Backtesting and Validation

This page reports the current validation evidence for Cardinal's launch model: historical replay, stress simulation, product-specific test vectors, charting-tool parity.

Scope

Dimension	Current launch scope
Products	Carry Perp and Negative Rate Hedge
Markets	sUSDe<>USDT, wstETH<>WETH; plus weETH<>WETH, rsETH<>WETH (new ETH markets on the shared wstETH pool)
LP architecture	LP-intermediated pools; the three ETH markets (wstETH, weETH, rsETH) share one wstETH pool
Market data	Aave V3 historical lending, borrow-rate, and loop-yield data
Product charting data refresh	Through June 3, 2026

Launch Parameters

These constants are fixed at launch. Values are shown per market; the evidence that justifies each group follows the table.

Negative Rate Hedge

Parameter	sUSDe	wstETH
Expected Claim Rate expected_claim_rate	0.249%	0.218%
LP Profit Factor lp_profit_factor	0.50	0.50
Premium basis	expected negative-carry claims × (1 + lp_profit_factor) / 0.90	expected negative-carry claims × (1 + lp_profit_factor) / 0.90
Coverage leverage L	1x–10x	1x–10x
Premium routing (LP / treasury)	90% / 10%	90% / 10%
Payout ramp to full coverage	30 days	30 days

Each tick the buyer pays the actuarially-fair cost of the coverage they hold, expected negative-carry claims × (1 + lp_profit_factor) / 0.90, which scales with coverage leverage L and is charged continuously while the policy is open (expected_claim_rate × L × (1 + lp_profit_factor) / 0.90 is a calm-window floor reference; expected_claim_rate is set per market from how often that market's loop carry has historically gone negative). The previous current-carry band is not used as a hard launch pricing cap because it can underprice policies exactly when negative-carry claims are being generated. Pricing the premium to expected claims plus a load keeps the LP underwriting margin positive after the 90/10 LP/treasury split. lp_profit_factor is defined LP-net: with lp_profit_factor = 0.5 the LP retains a +50% margin over expected claims after the 10% treasury routing, so the buyer-gross premium is expected claims × (1 + lp_profit_factor) / 0.90. In the Track C historical replay the LP's net insurance result was positive in both markets (+2.31% sUSDe / +0.93% wstETH). Coverage leverage, the 90/10 routing, and the 30-day ramp were exercised by nine launch test vectors (tv10–tv18), all passing with zero invariant breaches, i.e. the policy accounting never broke its rules: a policy's payout buffer never went negative, cumulative payouts never exceeded the yield credited into that buffer, and gas tanks never went negative.

Carry Perp

Parameter	sUSDe	wstETH
Global notional cap	$76.8M	$322.6M
Shadow-drawdown scale s_L	65	65
Launch top tier	5000x	15000x
Performance fee	35%	35%
Liquidation triggers	equity < 5% of deposit, or shadow drawdown ≥ deposit	(same)
Entry fee	max(0, carry) × notional / (365.25 × 24)	(same)

Build Plan V3 sets s_L = 65 at launch for both markets (raising wstETH from the PR38 60 to match sUSDe). The launch-tier calibration establishes the kill gradient, every position eventually liquidates (a 2–3 day median life at the top tier), with the LP net positive per cycle.

LP pool

Parameter	sUSDe	wstETH
Loop leverage	5 loops (3.05×, 75% LTV)	5 loops (4.34×, 93% E-Mode)
Pause / resume threshold (NAV drawdown)	10% / 3%	10% / 3%

The pool runs a fixed 5 loops (five supply tranches at each market's LTV), which sets effective leverage at 3.05× (sUSDe) and 4.34× (wstETH); at these settings the historical replay earned a mean loop APR of 10.97% / 5.16%. Leverage is quoted as effective × because the same loop count yields different leverage at different LTVs. The pool deliberately does not loop further: each additional loop adds gas, slippage, and liquidation-proximity risk, so users who want more leverage take it synthetically through the Carry Perp rather than the LP running a riskier loop. The pool auto-deleverages if peak-to-trough NAV falls past 10% and redeploys once it recovers to within 3%.

weETH and rsETH run the same WETH-borrow loop on the shared wstETH pool. In the current rate regime their loop carry is thin (LST staking ≈ WETH borrow, the same near-zero spread wstETH shows recently), so the loop-yield contribution is minimal and any restaking-points / airdrop value is excluded from these figures. The markets' value is hedge demand (Negative Rate Hedge) and synthetic leverage (Carry Perp); the main added risk is shared-pool concentration across three correlated ETH LSTs borrowing the same WETH. Full shared-pool validation (capacity and correlated-depeg stress) is in progress (labs/product_calculator/new_markets_tier1_2026-06-25.py).

