3CA Algorithm

The 3CA V1 algorithm is a composition of four discrete sequential engines (Fraud Risk Engine -> Credit Risk Engine -> Asset Risk Engine -> Portfolio Risk Engine) which outputs (1) Credit Line Size, (2) Default Credit Risk Premium %, and (3) Repayment Rate. The 3CA algorithm will evolve over time.

NOTE 3CA will iterate—each engine’s logic, weights, and data inputs are upgradeable.

Fraud Risk Engine

The fraud risk engine is responsible for assessing whether the prospective user is engaging in some form of fraud or is too risky for us to engage with. This includes but is not limited to:

1. Wallet History: fresh wallet, stale transaction history, OFAC sanctions list, tagged as stolen funds, ransomware, etc.

2. Browser: IP address offshore of USA, IP address far from IRL city/state, etc

3. Bank: new bank account, limited transaction history, identity associated with a breach, synthetic identity, balance stuffing.

4. Credit Karma: hashed name mismatch with Bank.

Output: Binary 0/1. Any critical flag ⇒ application rejected; no partial approval.

Credit Risk Engine

The credit risk engine is responsible for assessing the creditworthiness of a prospective user.

Outputs:

1. Jane Score. Returns [300-1000]. See Jane Score section for more.
2. Default Credit Risk Premium %. Returns [MIN_DRP-MAX_DRP]. A fixed credit default risk premium applied per-user (risk-adjusted APR quote for an unsecured credit line), based on their Jane score, probability of default (PD) buckets, base pool rate, loss given default (LGD), capital ratio, capital cost, profit floor, profit slope, and max APR.

   1. Lookup: Drops the Jane score into a table of default-rate bands derived from U.S. consumer-credit data.

   2. Buffer: Inflates those historical default rates with safety cushions (bigger cushion for riskier bands) because 3Jane is a new product.

   3. Prices: Expected loss (PD × LGD) + small profit load + optional capital charge is added to a base funding rate.

   4. Guard-rails: Clips the result at a hard APR ceiling so quotes never exceed policy limits.

3. Repayment Rate. Returns [MIN_RR-MAX_RR]. The minimum repayment rate to maintain good standing on your credit line per month, expressed as a % of your outstanding principal.

Asset Risk Engine

The asset risk engine is responsible for assessing the credit line to provide for the prospective user.

Outputs:

1. Gross Credit Line. Returns [0, MAX_SIZE]. The credit line is derived by ingesting Assets & Jane Score and

   1. calculate the individual asset LTV based on volatility, liquidity, smart contract risk, age, etc

   2. calculate the correlation risk across assets

   3. calculate the user creditworthiness (Jane Score) to adjust the LTV up or down

Portfolio Risk Engine

The portfolio risk engine is responsible for adjusting the gross credit line based on the overall risk exposure and correlation risk across all the outstanding credit lines.

Outputs:

1. Credit Line. Returns [0, MAX_SIZE]

Appendix