d; scores at n>=60 AND span>=21d). FX PROXY CAVEAT: this measures the liquidity of exchange-traded currency ETFs (UUP/FXE/FXY/FXB/FXF/FXC), NOT the OTC interbank FX market \u2014 a wrapper stress read, labeled as such on the board." } ], "n_span_unverified": 0, "eta_days": null, "eta_note": "cannot project: fewer than 2 measures declare both obs and span_days, so the cadence is not derivable \u2014 stated rather than guessed", "validation_replay": { "status": "VERIFIED", "score_eligible": false, "clause2_satisfied": false, "failed_controls": [], "n_registered": 1, "n_runnable": 1, "n_passed": 0, "n_failed": 0 }, "measure_limits": [ { "measure": "amihud (fx)", "limits": "Amihud illiquidity, currency-ETF proxy basket (6/6 names, basket v2 (2026-07-17: v1 + fx ETF-proxy bucket; large/small_mid membership UNCHANGED so their percentile histories remain v1-comparable)): monthly median across names of mean(|daily ret|/dollar volume), per $1B traded; higher = thinner market = more stress. Universe gate: universe status 'legacy_survivorship_conditioned' is not point-in-time; survivorship-conditioned backfill excluded from scoring. Prereg bar 4a (proxy validity vs crypto L2 depth truth) NOT yet evaluated \u2014 measure only, no validated-signal claim. stress_pctl withheld: accruing monthly history (n=0, span 0.0d; scores at n>=60 AND span>=21d). FX PROXY CAVEAT: this measures the liquidity of exchange-traded currency ETFs (UUP/FXE/FXY/FXB/FXF/FXC), NOT the OTC interbank FX market \u2014 a wrapper stress read, labeled as such on the board." }, { "measure": "lambda_hat (fx)", "limits": "Kyle lambda-hat, currency-ETF proxy basket (6/6 names, basket v2 (2026-07-17: v1 + fx ETF-proxy bucket; large/small_mid membership UNCHANGED so their percentile histories remain v1-comparable)): monthly median across names of the within-month OLS slope of daily return on signed dollar flow, per $1B; signed flow = sign(ret)*close*volume, the DAILY-DATA APPROXIMATION of order flow used by arXiv:2607.01377 itself (true order flow needs intraday data); higher impact = more stress. Universe gate: universe status 'legacy_survivorship_conditioned' is not point-in-time; survivorship-conditioned backfill excluded from scoring. Prereg bar 4a (proxy validity vs crypto L2 depth truth) NOT yet evaluated \u2014 measure only, no validated-signal claim. stress_pctl withheld: accruing monthly history (n=0, span 0.0d; scores at n>=60 AND span>=21d). FX PROXY CAVEAT: this measures the liquidity of exchange-traded currency ETFs (UUP/FXE/FXY/FXB/FXF/FXC), NOT the OTC interbank FX market \u2014 a wrapper stress read, labeled as such on the board." } ] }, "CN": { "tier": "PARTIAL", "score": null, "measures_disagree": true, "tier_margin": { "nearest_boundary": 0.75, "margin": 0.1044 }, "n_measures": 19, "n_qualifying": 10, "measures": [ { "measure": "7d unsecured\u2212secured spread (SHIBOR 1W \u2212 FDR007)", "stress_pctl": null, "obs": 41, "asof": "2026-08-11", "span_days": 57.0, "limits": "wider = banks charging more for uncollateralized funding = stress. ACCRUING (n=41, span 57.0d, scores at n>=60 AND span>=21d)." }, { "measure": "SHIBOR O/N 5d change", "stress_pctl": null, "obs": 46, "asof": "2026-08-12", "span_days": 64.0, "limits": "ACCRUING (n=46, span 64.0d, scores at n>=60 AND span>=21d)." } ], "n_span_unverified": 0, "validation_replay": { "status": "VERIFIED", "score_eligible": false, "clause2_satisfied": false, "failed_controls": [], "n_registered": 1, "n_runnable": 0, "n_passed": 0, "n_failed": 0 }, "candidate_tier": "NORMAL", "candidate_score": 0.6456, "score_withheld_reason": "candidate score failed the mandatory replay gate: requires at least one passing pre-registered replay and no failed negative control; replay evidence status=VERIFIED", "measure_limits": [ { "measure": "7d unsecured\u2212secured spread (SHIBOR 1W \u2212 FDR007)", "limits": "wider = banks charging more for uncollateralized funding = stress. ACCRUING (n=41, span 57.0d, scores at n>=60 AND span>=21d)." }, { "measure": "SHIBOR O/N 5d change", "limits": "ACCRUING (n=46, span 64.0d, scores at n>=60 AND span>=21d)." }, { "measure": "Stock Connect northbound flow, 20d cumulative", "limits": "PENDING \u2014 vantage has not published stock-connect-history.jsonl yet (HKEX daily prints, no keyless JSON API verified); nothing is faked." }, { "measure": "USD/CNY fix gap |spot \u2212 central parity|", "limits": "ACCRUING (n=33, span 45.0d, scores at n>=60 AND span>=21d)." }, { "measure": "Yiwu wholesale PRICE index", "limits": "PENDING \u2014 no keyless source carries the Yiwu PRICE index at current cadence: MOFCOM's weekly node stopped in 2020 and the operator's free weekly commentary stopped in 2024. Nothing is faked. per-SKU unit volumes are not public at any price \u2014 category table is the finest honest decomposition." }, { "measure": "Yiwu wholesale activity \u03943m", "limits": "Falling activity = goods-demand stress, so the reading is inverted. 6 New Year closure gap(s) skipped rather than bridged. Activity index, NOT a price index. ACCRUING (n=40, scores at 60); percentile withheld, never fake calm." }, { "measure": "offshore RMB pool \u039412m (HK deposits)", "limits": "This is the PRECONDITION, not the event, and most drains do not end in a squeeze. NOT a substitute for CNH HIBOR, which no openly licensed body publishes." }, { "measure": "offshore RMB retail deposit rate, 1w", "limits": "informational, 0.23% at 2026-07. This is the RETAIL rate HK banks offer customers, NOT the interbank rate." }, { "measure": "offshore\u2212onshore O/N differential (CNH HIBOR \u2212 SHIBOR)", "limits": "PENDING \u2014 vantage has not published cnh-hibor-history.jsonl yet (no keyless TMA JSON API exists); nothing is faked." }, { "measure": "port export throughput \u039412m \u2014 Dalian", "limits": "0 partial month(s) dropped rather than summed. Falling physical throughput = goods-demand stress, so the reading is inverted." }, { "measure": "port export throughput \u039412m \u2014 Guangzhou (Nansha)", "limits": "0 partial month(s) dropped rather than summed. Falling physical throughput = goods-demand stress, so the reading is inverted." }, { "measure": "port export throughput \u039412m \u2014 Ningbo", "limits": "0 partial month(s) dropped rather than summed. Falling physical throughput = goods-demand stress, so the reading is inverted." }, { "measure": "port export throughput \u039412m \u2014 Qingdao", "limits": "0 partial month(s) dropped rather than summed. Falling physical throughput = goods-demand stress, so the reading is inverted." }, { "measure": "port export throughput \u039412m \u2014 Shanghai", "limits": "0 partial month(s) dropped rather than summed. Falling physical throughput = goods-demand stress, so the reading is inverted." }, { "measure": "port export throughput \u039412m \u2014 Shanghai (Yangshan)", "limits": "0 partial month(s) dropped rather than summed. Falling physical throughput = goods-demand stress, so the reading is inverted." }, { "measure": "port export throughput \u039412m \u2014 Shougang Jingtang", "limits": "0 partial month(s) dropped rather than summed. Falling physical throughput = goods-demand stress, so the reading is inverted." }, { "measure": "port export throughput \u039412m \u2014 Tianjin Xin Gang", "limits": "0 partial month(s) dropped rather than summed. Falling physical throughput = goods-demand stress, so the reading is inverted." }, { "measure": "port