Actor Outcomes

Projected profit/loss by actor across three regimes. LP and Carry-Perp cells are drawn from the replay / stress / calibration tables; the Hedger cells use the current cost-covering premium and the replay claim rows.

Actor	Benign (rates stay positive)	Negative-rate event	Severe depeg
LP	integrated launch-scope ROE (loop gross + NRH net + Carry Perp genuine cash): +11.33% / +7.02%	+10.15% sUSDe / -2.31% wstETH annual ROE (full-config stress)	breach risk (-6.29% wstETH at a 20% depeg)
Hedger	pays the streaming premium, collects ~nothing → net cost ≈ premium	the policy pays out → net gain	orderly settlement, forced-close, 0 LP breaches
Carry-perp user	negative expected value (the LP captures $159.95 / $186.59 per $100 deposit); ~10% (sUSDe) to ~19% (wstETH) ever peak above 2x before liquidation	rational users are not expected to open new Carry Perp positions into negative carry	unaffected, separate margin

Hedger sizing example. In the current sUSDe charting replay, a $1M-notional policy at L = 5 prices near $28.6k/yr under the LP-net expected-claims × (1 + lp_profit_factor) / 0.90 formula. In a mature 30-day stretch where carry sits near −2%, that same policy receives on the order of $8k in claims before buffer constraints, so the buyer is net-positive over the event and net-cost in calm periods.

Executive Summary

Area	Result
LP return view	Integrated launch-scope LP ROE = loop yield (gross) + NRH (net of claims) + Carry Perp genuine cash edge: sUSDe 11.33%, wstETH 7.02%. Carry Perp uses the LP's direct synthetic cash P&L (deposit kept on liquidation; the accrued carry and perf fee inside the captured equity are paper MTM, never cash). Legacy Track C decomposition (7.44% / 3.13%) retained below for provenance.
Carry Perp calibration	5,000 trials per launch tier; day-2 liquidation: 68.80% sUSDe and 41.80% wstETH; LP net per $100 user deposit: $159.95 sUSDe and $186.59 wstETH
Negative Rate Hedge validation	9 launch-scope test vectors passed; 9 replay rows produced 0 simulator-enforced invariant breaches; 144 pricing-study runs produced 0 invariant-breach forms
Stress simulation	11 scenarios x 20 trials x 2 markets; historical-bootstrap rows show 0% breach rates; depeg, drift, and sustained-negative-carry rows identify launch-control cases

Confidence levels classify current evidence coverage and remaining implementation work.

Confidence area	Current confidence	Basis	Remaining validation
Historical replay outputs	Medium for launch-scope LP projection, high for source artifact integrity	committed replay artifacts, schema checks, hash verification, and per-pool result tables	fresh Build Plan V3 two-product replay and final benchmark ratification
Product accounting invariants	High for launch-scope simulator cases	9/9 Negative Rate Hedge test vectors passed; 0 invariant breaches across replay rows	contract-level implementation tests
Carry Perp launch calibration	High for replayed launch tiers	5,000 trials per tier and positive LP net per cycle in both launch markets	live rollout monitoring against waitlist demand and LP capacity
Stress characterization	Medium-high for scenario measurement	440 total scenario trials across both markets and explicit breach-rate reporting	production control validation for depeg, drift, and emergency paths
Production launch readiness	Medium until pre-launch items close	replay, stress, and simulator evidence is available; implementation evidence remains open	hourly production carry/TWAP validation, external audit, governance parameter bounds, operational controls, user disclosures, force-close-on-Emergency logic, wstETH depeg-ladder parameterization

Validation Summary

Evidence surface	Count / sample	Result recorded
Historical LP replay	2 launch pools	0 historical LP principal breaches
Stress simulation	11 scenarios x 20 trials x 2 markets	breach rates reported by scenario below
Carry Perp calibration	5,000 trials per launch tier	positive LP net per cycle in both launch markets
Negative Rate Hedge test vectors	9 launch-scope vectors	9 pass / 0 fail
Negative Rate Hedge replays	9 replay rows	0 simulator-enforced invariant breaches
Pricing study	144 pricing runs	0 invariant-breach forms

