⚖️Mark to Market

How ZC bond positions are valued for P&L and LTV

Positions are valued at current market prices — not book value — for both P&L display and liquidation LTV calculations. The reference price is called the Mark Price.

How Mark Price is computed

The Mark Price is a volume-weighted average price (VWAP) per block, computed on a Future Value basis: each trade's contribution is weighted by what it will be worth at maturity, not just its present value. This matches the economics of discount instruments.

Example — two trades in one block:

Trade	PV amount	Price	FV amount
A	1,000	94.00	1,063.83
B	1,000	92.00	1,086.96
Total	2,000		2,150.79

$$\text{Mark Price} = \frac{\text{Total PV}}{\text{Total FV}} \times 100 = \frac{2{,}000}{2{,}150.79} \times 100 = 92.99$$

(A naive price-weighted average would give 93.00 — the FV basis corrects for the discount structure.)

Manipulation protection: minimum volume threshold

A block's trades only update the Mark Price if their volume meets a minimum threshold (currently 100 USD equivalent, reviewed periodically — see Protocol Parameters). Below the threshold, the previous valid Mark Price carries forward. This prevents dust trades from moving valuations that drive liquidations.

Fallback waterfall

When no VWAP-eligible trades exist, the protocol falls back in strict order:

1. Itayose opening price — when a market has just opened

2. Auto-roll price — when no block price exists since the last roll

3. Last traded price / VWAP without the volume threshold — when no Mark Price has ever been set

This guarantees a valid valuation exists in every market at all times.

Related

• Liquidation — where Mark Price is consumed

• Auto-Roll Price Discovery — a related but distinct pricing process

• Circuit Breaker — bounds the trades that feed the VWAP