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🪄Base Price Adjustment

Duration-aware minimum collateral requirements

Zero-Coupon bonds start at a deep discount and converge to par (100) at maturity — which means a borrower's obligation grows in present-value terms over time. To keep positions safely collateralized along that path (and to stop attackers from using artificially low prices to compute collateral requirements), the protocol enforces a minimum collateral base price (BP): when an order's price is below the BP, required collateral is computed from the BP instead.

The formula

BP is linearly interpolated by time to maturity t between two reference points — the BP at maturity and the BP at 1-year duration:

BP(t)=PMtsecondsPerYear×(PMP1Y)BP(t) = P_{M} - \frac{t}{\text{secondsPerYear}} \times (P_{M} - P_{1Y})

Reference points depend on the asset's yield category:

Category
Yield range
BP at maturity
BP at 1y duration

A

0–3%

96.00

93.00

B

3–5%

96.00

91.00

C

5–7.5%

96.00

89.00

D

7.5–10%

96.00

87.00

E

10–15%

96.00

84.00

F

15%+

96.00

81.00

Current category assignments (BTC — A, ETH/JPYC — B, USDC/USDFC — C, FIL/axlFIL — F) are reviewed quarterly and revised with community input based on observed APRs. Live values: Protocol Parameters.

Examples

  • Category A, 3 months to maturity: BP = 96.00 − 0.25 × (96.00 − 93.00) = 95.25

  • Category C, 1 year: BP = 96.00 − 1.0 × (96.00 − 89.00) = 89.00

  • Category F, 18 months: BP = 96.00 − 1.5 × (96.00 − 81.00) = 73.50

(Illustrative annualized math; contracts compute in seconds.)

What it means for borrowers

  • Your minimum collateral is computed from BP when market prices are below it — a spike-proof floor.

  • As maturity approaches, BP rises toward 96.00, so collateral requirements gradually increase. Plan buffers for long-dated, high-yield (high-category) borrows.

  • The formula is deterministic — you can project your future requirements exactly.

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