Concepts
Physical settlement
What happens when the final close is below the barrier.
Definition
On a breach at maturity, CARRY receives the escrowed Stock Tokens instead of cash, priced at S0. GUARD receives the notional in USDG.
Formula
Worked arithmetic
A 10,000 USDG CARRY position on a series struck at S0 = 200 receives 50 Stock Tokens. If the final close is 150, those tokens are worth 7,500 USDG, a loss of 2,500 before coupons.
Who gets what
| CARRY | GUARD | |
|---|---|---|
| Breach at #13 | Stock at S0 + coupons earned | USDG notional + unused prefund |
| No breach | USDG notional + coupons earned | Stock back + unused prefund |
Why settle physically
The stock is already in escrow. Delivering it needs no price at all beyond the barrier test, avoids a second oracle read and leaves CARRY free to hold the shares for a recovery.
Multiplier-aware delivery
If the Stock Token's multiplier changed during the series, the delivered amount is adjusted so CARRY receives the same economic number of shares.
Redeeming
After settlement each holder calls redeem(seriesId) and burns their leg for the payout. There is no deadline.