export throughput \u039412m \u2014 Xiamen", "limits": "0 partial month(s) dropped rather than summed. Falling physical throughput = goods-demand stress, so the reading is inverted." }, { "measure": "port export throughput \u039412m \u2014 median across 9 ports", "limits": "informational: median -4.1% year over year across the nine largest Chinese ports, roughly 52% of national maritime export share." } ], "span_withheld_fields": [ "score_lo", "score_hi", "dispersion", "dispersion_note" ], "span_withheld_note": "withheld: score_lo, score_hi, dispersion, dispersion_note and mean_pctl are the min, max, range and mean of the QUALIFYING measures' stress percentiles. Not every qualifying row of this cell is in the free view, so the span would hand over a trimmed row's percentile with no row attached, which is the number the register's prose withholds. The tier, the score, measures_disagree and the true counts ride free unchanged, and the span rides free whole on any cell whose qualifying measures are all in the free view." }, "CRYPTO": { "tier": "PARTIAL", "score": null, "measures_disagree": true, "tier_margin": { "nearest_boundary": 0.75, "margin": 0.1917 }, "n_measures": 38, "n_qualifying": 22, "measures": [ { "measure": "binance_btc_basis_bp", "stress_pctl": null, "obs": 538, "asof": "2026-08-12", "span_days": 20.27, "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "binance_btc_funding_24h", "stress_pctl": null, "obs": 538, "asof": "2026-08-12", "span_days": 20.27, "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" } ], "n_span_unverified": 0, "validation_replay": { "status": "VERIFIED", "score_eligible": false, "clause2_satisfied": false, "failed_controls": [], "n_registered": 1, "n_runnable": 0, "n_passed": 0, "n_failed": 0 }, "candidate_tier": "NORMAL", "candidate_score": 0.5583, "score_withheld_reason": "candidate score failed the mandatory replay gate: requires at least one passing pre-registered replay and no failed negative control; replay evidence status=VERIFIED", "measure_limits": [ { "measure": "binance_btc_basis_bp", "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "binance_btc_funding_24h", "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "binance_eth_basis_bp", "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "binance_eth_funding_24h", "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "binance_futures_insurance_usdt_total", "limits": "sum of USDT marginBalance across ALL Binance USD-M futures insurance-fund buckets (buckets are separate per-symbol-group funds; the cross-bucket sum is a declared aggregation) = 1.48725e+09; INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "binance_majors_bucket_insurance_usdc", "limits": "INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "binance_majors_bucket_insurance_usdt", "limits": "USDT balance of the Binance insurance-fund bucket listing BTCUSDT/ETHUSDT (bucket composition can change; symbols recorded per snapshot) = 7.51036e+08; INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "btc_dvol", "limits": "accruing history (n=536, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: deribit public api (DVOL is Deribit's own index, cited as their construction))" }, { "measure": "btc_pcr", "limits": "accruing history (n=536, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: deribit public api (DVOL is Deribit's own index, cited as their construction))" }, { "measure": "btc_skew_proxy", "limits": "accruing history (n=536, span 20.3d; scores at n>=60 AND span>=21d); moneyness-proxy 25\u0394 skew (puts 0.75\u20130.90 \u2212 calls 1.10\u20131.25) = 11.3313; percentile withheld (source: deribit public api (DVOL is Deribit's own index, cited as their construction))" }, { "measure": "btcusdt_depth_1pct_quote", "limits": "book depth \u00b11% of mid (quote notional, both sides) = 3.6573e+07; INVERTED: high depth = liquid, so stress = shallow book vs own accrued history; \u00b11% band NOT COVERED: the 5000-level cap ends the book at -0.982%/+1.475% of mid, so this is depth within the SPANNED range and the true \u00b11% depth is AT LEAST this; a lower-bound depth reads as a shallower book, so this percentile is an UPPER BOUND on stress (617 of 617 ranked snapshots hit the same cap) (source: binance)" }, { "measure": "btcusdt_depth_2pct_quote", "limits": "book depth \u00b12% of mid (quote notional, both sides) = 4.23514e+07; INVERTED: high depth = liquid, so stress = shallow book vs own accrued history; \u00b12% band NOT COVERED: the 5000-level cap ends the book at -0.982%/+1.475% of mid, so this is depth within the SPANNED range and the true \u00b12% depth is AT LEAST this; a lower-bound depth reads as a shallower book, so this percentile is an UPPER BOUND on stress (617 of 617 ranked snapshots hit the same cap) (source: binance)" }, { "measure": "btcusdt_rel_spread", "limits": "wide spread = stress vs own accrued history (source: binance)" }, { "measure": "bybit_btc_basis_bp", "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "bybit_btc_funding_24h", "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "bybit_eth_basis_bp", "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "bybit_eth_funding_24h", "limits": "accruing history (n=538, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "bybit_insurance_btc_usd_value", "limits": "INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "bybit_insurance_eth_usd_value", "limits": "INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "bybit_insurance_usdt_usd_value", "limits": "INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "dai_venue_divergence_bp", "limits": "max |cross-venue divergence| = 24.9674 bp across 2 venues (outlier: gemini; depeg flag 100 bp: clear; source: venue_divergence)" }, { "measure": "eth_dvol", "limits": "accruing history (n=536, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: deribit public api (DVOL is Deribit's own index, cited as their construction))" }, { "measure": "eth_pcr", "limits": "accruing history (n=536, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: deribit public api (DVOL is Deribit's own index, cited as their construction))" }, { "measure": "eth_skew_proxy", "limits": "accruing history (n=536, span 20.3d; scores at n>=60 AND span>=21d); moneyness-proxy 25\u0394 skew (puts 0.75\u20130.90 \u2212 calls 1.10\u20131.25) = 6.30567; percentile withheld (source: deribit public api (DVOL is Deribit's own index, cited as their construction))" }, { "measure": "ethusdt_depth_1pct_quote", "limits": "INVERTED: high depth = liquid, so stress = shallow book vs own accrued history" }, { "measure": "ethusdt_depth_2pct_quote", "limits": "INVERTED: high depth = liquid, so stress = shallow book vs own accrued history" }, { "measure": "ethusdt_rel_spread", "limits": "wide spread = stress vs own accrued history (source: binance)" }, { "measure": "hyperliquid_hlp_pnl_alltime_usd", "limits": "HLP cumulative all-time PnL LEVEL (cumulative series \u2014 the percentile ranks the level vs own accrued history, not a return) = 1.36852e+08; INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "hyperliquid_hlp_tvl_usd", "limits": "INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "okx_btc_funding_24h", "limits": "accruing history (n=537, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "okx_eth_funding_24h", "limits": "accruing history (n=537, span 20.3d; scores at n>=60 AND span>=21d); percentile withheld (source: binance futures + bybit v5 + okx v5 (keyless, verified 2026-07-23))" }, { "measure": "okx_swap_btc_usdt_adl_events", "limits": "non-'regular_update' insurance-fund rows in the ~100-minute window the OKX endpoint returned at fetch time (one sample per RUN of a short window \u2014 coarse by construction, and the window overlaps the previous run's) = 0; more ADL/backstop events = stress vs own accrued history (source: backstop_telemetry)" }, { "measure": "okx_swap_btc_usdt_insurance_balance", "limits": "INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "okx_swap_eth_usdt_adl_events", "limits": "non-'regular_update' insurance-fund rows in the ~100-minute window the OKX endpoint returned at fetch time (one sample per RUN of a short window \u2014 coarse by construction, and the window overlaps the previous run's) = 0; more ADL/backstop events = stress vs own accrued history (source: backstop_telemetry)" }, { "measure": "okx_swap_eth_usdt_insurance_balance", "limits": "INVERTED: fat backstop = safe, so stress = thin backstop vs own accrued history (source: backstop_telemetry)" }, { "measure": "usdc_venue_divergence_bp", "limits": "max |cross-venue divergence| = 9.89219 bp across 5 venues (outlier: kraken; depeg flag 100 bp: clear; source: venue_divergence)" }, { "measure": "usde_venue_divergence_bp", "limits": "max |cross-venue divergence| = 3.9988 bp across 2 venues (outlier: binance; depeg flag 100 bp: clear; source: venue_divergence)" }, { "measure": "usdt_venue_divergence_bp", "limits": "max |cross-venue divergence| = 12.8614 bp across 4 venues (outlier: bitfinex; depeg flag 100 bp: clear; source: venue_divergence)" } ], "span_withheld_fields": [ "score_lo", "score_hi", "dispersion", "dispersion_note" ], "span_withheld_note": "withheld: score_lo, score_hi, dispersion, dispersion_note and mean_pctl are the min, max, range and mean of the QUALIFYING measures' stress percentiles. Not every qualifying row of this cell is in the free view, so the span would hand over a trimmed row's percentile with no row attached, which is the number the register's prose withholds. The tier, the score, measures_disagree and the true counts ride free unchanged, and the span rides free whole on any cell whose qualifying measures are all in the free view." }, "BSTOCK": { "tier": "PARTIAL", "score": null, "measures_disagree": true, "tier_margin": { "nearest_boundary": 0.1, "margin": 0.199 }, "n_measures": 22, "n_qualifying": 22, "measures": [ { "measure": "crclbusdt_depth_1pct_quote", "stress_pctl": 0.0222, "obs": 608, "asof": "2026-08-12", "span_days": 23.13, "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "crclbusdt_peg_deviation", "stress_pctl": 0.7571, "obs": 105, "asof": "2026-08-12", "span_days": 22.0, "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" } ], "n_span_unverified": 0, "validation_replay": { "status": "VERIFIED", "score_eligible": false, "clause2_satisfied": false, "failed_controls": [], "n_registered": 0, "n_runnable": 0, "n_passed": 0, "n_failed": 0 }, "candidate_tier": "NORMAL", "candidate_score": 0.299, "score_withheld_reason": "candidate score failed the mandatory replay gate: requires at least one passing pre-registered replay and no failed negative control; replay evidence status=VERIFIED", "measure_limits": [ { "measure": "crclbusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "crclbusdt_peg_deviation", "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "litebusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "litebusdt_peg_deviation", "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "metabusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "metabusdt_peg_deviation", "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "msftbusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "msftbusdt_peg_deviation", "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "mubusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "mubusdt_peg_deviation", "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "nvdabusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history" }, { "measure": "nvdabusdt_peg_deviation", "limits": "wide = stress vs own intraday history" }, { "measure": "pltrbusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "pltrbusdt_peg_deviation", "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "qqqbusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "qqqbusdt_peg_deviation", "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "sndkbusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "sndkbusdt_peg_deviation", "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "soxlbusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "soxlbusdt_peg_deviation", "limits": "wide = stress vs own intraday history [THIN book \u2014 drift may be microstructure noise]" }, { "measure": "tslabusdt_depth_1pct_quote", "limits": "INVERTED: shallow = stress vs own accrued history" }, { "measure": "tslabusdt_peg_deviation", "limits": "wide = stress vs own intraday history" } ], "span_withheld_fields": [ "score_lo", "score_hi", "dispersion", "dispersion_note" ], "span_withheld_note": "withheld: score_lo, score_hi, dispersion, dispersion_note and mean_pctl are the min, max, range and mean of the QUALIFYING measures' stress percentiles. Not every qualifying row of this cell is in the free view, so the span would hand over a trimmed row's percentile with no row attached, which is the number the register's prose withholds. The tier, the score, measures_disagree and the true counts ride free unchanged, and the span rides free whole on any cell whose qualifying measures are all in the free view." } }, "funding": { "regime": "EROSION", "composite": null, "regime_basis": "declared", "measures": [ { "measure": "seiche_index", "stress_pctl": null, "obs": 0, "asof": "2026-08-12", "note": "Seiche composite index 44.7/100, regime=EROSION, coverage 100%. Scale is a calibrated weighted blend of engine sub-scores (high = stressed), NOT a percentile of own history \u2014 stress_pctl withheld rather than invented; the declared regime= verdict is surfaced by the board's FUNDING overlay." } ], "n_qualifying": 0, "n_span_unverified": 0 }, "n_readings": 112, "informational": { "policy": "INFORMATIONAL / RESEARCH \u2014 rendered alongside the board, never scored into any segment tier or the FUNDING overlay; every claim upgrade is gated by its pre-registered bar in docs/prereg/wave2_prereg.md", "sar_backbone": { "status": "structural MEASURE (prereg wave2 \u00a71: ships without a gate; no forecast claim attached)", "paper": "arXiv:2603.09164 (Sepper, 'Slippage-at-Risk', Mar 2026)", "formula": "h = 0.5*max(0, 15/N_eff - 1) + 0.3*max(0, CR1 - 0.25), N_eff = 1/HHI, CR1 = top-complex share; arXiv:2603.09164 (Sepper, 'Slippage-at-Risk', Mar 2026)", "system": { "n_complexes": 48, "hhi": 0.142425, "n_eff": 7.0212, "cr1": 0.306497, "top_complex": "Bank of America", "haircut": 0.585139, "total_flow_usd": 4639152974607.335 }, "n_funds_ranked": 239, "top_funds": [ { "rank": 1, "fund": "VWOB", "haircut": 5.78452, "n_eff": 1.2315, "cr1_top_complex_share": 0.8984, "complexes_active": 4, "total_flow_usd": 3097750151.62 }, { "rank": 2, "fund": "DFCF", "haircut": 5.14291, "n_eff": 1.3727, "cr1_top_complex_share": 0.8472, "complexes_active": 4, "total_flow_usd": 2777820400.1899996 }, { "rank": 3, "fund": "FTLS", "haircut": 4.91491, "n_eff": 1.431, "cr1_top_complex_share": 0.8297, "complexes_active": 