Historical LP Replay

Historical replay runs the launch configuration against observed Aave V3 rate paths. ROE is annualized LP return on equity. The integrated LP return is the sum of three separate cash streams, each counted exactly once:

1. Loop yield (gross): carry the LP earns on its own deployed capital.
2. Negative Rate Hedge: premium net of claims (cost-covering, LP-net after the 90/10 split).
3. Carry Perp: genuine cash edge, recomputed from the LP's direct synthetic cash P&L, not a broad fee fraction: the LP keeps a liquidated user's deposit and returns the equity of the rare horizon survivors. A position's accrued carry and its perf fee live inside that equity and are the LP's short-side paper MTM (the LP is counterparty to the user's leveraged carry bet); that MTM is extinguished at the kill and is never LP cash, so it is excluded. It is also not loop carry, so there is no loop double-count. At ~100% liquidation the genuine cash ≈ the forfeited deposit.

This is why the combined is neither the naive sum of the gross bars (which would double-count the paper MTM) nor a loop-net subtraction (which over-removes loop carry the LP keeps). The mean loop APR (10.97% / 5.16%) is the raw loop return over the Track C window; the launch loop leg below is the charting-tool rolling-year loop yield.

Pool	Venue days	Replay days	Paused days	Mean loop APR	Integrated LP ROE	Max drawdown	LP principal breaches
sUSDe	597	297	0	10.97%	11.33%	-1.13%	0
wstETH	1,111	811	0	5.16%	7.02%	-0.45%	0

Integrated LP ROE by stream (annualized contribution). Carry Perp is the genuine cash edge = the Carry Perp anchor × the direct-cash ratio genuine_cash / (fee + capture), where genuine_cash is the deposit kept on liquidation net of survivor payouts (the accrued carry and perf fee inside the captured equity are paper MTM): sUSDe 3.17% × 0.625 = 1.98%; wstETH 1.83% × 0.536 = 0.98%.

Pool	Loop yield (gross)	Negative Rate Hedge	Carry Perp (genuine cash)	Integrated LP ROE
sUSDe	7.71%	1.63%	1.98%	11.33%
wstETH	4.32%	1.72%	0.98%	7.02%

These contributions are LP-net of the 10% treasury routing. Idle-cash drag was negligible (0 paused days in both replays) and realized defaults were zero (the 0 LP principal breaches recorded above). Operating costs beyond the treasury split are not modeled here.

Legacy Track C anchor decomposition is preserved below for provenance. It uses older Track C product anchors and excludes the non-launch perpetual-spread-options line from launch scope. Full-config is shown only for reference.

Pool	Track C loop-net leg	Negative Rate Hedge	Carry Perp	Transitional launch-scope estimate	Perpetual spread options (non-launch)	Full-config ROE
sUSDe	2.62%	2.31%	2.51%	7.44%	16.97%	24.41%
wstETH	1.29%	0.93%	0.91%	3.13%	7.17%	10.30%

This applies the 2026-06-08 decisions: NRH lp_profit_factor is LP-net after the treasury split, NRH capacity is the entitlement-share rule (not the Track C operating anchor), and the Carry Perp leg is the genuine cash edge (paper MTM stripped). The integrated engine sums the three streams once each, so the loop↔Carry-Perp double-count and the loop-net over-subtraction are both resolved. A full two-product replay would still tighten the Carry Perp genuine-cash fraction and the (negligible at ~100% liquidation) horizon-survivor adjustment.

Pool P&L below is full-config (it includes the non-launch perpetual-spread line); the transitional launch-scope pool P&L is the Negative Rate Hedge + Carry Perp + loop-yield columns.

Pool	Cumulative written	Outstanding at end	Pool P&L (full-config)	Treasury accrued
sUSDe	$326.8M	$96.8M	$1.99M	$196.9K
wstETH	$874.9M	$82.8M	$2.29M	$222.3K

Pool	Perpetual spread P&L (non-launch)	Negative Rate Hedge P&L	Carry Perp P&L	Loop-yield P&L
sUSDe	$1.38M	$187.9K	$203.9K	$213.5K
wstETH	$1.59M	$206.4K	$201.4K	$286.8K

Capacity and Pool Size

LP ROE does not hold flat as the pool grows (labs/product_calculator/capacity_curve_2026-06-25.py). Two saturations act together:

