Concepts
Coupon discovery
How one coupon rate clears from the deposits on each side.
Principle
No one quotes the coupon. Both legs deposit during subscription; at strike the protocol compares the two totals and fixes one rate for the life of the series. More demand for protection pushes the rate up toward the band's top; more demand for income pushes it down.
Inputs
| Symbol | Meaning |
|---|---|
| C | Total CARRY USDG deposited |
| G | Total GUARD notional, Stock Tokens valued at S0 |
| mid | The template's reference coupon, the middle of the band |
| low, high | The band's floor and cap |
| cap | Notional cap of the series |
Formulas
Examples
| C | G | mid × G ÷ C | Coupon (NVDA band 0.15 to 1.30%) |
|---|---|---|---|
| 100,000 | 100,000 | 0.72% | 0.72% |
| 100,000 | 200,000 | 1.45% | 1.30% (cap) |
| 200,000 | 100,000 | 0.36% | 0.36% |
| 100,000 | 10,000 | 0.07% | 0.15% (floor) |
GUARD prefund and refund
Because the coupon is unknown until strike, GUARD prefunds the most it could owe: notional × high × 12 plus the notional fee. Whatever the discovered rate and the actual path do not use comes back at settlement; unmatched deposits come back right after strike.
Properties
- Deterministic: anyone can recompute the rate from two on-chain totals.
- Bounded: the floor protects GUARD from free protection being demanded, the cap bounds its prefund.
- Costly to push: deposits cannot be withdrawn during subscription.
Where the Backstop enters
When G exceeds C late in subscription, anyone may trigger a Backstop fill on the CARRY side. BackstopPolicy sizes it so the discovered coupon stays at or above the template's Backstop minimum and within its caps.