6, "total_flow_usd": 4073398636.08 }, { "rank": 4, "fund": "IDMO", "haircut": 4.83703, "n_eff": 1.4518, "cr1_top_complex_share": 0.8201, "complexes_active": 6, "total_flow_usd": 1620706280.6869998 }, { "rank": 5, "fund": "DFAI", "haircut": 4.79299, "n_eff": 1.4641, "cr1_top_complex_share": 0.8183, "complexes_active": 6, "total_flow_usd": 2924058387.12 }, { "rank": 6, "fund": "DON", "haircut": 4.69789, "n_eff": 1.4914, "cr1_top_complex_share": 0.8138, "complexes_active": 8, "total_flow_usd": 1004846792.26 }, { "rank": 7, "fund": "VEU", "haircut": 4.57861, "n_eff": 1.5263, "cr1_top_complex_share": 0.7987, "complexes_active": 4, "total_flow_usd": 4226168870.91 }, { "rank": 8, "fund": "DGRW", "haircut": 4.30735, "n_eff": 1.6134, "cr1_top_complex_share": 0.7795, "complexes_active": 7, "total_flow_usd": 8844669125.33 }, { "rank": 9, "fund": "GCOW", "haircut": 4.0999, "n_eff": 1.6849, "cr1_top_complex_share": 0.7455, "complexes_active": 3, "total_flow_usd": 1267155305.0 }, { "rank": 10, "fund": "BND", "haircut": 4.04212, "n_eff": 1.7056, "cr1_top_complex_share": 0.7329, "complexes_active": 5, "total_flow_usd": 30457863208.86 } ] }, "sar_crypto": { "alerts_policy": "DISPLAY-ONLY: prereg bar 1a (docs/prereg/wave2_prereg.md) has NOT passed \u2014 needs >=3 of first 4 accrued depth-collapse episodes led by a positive 24h SaR-Trend. This module only measures; it never declares the bar passed.", "asof": "2026-08-12", "n_snapshots": 606, "symbols": { "BTCUSDT": { "worst_bp": { "100000": 0.28, "1e+06": 2.74, "1e+07": 27.44 }, "sell_capacity_usd": { "100bp": { "q_usd": 23986740.74, "capped": true }, "10bp": { "q_usd": 3644061.47, "capped": false }, "50bp": { "q_usd": 18221448.93, "capped": false } }, "asymmetry_1pct": -0.0573, "n_episodes": 4, "bar_1a_status": "evaluated", "bar_1a_reason": "2 of first 4 episodes led by a positive 24h SaR-Trend at $100,000 (need >= 3); harness verdict only \u2014 adoption per prereg governance, never on the episode that motivated a look" }, "ETHUSDT": { "n_episodes": 8, "bar_1a_status": "evaluated", "bar_1a_reason": "2 of first 4 episodes led by a positive 24h SaR-Trend at $100,000 (need >= 3); harness verdict only \u2014 adoption per prereg governance, never on the episode that motivated a look", "status": "subscriber", "withheld_fields": [ "worst_bp", "sell_capacity_usd", "asymmetry_1pct" ], "note": "ETH exit curve is a desk-tier surface; the BTC curve above is the same construction, published free. The pre-registered bar 1a verdict beside it is free on every symbol, pass or fail. /desk in the bot lists the tiers" } }, "public_subset": true, "free_view": "BTC in full. For ETH the pre-registered bar 1a verdict, its reason and the episode count ride free, because a published bar and its result are a disclosure, not depth; the ETH exit curve (worst_bp, sell_capacity_usd, asymmetry_1pct) is desk tier" }, "crowding": { "label": "crowding score v0 (holdings-concentration variant, unvalidated \u2014 bar 3a pending; overweight/underweight split awaits benchmark weights)", "period": "2026-03-31", "knowable_at": "2026-05-15", "prereg": "docs/prereg/wave2_prereg.md bar 3a \u2014 NOT evaluated (needs >= 8 quarters of accrued 13F history); this output is measurement machinery, not a validated signal", "n_securities": 2000, "n_filers": 5459, "n_edges": 161689, "top10": [ { "rank": 1, "cusip": "922908363", "issuer": "VANGUARD INDEX FDS", "crowding_eigenvector": 1.0, "weighted_degree": 6.286714, "n_holders": 3793, "n_eff_holders": 34.25, "total_value_usd": 300859048541 }, { "rank": 2, "cusip": "464287200", "issuer": "ISHARES TR", "crowding_eigenvector": 0.442898, "weighted_degree": 7.827807, "n_holders": 3942, "n_eff_holders": 41.17, "total_value_usd": 540812340074 }, { "rank": 3, "cusip": "78462F103", "issuer": "STATE STR SPDR S&P 500 ETF T", "crowding_eigenvector": 0.367768, "weighted_degree": 5.811076, "n_holders": 4520, "n_eff_holders": 32.73, "total_value_usd": 341799661581 }, { "rank": 4, "cusip": "922908769", "issuer": "VANGUARD INDEX FDS", "crowding_eigenvector": 0.11608, "weighted_degree": 4.192455, "n_holders": 3519, "n_eff_holders": 18.22, "total_value_usd": 167760476901 }, { "rank": 5, "cusip": "037833100", "issuer": "APPLE INC", "crowding_eigenvector": 0.077134, "weighted_degree": 6.446081, "n_holders": 6013, "n_eff_holders": 23.71, "total_value_usd": 2263268012176 }, { "rank": 6, "cusip": "67066G104", "issuer": "NVIDIA CORPORATION", "crowding_eigenvector": 0.076282, "weighted_degree": 6.864456, "n_holders": 5775, "n_eff_holders": 24.21, "total_value_usd": 2677505604472 }, { "rank": 7, "cusip": "921943858", "issuer": "VANGUARD FTSE DEVELOPED MARKETS ETF", "crowding_eigenvector": 0.068793, "weighted_degree": 2.06714, "n_holders": 2860, "n_eff_holders": 39.91, "total_value_usd": 138959815712 }, { "rank": 8, "cusip": "46090E103", "issuer": "INVESCO QQQ TR", "crowding_eigenvector": 0.062305, "weighted_degree": 2.212259, "n_holders": 3785, "n_eff_holders": 32.28, "total_value_usd": 127123327861 }, { "rank": 9, "cusip": "46432F842", "issuer": "ISHARES TR", "crowding_eigenvector": 0.043541, "weighted_degree": 1.279715, "n_holders": 2376, "n_eff_holders": 25.08, "total_value_usd": 145181378691 }, { "rank": 10, "cusip": "594918104", "issuer": "MICROSOFT CORP", "crowding_eigenvector": 0.043065, "weighted_degree": 4.662096, "n_holders": 6125, "n_eff_holders": 28.44, "total_value_usd": 1883342743017 } ], "top_embedded_filers": [ { "rank": 1, "cik": 1697865, "name": "E-L Financial Corp Ltd", "embeddedness_eigenvector": 1.0, "total_value_usd": 1036868284 }, { "rank": 2, "cik": 1885432, "name": "AFBI LP", "embeddedness_eigenvector": 1.0, "total_value_usd": 131156249 }, { "rank": 3, "cik": 1981942, "name": "Call To Action Foundation", "embeddedness_eigenvector": 1.0, "total_value_usd": 511076868 }, { "rank": 4, "cik": 1708237, "name": "Innovator Capital Management, LLC", "embeddedness_eigenvector": 0.996298, "total_value_usd": 925015186 }, { "rank": 5, "cik": 2056287, "name": "Powers Capital, LLC", "embeddedness_eigenvector": 0.99096, "total_value_usd": 211546117 } ], "top_embedded_filers_note": "SIZE-INDEPENDENT by construction: edges are portfolio weights, so a small filer parked entirely in the crowded core can top this list \u2014 embeddedness measures book overlap with the crowd, not market footprint; total_value_usd rides along for scale", "co_crowding": { "note": "cosine overlap of holder-weight vectors among the top 10 crowded names (capped edge list): each name's single most-overlapping partner \u2014 the same crowd in both doors; MEASURE, not a validated signal", "pairs": [ { "cusip": "922908363", "partner_cusip": "921943858", "partner_issuer": "VANGUARD FTSE DEVELOPED MARKETS ETF", "overlap_cosine": 0.114426, "n_shared_holders": 240 }, { "cusip": "464287200", "partner_cusip": "46432F842", "partner_issuer": "ISHARES TR", "overlap_cosine": 0.174666, "n_shared_holders": 240 }, { "cusip": "78462F103", "partner_cusip": "46090E103", "partner_issuer": "INVESCO QQQ TR", "overlap_cosine": 0.136734, "n_shared_holders": 281 }, { "cusip": "922908769", "partner_cusip": "921943858", "partner_issuer": "VANGUARD FTSE DEVELOPED MARKETS ETF", "overlap_cosine": 0.120595, "n_shared_holders": 203 }, { "cusip": "037833100", "partner_cusip": "594918104", "partner_issuer": "MICROSOFT CORP", "overlap_cosine": 0.320525, "n_shared_holders": 1124 }, { "cusip": "67066G104", "partner_cusip": "594918104", "partner_issuer": "MICROSOFT