RWA Risk Parameters

Overview

RWA collateral introduces unique risks compared to crypto-native assets. This document explains how Centuari’s risk parameters account for these factors.

Risk Framework

Risk Categories

Market Risk

Price volatility of underlying assets

Liquidity Risk

Ability to liquidate positions quickly

Custody Risk

Security of underlying asset storage

Oracle Risk

Price feed accuracy and availability

Issuer Risk

Creditworthiness of token issuer

Regulatory Risk

Legal status and compliance

Parameter Methodology

LTV Calculation

Base LTV is determined by:

Base LTV = 90% - Volatility Adjustment - Liquidity Adjustment - Issuer Adjustment

Factor	Adjustment Range
Volatility (30d)	0-20%
Liquidity Score	0-10%
Issuer Rating	0-10%

Example: AAPL.t

Base: 90%
Volatility (20%): -15%
Liquidity (High): -5%
Issuer (A-rated): -5%
Final LTV: 65%

Liquidation Threshold

Liquidation Threshold = LTV + Safety Buffer

Safety buffer typically 8-12%, depending on asset class.

Asset Class Parameters

Equities

Blue Chip
Growth
ETFs

Characteristics:

Market cap > $100B
High trading volume
Established companies

Parameter	Value
LTV	65%
Liquidation Threshold	75%
Liquidation Penalty	8%
Trading Hours Buffer	+5% LTV reduction after hours

Parameter	Value
LTV	60%
Liquidation Threshold	70%
Liquidation Penalty	10%
Trading Hours Buffer	+8% LTV reduction after hours

Characteristics:

Diversified exposure
Lower individual stock risk
Varies by composition

Parameter	Value
LTV	65-70%
Liquidation Threshold	73-78%
Liquidation Penalty	7%
Trading Hours Buffer	+5% LTV reduction after hours

Fixed Income

US Treasuries
Investment Grade
High Yield

Characteristics:

Lowest credit risk
Low volatility
Highest LTV

Parameter	Value
LTV	85%
Liquidation Threshold	92%
Liquidation Penalty	3%
Trading Hours Buffer	None (low volatility)

Parameter	Value
LTV	75%
Liquidation Threshold	82%
Liquidation Penalty	5%
Trading Hours Buffer	+2%

Commodities

Gold
Silver

Characteristics:

Safe haven asset
23h/day trading
High liquidity

Parameter	Value
LTV	70%
Liquidation Threshold	78%
Liquidation Penalty	5%
Weekend Buffer	+3%

Parameter	Value
LTV	60%
Liquidation Threshold	70%
Liquidation Penalty	8%
Weekend Buffer	+5%

Trading Hours Impact

Traditional markets have limited hours, creating price uncertainty during closures.

Market Hours

Market	Hours (ET)	Days
US Equities	9:30 AM - 4:00 PM	Mon-Fri
Gold/Silver	6:00 PM Sun - 5:00 PM Fri	Near 24/7
US Treasuries	8:00 AM - 5:00 PM	Mon-Fri

After-Hours Protocol

Market Close

Last traded price recorded

Buffer Applied

LTV reduced by asset-specific buffer (e.g., 65% → 60% for stocks after hours)

Overnight

New borrows use reduced LTV Liquidations use buffered price

Market Open

Price updates, normal LTV restored

Weekend Handling

Scenario	Handling
Friday Close	LTV buffer increases (stocks: +10%)
Weekend News	Positions monitored, liquidations paused
Monday Open	Gap risk assessed, liquidations resume
Flash Crash	Circuit breakers activate

Liquidation Process

Standard Liquidation

Health Factor < 1

Position becomes liquidatable

Liquidator Action

Liquidator repays portion of debt

Collateral Seized

Liquidator receives collateral + penalty

On-Chain Sale

Liquidator sells RWA token on DEX

RWA-Specific Considerations

RWA tokens may have lower on-chain liquidity than crypto assets. Liquidations may take longer or have higher slippage.

