Gap risk
A move larger than 1/m between rebalances can break the floor. At m=4 that threshold is 25%. Measured max overnight NVDA gap on this chain (short sample) is 7.28%. Longer history is a launch blocker before raising m.
Risk, said plainly
The floor can break in a gap larger than 25%. That sentence belongs on the deposit screen in the same size as the rest of the copy.
Cash-lock
If value falls to the floor, the position converges to all-SGOV and stops participating in any recovery. The screen must say when this happens and what it means.
Rebalance drag
Choppy markets that cross the 5% band repeatedly bleed slippage on both legs. Band width is a parameter. History should show cumulative rebalance cost.
Safe-leg depth
SGOV is the smaller pool. Ticket cap ~$28.4k binds before NVDA. Large deposits may need multi-day fills. Users are told before depositing.
Session calendar
Rebalances only during real US sessions. A Monday-Friday rule would trade on holidays. Holiday calendar is required.
Geo
Tokens are not registered in the US and are not offered to US residents. Disclaimer is required on deposit surfaces.
What we do not do
- No leverage, margin, or liquidations
- No custody or vault that can move funds
- No auto-rebalance without a signature
- No $BRACE emissions to fake a safer floor