CORP", "overlap_cosine": 0.314524, "n_shared_holders": 1031 }, { "cusip": "921943858", "partner_cusip": "922908769", "partner_issuer": "VANGUARD INDEX FDS", "overlap_cosine": 0.120595, "n_shared_holders": 203 }, { "cusip": "46090E103", "partner_cusip": "78462F103", "partner_issuer": "STATE STR SPDR S&P 500 ETF T", "overlap_cosine": 0.136734, "n_shared_holders": 281 }, { "cusip": "46432F842", "partner_cusip": "464287200", "partner_issuer": "ISHARES TR", "overlap_cosine": 0.174666, "n_shared_holders": 240 }, { "cusip": "594918104", "partner_cusip": "037833100", "partner_issuer": "APPLE INC", "overlap_cosine": 0.320525, "n_shared_holders": 1124 } ] } }, "states": { "label": "RESEARCH \u2014 transition layer unvalidated until bar 2a passes for the segment; failed/insufficient bars are published, never retuned", "segment": "CRYPTO", "paper": "arXiv:2607.09230", "prereg": "docs/prereg/wave2_prereg.md bars 2a/2b", "asof": "2026-07-17", "symbols": { "BTCUSDT": { "status": "insufficient_history", "reason": "insufficient history for bar 2a (n=2 days)", "bar_2a_passed": false, "current_state": null, "note": "state withheld: terciles need >= 9 training snapshots, have 6 \u2014 a state from a thin fit would be fabricated confidence" }, "ETHUSDT": { "status": "insufficient_history", "reason": "insufficient history for bar 2a (n=2 days)", "bar_2a_passed": false, "current_state": null, "note": "state withheld: terciles need >= 9 training snapshots, have 6 \u2014 a state from a thin fit would be fabricated confidence" } } }, "guarantees": { "label": "withheld \u2014 calibrating (n=0 of 60 evaluated days; realized coverage so far: n/a)", "status": "calibrating", "segment": "CRYPTO", "n_evaluated": 0, "n_unscored": 2, "window_days": 60, "target_coverage": 0.9, "prereg": "docs/prereg/wave2_prereg.md bar 5a \u2014 measurement only; no bar is declared passed by code" }, "guarantees_live": { "asof": "2026-08-12", "prereg": "docs/prereg/wave2_prereg.md bar 5a \u2014 measurement only; no bar is declared passed by code", "segments": { "BSTOCK": { "label": "withheld \u2014 calibrating (n=0 of 60 evaluated days; realized coverage so far: n/a)", "status": "calibrating", "n_evaluated": 0, "n_unscored": 22, "next_bound": null }, "CN": { "label": "withheld \u2014 calibrating (n=14 of 60 evaluated days; realized coverage so far: 0.9286)", "status": "calibrating", "n_evaluated": 14, "n_unscored": 11, "next_bound": 0.6456 }, "CRYPTO": { "label": "withheld \u2014 calibrating (n=2 of 60 evaluated days; realized coverage so far: 1.0)", "status": "calibrating", "n_evaluated": 2, "n_unscored": 23, "next_bound": null }, "EQUITY": { "label": "withheld \u2014 calibrating (n=19 of 60 evaluated days; realized coverage so far: 0.9474)", "status": "calibrating", "n_evaluated": 19, "n_unscored": 6, "next_bound": 0.3217 }, "ETF": { "label": "withheld \u2014 calibrating (n=0 of 60 evaluated days; realized coverage so far: n/a)", "status": "calibrating", "n_evaluated": 0, "n_unscored": 25, "next_bound": null }, "FX": { "label": "withheld \u2014 calibrating (n=19 of 60 evaluated days; realized coverage so far: 1.0)", "status": "calibrating", "n_evaluated": 19, "n_unscored": 6, "next_bound": 0.1056 }, "HY": { "label": "withheld \u2014 calibrating (n=0 of 60 evaluated days; realized coverage so far: n/a)", "status": "calibrating", "n_evaluated": 0, "n_unscored": 25, "next_bound": null }, "IG": { "label": "withheld \u2014 calibrating (n=23 of 60 evaluated days; realized coverage so far: 0.9565)", "status": "calibrating", "n_evaluated": 23, "n_unscored": 2, "next_bound": 0.4563 }, "UST": { "label": "withheld \u2014 calibrating (n=21 of 60 evaluated days; realized coverage so far: 1.0)", "status": "calibrating", "n_evaluated": 21, "n_unscored": 4, "next_bound": 0.6922 } } }, "exit_cost": { "status": "measure \u2014 calm-conditioned, uncalibrated for stress", "asof": "2026-08-12", "assumptions": [ "linear (Kyle) price impact", "one-day execution, no schedule optimization", "bucket coefficient = latest month's MEDIAN name of the committed basket", "daily-data order-flow approximation (arXiv:2607.01377), not true order flow", "no cross-impact between names, no market feedback", "coefficient is CALM-CONDITIONED: current conditions, not a stress scenario (stress multipliers await the pre-registered replay calibration)", "liquidation horizon: each day pays linear impact on its own clip; no cross-day impact decay or accumulation is modeled (declared simplification)" ], "position_grid_usd": [ 10000000.0, 100000000.0, 1000000000.0 ], "buckets": { "fx": { "segment": "FX", "asof_month": "2026-06", "n_names": 6, "costs": { "withheld": true, "bands": [ { "position_usd": 10000000.0, "impact_band_bp": "10-100bp", "extrapolated": true, "note": "figure withheld (Agent/Desk tier); linear model extrapolated beyond one day's observed flow; treat as a lower bound on real cost" }, { "position_usd": 100000000.0, "impact_band_bp": "100-1000bp", "extrapolated": true, "note": "figure withheld (Agent/Desk tier); linear model extrapolated beyond one day's observed flow; treat as a lower bound on real cost" }, { "position_usd": 1000000000.0, "impact_band_bp": ">=1000bp", "extrapolated": true, "note": "figure withheld (Agent/Desk tier); linear model extrapolated beyond one day's observed flow; treat as a lower bound on real cost" } ], "note": "FREE, in full: status, asof, every assumption, the position grid, each bucket's segment, basket month, name count and proxy caveats, every participation cap, a banded liquidation horizon in DAYS at each cap, the ranked costliest names, and a decade-wide band on the cost at each rung. WITHHELD FROM THIS BLOCK: the point-estimate impact calibration, i.e. every impact_bp, capacity_at_budget_bp, per_day_impact_bp, daily_clip_usd, the exact days_to_exit, and the per-name lambda_hat / med_dollar_vol / impact_bp_10m. Read that boundary as this block's, not the fleet's: cascade.json publishes per-name Amihud lambda estimates free and by design, because they are recomputable from keyless public price and volume data, so the name-level illiquidity ranking is not what is being protected here. The basket volumes are. They are withheld together because the impact model is linear: publishing any one position-and-impact pair pins the bucket's lambda, and every other cost then follows by arithmetic over fields that stay free. The day count is banded for the same reason and not deleted: an exact days_to_exit beside its cap returned the BASKET's median dollar volume by one division, position / (cap x days), to better than a tenth of a percent. Each band's edges are the day counts implied by a half-decade ladder on that volume, so every rung and every cap resolve to the same ladder rung and intersecting them yields no more than one rung. The per-name volumes are withheld outright." }, "liquidation_horizon": { "1e+07": [ { "participation_cap": 0.05, "days_to_exit_band": [ 20, 64 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.1, "days_to_exit_band": [ 10, 32 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.2, "days_to_exit_band": [ 5, 16 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true } ], "1e+08": [ { "participation_cap": 0.05, "days_to_exit_band": [ 200, 633 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.1, "days_to_exit_band": [ 100, 317 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.2, "days_to_exit_band": [ 