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 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
Characteristics :
Higher volatility
Lower predictability
Tech-heavy
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)
Characteristics :
BBB or higher rated
Moderate spread risk
Good liquidity
Parameter Value LTV 75% Liquidation Threshold 82% Liquidation Penalty 5% Trading Hours Buffer +2%
Characteristics :
Below BBB rated
Higher spread volatility
Credit event risk
Parameter Value LTV 65% Liquidation Threshold 73% Liquidation Penalty 8% Trading Hours Buffer +5%
Commodities Characteristics :
Safe haven asset
23h/day trading
High liquidity
Parameter Value LTV 70% Liquidation Threshold 78% Liquidation Penalty 5% Weekend Buffer +3%
Characteristics :
Higher volatility than gold
Industrial demand component
More volatile
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