Mitigations:

Higher liquidation penalties incentivize quick liquidation
Protocol reserve fund covers bad debt from slippage
Liquidation auctions for large positions

Liquidation Penalties

Asset Class	Penalty	Rationale
US Treasuries	3%	Highly liquid, low risk
Gold	5%	Good liquidity
Blue Chip Stocks	8%	Moderate on-chain liquidity
Growth Stocks	10%	Lower liquidity, higher volatility
High Yield Bonds	8%	Credit risk premium

Oracle Configuration

Primary: Chainlink

Asset Type	Update Frequency	Deviation Threshold
Equities	24 hours or 1%	1%
Gold	1 hour or 0.5%	0.5%
Treasuries	24 hours or 0.1%	0.1%

Fallback: TWAP

If Chainlink fails:

15-minute TWAP from DEX prices
Requires minimum $100k liquidity in pool
Automatic switch, no manual intervention

Stale Price Handling

Condition	Action
Price stale > 2 hours (equities)	New borrows paused
Price stale > 4 hours (gold)	New borrows paused
Price stale > 24 hours	Liquidations paused, governance review

Issuer Risk Assessment

Each RWA token issuer is evaluated:

Rating Framework

Factor	Weight	Metrics
Regulatory Status	30%	Licenses, compliance
Custody Quality	25%	Custodian rating, insurance
Track Record	20%	Operating history, incidents
Transparency	15%	Audit frequency, reporting
Financial Health	10%	Capital, profitability

Current Issuer Ratings

Issuer	Rating	Notes
Backed	A	Swiss regulated, clear custody
Ondo	A	US regulated, institutional custody
Paxos	A+	NYDFS regulated, long track record

Issuer Monitoring

Protocol continuously monitors issuer health and can adjust parameters or pause assets if concerns arise.

Triggers for review:

Audit delays or qualifications
Regulatory actions
Custody incidents
Significant redemptions
Price feed anomalies

Stress Testing

Historical Scenarios

Scenario	Impact	Protocol Response
March 2020 Crash	Stocks -34%	All positions healthy at 65% LTV
2022 Bond Selloff	TLT -30%	Positions healthy at 78% LTV
Gold Flash Crash	Gold -5% intraday	No liquidations triggered

Hypothetical Scenarios

Scenario	Assumption	Result
50% Stock Crash	AAPL -50% overnight	23% of positions liquidatable
Issuer Default	Backed insolvent	Protocol insurance covers gap
Oracle Failure	48h stale price	Liquidations paused, manual review

Parameter Changes

Parameters can be adjusted through governance:

Proposal

Community or risk team proposes change with rationale

Analysis

Risk team models impact on existing positions

Vote

Token holders vote (typically 3-day period)

Timelock

24-48 hour delay before implementation

Implementation

Parameters updated on-chain

View Current Parameters

See live risk parameters for all assets

​Overview

​Risk Framework

​Risk Categories

Market Risk

Liquidity Risk

Custody Risk

Oracle Risk

Issuer Risk

Regulatory Risk

​Parameter Methodology

​LTV Calculation

​Liquidation Threshold

​Asset Class Parameters

​Equities

​Fixed Income

​Commodities

​Trading Hours Impact

​Market Hours

​After-Hours Protocol

​Weekend Handling

​Liquidation Process

​Standard Liquidation

​RWA-Specific Considerations

​Liquidation Penalties

​Oracle Configuration

​Primary: Chainlink

​Fallback: TWAP

​Stale Price Handling

​Issuer Risk Assessment

​Rating Framework

​Current Issuer Ratings

​Issuer Monitoring

​Stress Testing

​Historical Scenarios

​Hypothetical Scenarios

​Parameter Changes

View Current Parameters

Overview

Risk Framework

Risk Categories

Parameter Methodology

LTV Calculation

Liquidation Threshold

Asset Class Parameters

Equities

Fixed Income

Commodities

Trading Hours Impact

Market Hours

After-Hours Protocol

Weekend Handling

Liquidation Process

Standard Liquidation

RWA-Specific Considerations

Liquidation Penalties

Oracle Configuration

Primary: Chainlink

Fallback: TWAP

Stale Price Handling

Issuer Risk Assessment

Rating Framework

Current Issuer Ratings

Issuer Monitoring

Stress Testing

Historical Scenarios

Hypothetical Scenarios

Parameter Changes