50, 159 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true } ], "1e+09": [ { "participation_cap": 0.05, "days_to_exit_band": [ 2000, 6325 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.1, "days_to_exit_band": [ 1000, 3163 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.2, "days_to_exit_band": [ 500, 1582 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true } ] }, "proxy_caveat": "currency-ETF wrapper liquidity, NOT the OTC interbank FX market \u2014 see equity_liquidity pack provenance", "capacity_at_budget_bp_withheld": true }, "large": { "segment": "EQUITY", "asof_month": "2026-06", "n_names": 40, "costs": { "withheld": true, "bands": [ { "position_usd": 10000000.0, "impact_band_bp": "<1bp" }, { "position_usd": 100000000.0, "impact_band_bp": "1-10bp" }, { "position_usd": 1000000000.0, "impact_band_bp": "10-100bp" } ], "note": "FREE, in full: status, asof, every assumption, the position grid, each bucket's segment, basket month, name count and proxy caveats, every participation cap, a banded liquidation horizon in DAYS at each cap, the ranked costliest names, and a decade-wide band on the cost at each rung. WITHHELD FROM THIS BLOCK: the point-estimate impact calibration, i.e. every impact_bp, capacity_at_budget_bp, per_day_impact_bp, daily_clip_usd, the exact days_to_exit, and the per-name lambda_hat / med_dollar_vol / impact_bp_10m. Read that boundary as this block's, not the fleet's: cascade.json publishes per-name Amihud lambda estimates free and by design, because they are recomputable from keyless public price and volume data, so the name-level illiquidity ranking is not what is being protected here. The basket volumes are. They are withheld together because the impact model is linear: publishing any one position-and-impact pair pins the bucket's lambda, and every other cost then follows by arithmetic over fields that stay free. The day count is banded for the same reason and not deleted: an exact days_to_exit beside its cap returned the BASKET's median dollar volume by one division, position / (cap x days), to better than a tenth of a percent. Each band's edges are the day counts implied by a half-decade ladder on that volume, so every rung and every cap resolve to the same ladder rung and intersecting them yields no more than one rung. The per-name volumes are withheld outright." }, "liquidation_horizon": { "1e+07": [ { "participation_cap": 0.05, "days_to_exit_band": [ 1, 1 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.1, "days_to_exit_band": [ 1, 1 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.2, "days_to_exit_band": [ 1, 1 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true } ], "1e+08": [ { "participation_cap": 0.05, "days_to_exit_band": [ 1, 2 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.1, "days_to_exit_band": [ 1, 1 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.2, "days_to_exit_band": [ 1, 1 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true } ], "1e+09": [ { "participation_cap": 0.05, "days_to_exit_band": [ 7, 20 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.1, "days_to_exit_band": [ 4, 10 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.2, "days_to_exit_band": [ 2, 5 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true } ] }, "costliest_names": [ { "rank": 1, "symbol": "TMO" }, { "rank": 2, "symbol": "ADBE" }, { "rank": 3, "symbol": "DIS" } ], "capacity_at_budget_bp_withheld": true, "costliest_names_withheld_fields": [ "lambda_hat", "med_dollar_vol", "impact_bp_10m" ] }, "small_mid": { "segment": "EQUITY", "asof_month": "2026-06", "n_names": 20, "costs": { "withheld": true, "bands": [ { "position_usd": 10000000.0, "impact_band_bp": "10-100bp" }, { "position_usd": 100000000.0, "impact_band_bp": "100-1000bp" }, { "position_usd": 1000000000.0, "impact_band_bp": ">=1000bp", "extrapolated": true, "note": "figure withheld (Agent/Desk tier); linear model extrapolated beyond one day's observed flow; treat as a lower bound on real cost" } ], "note": "FREE, in full: status, asof, every assumption, the position grid, each bucket's segment, basket month, name count and proxy caveats, every participation cap, a banded liquidation horizon in DAYS at each cap, the ranked costliest names, and a decade-wide band on the cost at each rung. WITHHELD FROM THIS BLOCK: the point-estimate impact calibration, i.e. every impact_bp, capacity_at_budget_bp, per_day_impact_bp, daily_clip_usd, the exact days_to_exit, and the per-name lambda_hat / med_dollar_vol / impact_bp_10m. Read that boundary as this block's, not the fleet's: cascade.json publishes per-name Amihud lambda estimates free and by design, because they are recomputable from keyless public price and volume data, so the name-level illiquidity ranking is not what is being protected here. The basket volumes are. They are withheld together because the impact model is linear: publishing any one position-and-impact pair pins the bucket's lambda, and every other cost then follows by arithmetic over fields that stay free. The day count is banded for the same reason and not deleted: an exact days_to_exit beside its cap returned the BASKET's median dollar volume by one division, position / (cap x days), to better than a tenth of a percent. Each band's edges are the day counts implied by a half-decade ladder on that volume, so every rung and every cap resolve to the same ladder rung and intersecting them yields no more than one rung. The per-name volumes are withheld outright." }, "liquidation_horizon": { "1e+07": [ { "participation_cap": 0.05, "days_to_exit_band": [ 1, 2 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.1, "days_to_exit_band": [ 1, 1 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.2, "days_to_exit_band": [ 1, 1 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true } ], "1e+08": [ { "participation_cap": 0.05, "days_to_exit_band": [ 7, 20 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.1, "days_to_exit_band": [ 4, 10 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.2, "days_to_exit_band": [ 2, 5 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true } ], "1e+09": [ { "participation_cap": 0.05, "days_to_exit_band": [ 64, 200 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.1, "days_to_exit_band": [ 32, 100 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true }, { "participation_cap": 0.2, "days_to_exit_band": [ 16, 50 ], "days_to_exit_banded": true, "daily_clip_usd_withheld": true, "per_day_impact_bp_withheld": true } ] }, "costliest_names": [ { "rank": 1, "symbol": "YELP" }, { "rank": 2, "symbol": "PTON" }, { "rank": 3, "symbol": "KSS" } ], "capacity_at_budget_bp_withheld": true, "costliest_names_withheld_fields": [ "lambda_hat", "med_dollar_vol", "impact_bp_10m" ] } }, "crypto": { "asof": "2026-08-12", "estimator": "band_interpolation_v1", "note": "band-interpolated from \u00b11%/\u00b12% aggregate depth (engine/sar.py); None = position exceeds observed depth \u2014 refused to extrapolate; exit capacity Q(S) is the exact inverse on the SELL side, capped=True means 'at least this much' (never extrapolated)", "per_symbol_exit_capacity_usd": { "BTCUSDT": { "100bp": { "capped_at_observed_depth": true, "q_usd": 22551581.1 }, "10bp": { "capped_at_observed_depth": false, "q_usd": 4509962.53 }, "50bp": { "capped_at_observed_depth": false, "q_usd": 22551227.41 } }, "ETHUSDT": { "status": "subscriber", "note": "ETH