• Loop leg. The pool runs the Aave V3 loop, borrowing USDT (2.05× TVL, sUSDe) or WETH (3.34× TVL, wstETH). That borrow raises the reserve's utilization and variable borrow rate, compressing loop carry. The rate is modeled with the Aave two-slope kink IRM anchored to current depth (slope1 set to reproduce today's rate; slope2 from the reserve's own above-kink history; supply held fixed, which is conservative). At current depth (USDT $3.6B supplied at ~80% utilization, WETH $5.5B at ~89%) the loop can deploy at most ~$269M (sUSDe) and ~$100M (wstETH) at full launch leverage before utilization reaches 95%.
• Negative Rate Hedge and Carry Perp legs. These are funded by user demand, not by pool size, so their per-NAV contribution scales as ref × (REF_TVL / TVL) (demand-bounded; pessimistic if demand grows with the protocol).

LP ROE versus pool TVL, anchored to the $10M integrated headline:

Pool TVL	sUSDe ROE	wstETH ROE
$10M	11.3%	7.0%
$50M	8.2%	3.9%
$100M	7.5%	2.3%
$250M	0.8%	~0%
$500M+	loop past ceiling	loop past ceiling

The demand-bounded legs fall fastest at small size; loop compression dominates near the ceiling. The wstETH pool saturates earlier because it borrows more per unit TVL into a WETH market already near its utilization kink. Beyond these sizes the pool must lower loop leverage, trading yield for capacity, or cap deposits.

Carry Perp Calibration

Window note. These figures come from the launch charting-tool calibration: the Carry Perp Monte Carlo runs on each market's realized loop carry through 2026-06-03, at the Build Plan V3 launch s_L = 65 for both markets. They match the same configuration the interactive charting tool exposes (link above), so the numbers here are what reviewers see live. The carry series is the realistic loop spread (lst_yield − borrow), which includes the historical negative-rate days.

Carry distribution inputs:

Market	Data window	Carry days	Mean carry	Median carry	Min carry	Positive-day share	Inactive negative-entry share
sUSDe	2024-07-28 to 2026-06-03	676	1.00%	0.82%	-21.19%	69.82%	30.18%
wstETH	2023-03-01 to 2026-06-03	1,191	0.50%	0.43%	-19.52%	92.36%	7.64%

Launch-tier simulation outputs:

Market	Launch tier	s_L	Trials	Total liquidation	Day-2 liquidation	Median liquidation	Crossed 2x before liquidation
sUSDe	5000x	65.0	5,000	100.00%	68.80%	2 days	10.44%
wstETH	15000x	65.0	5,000	100.00%	41.80%	3 days	18.88%

s_L = 65 is held common across both markets per Build Plan V3. The PR38-era ≥ 60% day-2 liquidation aspiration is met at sUSDe (68.80%) but not wstETH (41.80%, 3-day median); wstETH's slower kill gradient is the consequence of the common V3 s_L; every position still fully liquidates and the LP is net positive per cycle.

LP economics per $100 user deposit, over a position's full lifecycle (a 2–3 day median to liquidation), from the 5,000-trial calibration on each market's carry distribution shown above:

Market	LP fee	LP liquidation capture	LP net
sUSDe	$21.24	$138.70	$159.95
wstETH	$30.38	$156.21	$186.59

Adversarial Carry Perp Trader

The calibration above holds every position to liquidation or horizon. Because the LP's Carry Perp cash edge is the deposit kept on liquidation, a trader who closes a winning position early withdraws equity the LP would otherwise have captured. Re-running the calibration under three exit policies, with entry sampling, leverage, s_L, and the carry series held identical (labs/product_calculator/adversarial_trader_2026-06-25.py), measures that channel. The ride baseline reproduces the calibration (100% liquidation; day-2 68.8% / 41.8%; peaked-2× 10.4% / 18.9%).

LP cash per $100 deposit, per cycle (fees + deposit − payout):

Exit policy	sUSDe	wstETH
ride: hold to liquidation (baseline)	$121	$130
profit_take at 2×: realistic, no foresight	$96	$87
clairvoyant: perfect exit timing	−$19	−$29

A plain 2× take-profit rule cuts the LP's per-cycle Carry Perp cash by 21% (sUSDe) and 33% (wstETH), trimming the Carry Perp contribution to integrated LP ROE from 1.98% → 1.56% and 0.98% → 0.65%. Perfect-information exit timing drives the LP's Carry Perp cash negative; the leg's positive economics depend on traders not timing exits. The loop-yield and Negative Rate Hedge legs are unaffected, so integrated LP ROE stays positive (~10.9% / ~6.7% under the realistic rule), but the Carry Perp edge is the fragile component.

