# MARGIN_RISK_DISCLOSURE — CAPITAL1000 C00

**Document ID:** `TOX.CAPITAL1000.MARGIN_RISK_DISCLOSURE.V1`  
**Status:** Additive public disclosure (not a member of the sealed historical `PACKAGE.canonical`)  
**Related sealed package:** `static/evidence/capital1000/historical/PACKAGE.sha256` = `1c282fe45e8917309039674a55050cb5cfad8bdae22e43fe75642503f7e1de10`  
**Policy:** `C00_CAPITAL_GATE_FCFS` / `CAPITAL_POLICY_COMMITMENT` SHA256 `245ea4def1d88cb89952d270cf4aceda38b6c530397f2337164ccd641669b1e9`

This file clarifies what the historical €1,000 capital-gate study does and does not demonstrate. It does **not** alter sealed aggregates, genesis, or Reviewer Pack bytes.

## 1. Exact scope of model C00 (Layer A)

C00 is a chronological **initial-margin capital gate** on a precomputed historical signal stream:

- Starting equity: €1,000
- Initial margin target: 10% of **current** equity
- Max concurrent opens: 12
- Nominal leverage used for PnL sizing: 5× (`notional = margin × 5`)
- Decision rule: ACCEPT if `open < 12` and `available >= equity × 10%`, else REJECT
- Ordering: by `entry_ts` (FCFS); no ranking among simultaneous signals on the published history
- Compounding: realized PnL is applied to equity at historical exit time
- Published headline counts: 13,214 signals → 11,350 accepted → 1,864 capital rejects
- Published expectancy on `net_bps`: full ≈ 45.50 bps → accepted ≈ 44.41 bps

## 2. Compounding

Equity is **not** held constant at €1,000. After exits, equity compounds. Later margin targets scale with current equity. Interpreting path drawdowns or terminal equity as a live €1,000 wallet without compounding is incorrect.

## 3. Initial margin vs exchange maintenance margin

C00 locks **initial margin** equal to 10% of equity at accept time. It does **not** implement:

- Exchange maintenance margin schedules
- Mark-to-market liquidation engines
- Insurance / auto-deleveraging
- Cross vs isolated margin as defined by a venue

## 4. Forced liquidations

Forced liquidations are **not simulated**. Bookkeeping events where committed margin exceeds equity can occur after adverse exits; the simulator clamps available capital and continues rejecting new accepts until margin is released. That is **not** an exchange liquidation outcome.

Adverse-excursion proxies (e.g. MAE or hourly path thresholds) used in internal audits are **not** equivalent to venue liquidations and must not be labeled as such.

## 5. Provenance of `net_bps`

Published expectancy/PF for the capital study are computed on precomputed `net_bps` outcomes of the historical opportunity stream. Funding, commissions, and slippage are **not** separately disclosed inside the C00 public pack; they may already be embedded upstream. C00 does not re-derive exchange fee schedules.

## 6. Simulation vs real fills

| Layer | What it is | What it is not |
|-------|------------|----------------|
| A — Historical C00 | Capital-gate replay on historical signals | Exchange fills / DEMO fills |
| B — Prospective €1,000 chain | Shadow ACCEPT/REJECT under C00 after genesis | Live order execution |
| C — DEMO | Operational software trial boundary | Proof that C00 P&L is realizable |

`ACCEPT` in Layer A/B is a **policy decision**, not an exchange fill unless independently linked to execution records.

## 7. Risks quantified in audit Phase 3C (summary)

- Seven bookkeeping events with `committed > equity` / raw available negative (at high compounded equity levels), without a liquidation model
- Many simultaneous multi-loss exit batches (expected under CAP > 1)
- Path equity minimum near €916 early in the C00 replay (≈8% from €1,000)
- Internal MAE/hourly proxies can flag adverse excursions; **liquidation outcomes remain non-determinable** without venue MM rules and true mark-to-market

## 8. Claims supported / not supported

**Supported:** Layer A statement that under published C00 rules the accepted subset preserved published full-stream edge statistics in the sealed sample.

**Not supported by C00 alone:** realistic exchange margin realism (Layer B of margin audit), realizable economic P&L after liquidations (Layer C), constant €1,000 book, equivalence to full DEMO margin handling.

## Publication note

Do not treat this markdown as part of the sealed historical package membership list. Include it in the public website build only after an explicit allowlist decision.