detail is a desk-tier surface. The BTC table above is the same construction, published free; /desk in the bot lists the tiers" } }, "per_symbol_worst_bp": { "BTCUSDT": { "1e+07": 35.66, "1e+08": null, "1e+09": null }, "ETHUSDT": { "1e+07": null, "1e+08": null, "1e+09": null } }, "q_grid_usd": [ 10000000.0, 100000000.0, 1000000000.0 ], "public_subset": true, "free_view": "BTC worst-case cost and exit capacity ride free at every rung; the ETH curve is desk tier. Where the underlying reading is absent, the declared absence rides free unchanged: a refusal to extrapolate is not a withheld number and is never dressed as one" }, "free_view": "the exit map rides free: the position grid, every bucket's basket size and proxy caveats, a banded days-to-exit horizon at each participation cap, an order-of-magnitude cost band at every rung, and which names sit at the costly end. The point-estimate impact calibration (the bucket lambda and the basket's median dollar volume, plus the four-figure costs, capacities, day counts and per-name coefficients they price): Agent/Desk tier", "withheld_note": "FREE, in full: status, asof, every assumption, the position grid, each bucket's segment, basket month, name count and proxy caveats, every participation cap, a banded liquidation horizon in DAYS at each cap, the ranked costliest names, and a decade-wide band on the cost at each rung. WITHHELD FROM THIS BLOCK: the point-estimate impact calibration, i.e. every impact_bp, capacity_at_budget_bp, per_day_impact_bp, daily_clip_usd, the exact days_to_exit, and the per-name lambda_hat / med_dollar_vol / impact_bp_10m. Read that boundary as this block's, not the fleet's: cascade.json publishes per-name Amihud lambda estimates free and by design, because they are recomputable from keyless public price and volume data, so the name-level illiquidity ranking is not what is being protected here. The basket volumes are. They are withheld together because the impact model is linear: publishing any one position-and-impact pair pins the bucket's lambda, and every other cost then follows by arithmetic over fields that stay free. The day count is banded for the same reason and not deleted: an exact days_to_exit beside its cap returned the BASKET's median dollar volume by one division, position / (cap x days), to better than a tenth of a percent. Each band's edges are the day counts implied by a half-decade ladder on that volume, so every rung and every cap resolve to the same ladder rung and intersecting them yields no more than one rung. The per-name volumes are withheld outright." }, "crypto_desk": { "asof": "2026-08-12", "audience": "retail traders and small crypto desks \u2014 position grid ['$1,000', '$10,000', '$100,000', '$1,000,000']", "disclaimer": "Research & market data, not investment advice. Every number carries its method and its limits.", "assets": { "BTC": { "exit_table": [ { "best_venue": { "sell_bp": 0.003, "venue": "binance" }, "q_usd": 1000.0, "sell_bp_by_venue": { "binance": 0.003, "bitfinex": 7.85, "coinbase": 0.004, "gemini": 0.519, "kraken": 0.686, "okx": 0.014 }, "unable_at_observed_depth": [], "venue_spread_bp": 7.85, "worst_venue": { "sell_bp": 7.85, "venue": "bitfinex" } }, { "best_venue": { "sell_bp": 0.023, "venue": "binance" }, "q_usd": 10000.0, "sell_bp_by_venue": { "binance": 0.023, "bitfinex": 7.91, "coinbase": 0.033, "gemini": 0.704, "kraken": 0.712, "okx": 0.072 }, "unable_at_observed_depth": [], "venue_spread_bp": 7.89, "worst_venue": { "sell_bp": 7.91, "venue": "bitfinex" } }, { "best_venue": { "sell_bp": 0.226, "venue": "binance" }, "q_usd": 100000.0, "sell_bp_by_venue": { "binance": 0.226, "bitfinex": 8.508, "coinbase": 0.325, "gemini": 2.553, "kraken": 0.976, "okx": 0.654 }, "unable_at_observed_depth": [], "venue_spread_bp": 8.28, "worst_venue": { "sell_bp": 8.508, "venue": "bitfinex" } }, { "best_venue": { "sell_bp": 2.253, "venue": "binance" }, "q_usd": 1000000.0, "sell_bp_by_venue": { "binance": 2.253, "bitfinex": 14.49, "coinbase": 3.243, "gemini": 21.047, "kraken": 3.613, "okx": 6.466 }, "unable_at_observed_depth": [], "venue_spread_bp": 18.79, "worst_venue": { "sell_bp": 21.047, "venue": "gemini" } } ], "n_eff_venues": 4.68, "cr1_top_venue": { "share": 0.285, "venue": "binance" }, "coverage_note": "book(s) truncated inside \u00b11% at: binance \u2014 their depth (and share) is a LOWER BOUND, so concentration in the remaining venues may be overstated; flags from the collector, surfaced not smoothed" } }, "public_subset": true, "free_view": "ETH desk + venue withdrawal scenarios + watched-wallet detail: subscriber tier" }, "strategy": { "asof": "2026-08-12", "label": "liquidity risk overlay + execution router \u2014 RESEARCH/paper; edge claim gated by prereg bar 5b (not passed); no live orders", "disclaimer": "Research & PAPER only, not investment advice. This is a liquidity RISK OVERLAY + execution router \u2014 no price prediction, no live orders, edge unvalidated (prereg bar 5b).", "today": { "target_exposure": 0.125, "reasons": [ "CRYPTO tier 'PARTIAL' unscored \u2014 no haircut (absence is not stress)", "crypto liquidity-state mixed \u2192 \u00d70.5 (RESEARCH, bar 2a pending)", "fragility: tipping ELEVATED: CSD >=2 legs up", "fragility: selfconsistency: percentile accruing/withheld", "fragility: ofi_depth LOW", "fragility: invariance ELEVATED: |deviation| 0.82", "fragility: backbone HIGH: Bank of America DebtRank 0.357>share, kappa 8.8, spectral z 8.6", "fragility: cascade ELEVATED: full-cascade loss 0.31, truncation gap 0.13", "fragility: fragility concordance 2/4 crypto-native lenses ELEVATED+ (1 withheld) -> exposure x0.25", "fragility flag: cross-boundary concordance" ] }, "exit_routing": { "10000": { "asset": "BTC", "bps_saved_vs_worst": 7.869, "note": "execution SAVINGS (measured from the desk's exit table); not a price prediction \u2014 routing only", "q_usd": 10000.0, "routable": true, "route_to": "binance", "route_to_bp": 0.028, "usd_saved_vs_worst": 7.87, "worst_bp": 7.897, "worst_venue": "bitfinex" }, "100000": { "asset": "BTC", "bps_saved_vs_worst": 8.216, "note": "execution SAVINGS (measured from the desk's exit table); not a price prediction \u2014 routing only", "q_usd": 100000.0, "routable": true, "route_to": "binance", "route_to_bp": 0.274, "usd_saved_vs_worst": 82.16, "worst_bp": 8.49, "worst_venue": "bitfinex" }, "1e+06": { "asset": "BTC", "bps_saved_vs_worst": 19.372, "note": "execution SAVINGS (measured from the desk's exit table); not a price prediction \u2014 routing only", "q_usd": 1000000.0, "routable": true, "route_to": "kraken", "route_to_bp": 2.687, "usd_saved_vs_worst": 1937.2, "worst_bp": 22.059, "worst_venue": "gemini" } }, "paper": { "equity": 1.043349, "n_days": 23 }, "backtest": { "status": "insufficient_history", "n_days": 26, "strategy_return": 0.0006, "buy_hold_return": 0.0011 } }, "fetch": { "asof": "2026-07-31", "label": "current-affairs uncertainty overlay \u2014 INFORMATIONAL, grounded in a cited transmission taxonomy; the 'attention leads liquidity stress' claim is prereg bar 7a, NOT asserted", "fused": { "n_qualifying": 0, "note": "fused overlay withheld \u2014 only 0 of 3 channels have accrued history; the world is still being watched, not scored", "stress": null }, "channels": [ { "channel": "policy_uncertainty", "name": "Policy / trade-policy uncertainty", "surface": "undertow_markets", "latest_surge": 