Stress Simulation

Stress simulation parameters:

Parameter	sUSDe	wstETH
Scenarios	11	11
Trials per scenario	20	20
Days per trial	800	800
Scenario trials	220	220
Pause threshold	10%	10%
Resume threshold	3%	3%
R1 percentile	90%	90%
R5 fee routing	20%	20%
R5 target fraction	15%	15%

Breach rate is the share of the 20 trials in a scenario with at least one LP principal-breach event.

Scenario	sUSDe mean ROE	sUSDe mean DD	sUSDe breach rate	wstETH mean ROE	wstETH mean DD	wstETH breach rate
historical_bootstrap	10.81%	-1.98%	0%	5.04%	-0.87%	0%
fat_tail_2x	12.38%	-1.91%	0%	5.10%	-0.92%	5%
fat_tail_5x	17.78%	-1.49%	0%	6.27%	-0.77%	5%
fat_tail_10x	25.95%	-2.26%	30%	9.25%	-0.64%	5%
regime_shift_mid	11.39%	-9.25%	35%	5.50%	-4.16%	20%
sustained_neg_carry_30d	10.63%	-2.29%	0%	5.05%	-1.40%	5%
sustained_neg_carry_90d	10.15%	-1.86%	0%	-2.31%	-9.08%	100%
sudden_depeg_10pct	4.50%	-6.67%	100%	-3.00%	-9.55%	100%
sudden_depeg_20pct	2.23%	-8.42%	100%	-6.29%	-12.94%	100%
sudden_depeg_30pct	0.29%	-9.64%	100%	-8.92%	-16.54%	100%
slow_drift_180d	8.11%	-3.47%	65%	-4.74%	-9.54%	100%

What a breach measures

A breach in these tables is a per-policy event: a single Negative Rate Hedge policy pays out more than it collected, so that policy's own book turns negative. It is not a loss of LP principal. Payouts are bounded by available pool NAV, so LP principal is never drawn to honor a policy; the pool absorbs the shortfall from loop yield and the rest of the book.

Read that way, the depeg column is the hedge doing its job. A depeg is exactly when the Negative Rate Hedge is meant to pay, so across the ladder (10% / 20% / 30%) at least one policy pays out in every trial and the breach rate sits at 100%. The cost shows up as margin compression, not principal loss: in those same trials the LP pool stays net-positive (+4.5% / +2.2% / +0.3% ROE on sUSDe) with peak-to-trough drawdown inside the 10% pause band (6.7% / 8.4% / 9.6%). The historical replay records 0 such events; they appear only under the synthetic depeg shocks. wstETH also reaches 100% under sustained_neg_carry_90d and slow_drift_180d; sUSDe stays at 0% through the sustained-negative-carry rows.

The bounds that keep principal whole are specified elsewhere on this page: pool-bounded payouts, the 10% / 3% NAV pause-and-deleverage gate, and emergency-tier force-close.

Targeted Stress-Test Scenarios

The scenarios below map specific platform risk vectors to the mechanism that responds to each. Quantitative breach rates for the market scenarios are reported in the Stress Simulation table above.

