⚖️Mark to Market
How ZC bond positions are valued for P&L and LTV
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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.
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:
A
1,000
94.00
1,063.83
B
1,000
92.00
1,086.96
Total
2,000
2,150.79
(A naive price-weighted average would give 93.00 — the FV basis corrects for the discount structure.)
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.
When no VWAP-eligible trades exist, the protocol falls back in strict order:
Itayose opening price — when a market has just opened
Auto-roll price — when no block price exists since the last roll
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.
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
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