0.7854, "stress_pctl": null, "source_id": "arXiv:2603.25285" }, { "channel": "funding_stress", "name": "Funding / banking stress", "surface": "seiche_funding", "latest_surge": 0.7317, "stress_pctl": null, "source_id": "arXiv:2603.10690" }, { "channel": "macro_uncertainty", "name": "Macro / economic uncertainty", "surface": "undertow_markets", "latest_surge": 0.734, "stress_pctl": null, "source_id": "arXiv:2507.05552" }, { "channel": "energy_shock", "name": "Energy / commodity shock", "surface": "undertow_markets", "latest_surge": 0.7159, "stress_pctl": null, "source_id": "arXiv:2607.16970" }, { "channel": "disaster", "name": "Disaster / systemic event", "surface": "undertow_markets", "latest_surge": 0.938, "stress_pctl": null, "source_id": "arXiv:2504.18958" } ], "by_surface": { "liquilens_institutions": [], "seiche_funding": [ { "channel": "funding_stress", "latest_surge": 0.7317, "stress_pctl": null } ], "undertow_markets": [ { "channel": "policy_uncertainty", "latest_surge": 0.7854, "stress_pctl": null }, { "channel": "macro_uncertainty", "latest_surge": 0.734, "stress_pctl": null }, { "channel": "energy_shock", "latest_surge": 0.7159, "stress_pctl": null }, { "channel": "disaster", "latest_surge": 0.938, "stress_pctl": null } ] }, "sits_upstream_of": [ "seiche_funding", "liquilens_institutions", "undertow_markets" ] }, "sealed_calls": { "asof": "2026-08-12", "n_sealed": 3, "record": { "authors": [ { "author": "desk", "decided": 3, "hit": 2, "hit_rate": 0.6667, "miss": 1, "note": "hit_rate over HIT+MISS only; VOID and pending excluded; every sealed call is in the hash-chained, pq-signed ledger \u2014 losers cannot be deleted", "pending": 0, "sealed": 3, "void": 0 } ], "schema": "undertow.sealed_call.v1" }, "recent": [ { "author": "desk", "call_id": "f3cc66c4578cbac81ca1f4509d0bb3d51c1e03994dac50c1f2bc26ebe4571ba2", "call_label": "f3cc66c4578cbac8", "claim_text": "BTC's effective venue count stays above 3.5 on 2026-07-25 (no single-venue depth collapse within the week).", "created_asof": "2026-07-18", "horizon": "2026-07-25", "late_publication": false, "observed": "4.74 venues", "outcome": "HIT", "scored_predicate": "BTC effective venue count gt 3.5" }, { "author": "desk", "call_id": "ce84d9cd9f87c5a9ee3f0d0d095920202fc82a083f20fb6c539071436c7432f1", "call_label": "ce84d9cd9f87c5a9", "claim_text": "BTC top-venue share of depth stays under 40% on 2026-07-25 (no venue captures the book).", "created_asof": "2026-07-18", "horizon": "2026-07-25", "late_publication": false, "observed": "0.2632 share", "outcome": "HIT", "scored_predicate": "BTC top-venue depth share lt 0.4" }, { "author": "desk", "call_id": "191135451cce1e0e8970f816dabdee106d4aac0dce5b9f051265f72db02de944", "call_label": "191135451cce1e0e", "claim_text": "Funding regime is still EROSION on 2026-07-25 (the plumbing does not calm within a week).", "created_asof": "2026-07-18", "horizon": "2026-07-25", "late_publication": false, "observed": "STRAIN", "outcome": "MISS", "scored_predicate": "funding regime is EROSION" } ], "ledger_root": "38c42bcc68996b1b0abe1799d75ec1b6335eaebfd94aa9d830c5e9b03910a475", "ton_anchor": { "comment": "undertow-anchor:v1:38c42bcc68996b1b0abe1799d75ec1b6335eaebfd94aa9d830c5e9b03910a475", "network": "mainnet", "note": "publish this as the comment of a TON tx from the attestation wallet; the comment is a hash commitment \u2014 a public on-chain timestamp of the record root", "root_sha256": "38c42bcc68996b1b0abe1799d75ec1b6335eaebfd94aa9d830c5e9b03910a475" }, "provenance": { "prereg": "docs/prereg/wave2_prereg.md \u00a7W3.4 \u2014 the record is arithmetic over sealed outcomes; we make no forecast claim of our own", "record": "every call is hash-chained (PIT stream 'calls') and post-quantum signed BEFORE its outcome; outcomes are sealed in stream 'call_resolutions' \u2014 neither can be edited or deleted", "resolution": "each call scored against the immutable, hash-chained PIT board RECORD for its horizon date (never the mutable board file); VOID when the datum was unavailable \u2014 never scored as a win or loss" } }, "quantum_watch": { "asof": "2026-08-12", "dataset_version": "2026-07-18.1", "gap": { "axes": { "logical_qubits": { "demonstrated": 48, "demonstrated_ref": "quera-2023", "note": "smallest published logical-qubit requirement vs largest DEMONSTRATED logical-qubit system (announcements excluded)", "required": 1200, "required_ref": "ecdlp-google-2026", "shortfall_factor": 25.0 }, "physical_qubits": { "demonstrated": 280, "demonstrated_ref": "quera-2023", "note": "smallest published physical-qubit requirement vs largest demonstrated system \u2014 glosses over error rates and architecture, stated as such", "required": 500000, "required_ref": "ecdlp-google-2026", "shortfall_factor": 1785.7 } }, "honesty": "no fused countdown: the axes move independently, the requirements side is FALLING as algorithms improve, and a shortfall factor is not a date", "requirements_trend": { "RSA-2048": { "from": { "date": "2019-05", "physical_qubits": 20000000, "ref": "rsa-gidney-ekera-2019" }, "requirement_fell_by_factor": 20.0, "to": { "date": "2025-05", "physical_qubits": 1000000, "ref": "rsa-gidney-2025" } }, "secp256k1": { "from": { "date": "2022-01", "physical_qubits": 317000000, "ref": "ecdlp-webber-2022" }, "requirement_fell_by_factor": 634.0, "to": { "date": "2026", "physical_qubits": 500000, "ref": "ecdlp-google-2026" } } } }, "exposure_btc": [ { "claim": "~25% of BTC (~4M coins) sits in quantum-exposed addresses \u2014 ~2M in P2PK (public key always visible) + ~2.5M in REUSED P2PKH (key revealed on prior spend); never-spent P2PKH stay hashed and safe (Deloitte; analysis is several years old)", "date": "2022", "id": "deloitte-25pct", "source": "https://www.deloitte.com/nl/en/services/consulting-risk/perspectives/quantum-computers-and-the-bitcoin-blockchain.html", "status": "reported" } ], "policy_anchor": [ { "claim": "NIST IR 8547 (Initial Public Draft, still draft mid-2026): RSA/ECDSA/ECDH/DH DEPRECATED after 2030, DISALLOWED after 2035 \u2014 the regulatory clock funds' risk committees now cite", "date": "2024-11", "id": "nist-ir-8547", "source": "https://csrc.nist.gov/pubs/ir/8547/ipd", "status": "government" } ], "our_record": "Undertow's own attestation stack is already hash-based/post-quantum \u2014 docs/QUANTUM.md; the fear this tracker measures does not apply to the record it ships in" } }, "public_subset": true, "free_view": "free: every segment's tier, score and counts; the first two measures in full, save for the one arithmetic case below; and the limits register naming EVERY measure the cell scored, trimmed rows included, each with the limit clauses of its reading. Subscriber tier: the full method prose, the measures past the first two, and the numeric stress percentile of any measure whose row is not in the free view (in its limits and caveat prose, in its field, and in the cell's score_lo/score_hi/dispersion/mean_pctl span, which is withheld whole on any cell whose qualifying rows are not all free). The score is the MEAN of the qualifying rows, so when exactly one qualifying row sits behind the trim, that row's percentile is score x n_qualifying minus the free ones; on such a cell one free qualifying row's numeric percentile is withheld too, in its field and its prose alike, so the arithmetic has two unknowns and not one. The row itself, its name, its limits and its caveat all stay free, and so do the tier, the score and the true counts" }