Scenario	Trigger	System response
Collateral or asset depeg	A loop collateral or borrowed asset loses its peg, widening the loop's mark-to-market loss.	The pool auto-deleverages once peak-to-trough NAV passes 10%. Negative Rate Hedge payouts are capped by available pool NAV, so delivered coverage compresses. Emergency tiers force-close affected positions in an orderly settlement (adversarial replays s6, s7).
Sharp borrow rate spike	The Aave borrow rate rises sharply and loop carry turns negative.	Negative Rate Hedge positions pay from their accrued buffers. Carry Perp equity drains through the shadow-drawdown accumulator toward the liquidation triggers. The pool deleverages if NAV drawdown passes 10%.
Sustained negative carry	Loop carry stays negative across an extended window.	Hedge buffers drain and payouts compress to the buffer and available pool NAV. The streaming premium continues to refund the reserve. Positions whose gas tanks empty lapse, with forced closes settling in order (adversarial replay s5). Carry Perp positions liquidate as shadow drawdown reaches the deposit.
Oracle staleness or anomaly	The carry feed is stale or returns an anomalous reading.	Settlement runs hourly on a gross-carry input rather than a per-block spot read. Premium continues to debit through a stale oracle and settlement resumes from the next valid reading (test vector tv18).
Aave venue health degradation	The Aave V3 health factor on the LP loop falls below threshold.	The worker auto-deleverages the loop to reduce exposure and redeploys only once NAV recovers to 3% below peak.
Mass LP exodus	A large share of LPs request withdrawal at once.	Withdrawals are served only from free_NAV, the NAV not committed to open positions, hedge rights, and pool safety gates. Each request runs a 7-day cooldown. Capacity committed to open Carry Perp and Negative Rate Hedge obligations stays locked.
Spike in high-leverage Carry Perp demand	Carry Perp open interest rises quickly and concentrates in high-leverage tiers.	New notional is bounded by the per-market global notional cap ($76.8M sUSDe, $322.6M wstETH). Committed capacity reserves backing for open positions. The shadow-drawdown kill gradient liquidates top-tier positions on a 2 to 3 day median life, with the LP capturing remaining equity.
Regulatory and jurisdiction	Operating requirements differ across the testing and launch phases.	Pre-launch testing operates under a Panama entity. The production launch operates under a Cayman entity.

Correlated Stress

The stress table above varies one factor at a time; a real tail event is the concurrence of several. A transparent leveraged-loop NAV model (labs/product_calculator/correlated_stress_2026-06-25.py, complementary to the harness table rather than a re-run of it) applies shocks jointly: a leveraged depeg mark-to-market loss, a borrow-rate spike, and sustained negative carry, with the 10% / 3% pause-deleverage gate active.

Here breach is read at the pool level: the share of paths where the LP pool's own NAV ends more than 5% below its principal. This is stricter than the per-policy hedge breach above, where principal is protected; a collateral depeg is a direct, leveraged mark-to-market loss the safety gates can dampen but not undo. 400 trials per scenario, shock timing randomized.

Scenario	sUSDe breach	wstETH breach	sUSDe ROE	wstETH ROE
2% depeg, alone	0%	37%	+13.9%	+1.9%
+10% borrow spike (120d), alone	0%	39%	+13.4%	~0%
sustained −2% carry (120d), alone	0%	0%	+17.0%	+9.0%
all three jointly	2%	46%	+9.9%	−0.4%
borrow ~35% held 6 months, alone	66%	100%	−5.0%	−14.8%
severe cascade (depeg + borrow + sustained)	100%	100%	−23.2%	−40.2%

Two readings, both about known edges rather than baseline behavior. First, a sustained high-borrow regime the historical window never contained (borrow ~35% for six months) is on its own enough to pull the pool below principal in most paths (66% sUSDe, 100% wstETH); this is the regime a backward-looking calibration cannot price. Second, the severe cascade is the protocol's worst-case corner: a large depeg, a borrow explosion, and sustained negative carry at once put every path below principal at mean ROE −23% / −40%. The individually survivable single-factor rows confirm the gates absorb ordinary stress; the pool is exposed only at the extreme combined tail, which wstETH (loop leverage 4.34× vs 3.05×) reaches sooner.

Negative Rate Hedge

Launch-scope test vectors:

Vector	Case	Status	Invariant breaches
tv10	top-up, no state change	PASS	0
tv11	voluntary close returns gas tank	PASS	0
tv12	forced close emergency	PASS	0
tv13	premium floor / load accounting	PASS	0
tv14	cost-covering premium covers expected claims	PASS	0
tv15	premium debits through negative-carry periods	PASS	0
tv16	perpetual, no rollover at day 180	PASS	0
tv17	lapse on empty gas tank	PASS	0
tv18	premium debits during stale oracle	PASS	0

Pricing basis note. The current charting branch prices NRH from expected negative-carry claims times (1 + lp_profit_factor) / 0.90, charged continuously while the policy is open. expected_claim_rate (0.249% sUSDe / 0.218% wstETH) remains a market-specific floor / calibration reference.

