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

SymbolMeaning
CTotal CARRY USDG deposited
GTotal GUARD notional, Stock Tokens valued at S0
midThe template's reference coupon, the middle of the band
low, highThe band's floor and cap
capNotional cap of the series

Formulas

matched = min(C, G, cap) coupon = clamp(low, high, mid × G ÷ C) cancel if C = 0 or G = 0

Examples

CGmid × G ÷ CCoupon (NVDA band 0.15 to 1.30%)
100,000100,0000.72%0.72%
100,000200,0001.45%1.30% (cap)
200,000100,0000.36%0.36%
100,00010,0000.07%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  • Costly to push: deposits cannot be withdrawn during subscription.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.

Stock Tokens are not offered to US persons. A barrier note can lose value: if the final close sits below the barrier, CARRY holders are paid in stock valued at S0, which can be worth less than what they put in. Nothing on this site is investment advice.

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