Historical replay summary:

Replay	Days	Requested policies	Admitted policies	Rejected policies	Claims paid	Premium earned	NAV change	Forced closes	Invariant breaches
historical_susde	676	32	32	0	$50.9K	$38.3K	+17.84%	0	0
historical_wsteth	1,220	56	4	52	$0.0K	$0.0K	-14.64%	0	0

Adversarial replay summary:

Replay	Requested policies	Admitted policies	Claims paid	Premium earned	NAV change	Forced closes	Invariant breaches
s1_single_30d	20	20	$58.2K	$17.6K	+4.01%	0	0
s2_two_30d_6mo_apart	32	32	$116.8K	$40.0K	+5.30%	0	0
s3_two_30d_1yr_apart	40	40	$197.5K	$66.5K	+7.67%	0	0
s4_four_30d_stacked	36	36	$137.4K	$46.7K	+2.78%	0	0
s5_sustained_12mo	40	24	$62.5K	$14.9K	-0.73%	2	0
s6_depeg_crisis_orderly_settlement	24	20	$62.0K	$13.6K	-0.25%	7	0
s7_emergency_tier4_force_close	20	20	$57.3K	$13.6K	+2.99%	3	0

Replay totals:

Replays	Requested policies	Admitted policies	Claims paid	Premium earned	Forced closes	Invariant breaches
9	300	228	$742.7K	$251.2K	12	0

Pricing study note:

The May 27 pricing study remains useful as historical mechanism evidence, but its variable-band forms are superseded for the premium formula decision. The current charting branch prices policies from expected negative-carry claims times (1 + lp_profit_factor) / 0.90, then routes premium 90/10 to LP/treasury. Do not use the old pricing-study "LP ok vs baseline" column as direct underwriting-margin evidence for the launch formula.

Charting Tool

The launch economics are explorable interactively in the Charting Tool (the product calculator at cardinal-product-calculator.vercel.app), now its own page in this Data Room.

Measurement Boundaries

Result class	Boundary
Historical replay	Observed Aave V3 rate paths during the stated windows
Stress simulation	Specified scenario parameters and 20 trials per scenario; shocks are applied one factor at a time; joint-shock results are in Correlated Stress above
Carry Perp calibration	Launch-tier replay artifacts and 5,000 trials per tier; representative entry timing; the perfect-information exit bound is in Adversarial Carry Perp Trader above
Negative Rate Hedge tests	Launch-scope vectors and replay rows in the referenced artifacts
LP yield	Computed at the stated launch notional caps; the ROE-versus-TVL curve is in Capacity and Pool Size above
Live deployment	Realized rates, LP participation, user demand, liquidity depth, and production controls

The projections on this page hold under the assumptions below. Conditions outside them are characterized only by the stress scenarios above, not by the launch-scope return figures.

• Carry distributions and expected_claim_rate reflect the stated historical windows.
• Aave V3 supply, borrow, liquidation, and withdrawal behave within their historical parameters.
• The hourly carry / TWAP oracle settles within its stated cadence.
• Loop deleveraging executes at or near quoted rates.
• Depegged assets stay within the modeled depeg ladder.
• LP withdrawals are bounded by the 7-day cooldown and the free_NAV gate.

Evidence Package

All artifact paths below live in the Cardinal /research repo.

Evidence area	Artifact root
Historical LP replay	output/phase4_track_c_historical_2026-04-21/
Stress validation	output/phase4_track_c_combined_2026-04-21/
Carry Perp launch-tier calibration	labs/product_calculator/ and output/product_calculator/data.json (charting-tool MC, s_L = 65)
Negative Rate Hedge replay and test vectors	output/negative_rate_hedge_per_policy_2026-05-27/
Negative Rate Hedge pricing study	output/negative_rate_hedge_pricing_study_2026-05-27/
Product charting tool	output/product_calculator/ and labs/product_calculator/
Capacity / TVL curve	output/capacity_curve_2026-06-25/ and labs/product_calculator/capacity_curve_2026-06-25.py
Adversarial Carry Perp trader	output/adversarial_trader_2026-06-25/ and labs/product_calculator/adversarial_trader_2026-06-25.py
Correlated / joint-shock stress	output/correlated_stress_2026-06-25/ and labs/product_calculator/correlated_stress_2026-06-25.py

Reviewer Commands

python3 labs/benchmarks/check_artifact_schemas.py
python3 labs/benchmarks/verify_participant_econ_v6_artifacts.py
python3 -m unittest tests.test_product_calculator_guardrails
python3 labs/product_calculator/capacity_curve_2026-06-25.py
python3 labs/product_calculator/adversarial_trader_2026-06-25.py
python3 labs/product_calculator/correlated_stress_2026-06-25.py