What would cause
a loss here
Each sleeve is held because of a specific premium, and every premium is payment for a specific risk. Naming them is the job; a strategy that cannot name what would break it is not understood well enough to fund.
The register
| Risk | Why it applies here | How it is controlled |
|---|---|---|
| Stablecoin depeg | The dominant risk in the book. Most sleeves hold synthetic or yield-bearing dollars rather than USDC. | Every underlying watched against NAV daily. Bands at −0.5% / −2% / −5%. Exit is triggered by peg, not by the rate. |
| Withdrawal liquidity | A published rate says nothing about whether the position can be left. | Redeemable liquidity measured before entry and monitored after. Positions whose exit depends on a borrower repaying are declined. |
| Concentration | Two vaults can look like diversification while sharing one issuer. | Exposure decomposed to the token and summed across sleeves. Single-issuer exposure capped by mandate. |
| Smart contract | Any contract can fail regardless of how well the rate verifies. | Venue age, audit history and TVL are entry filters. Position size is capped as a share of each venue. |
| Impermanent loss | Liquidity positions lose to arbitrage in proportion to volatility times concentration. | Fee income is tested against loss-versus-rebalancing at the position's own concentration before entry. Most candidate pools fail. |
| Rate decay | Incentive campaigns end; young vaults flatter their thirty-day numbers. | Budgeting uses the ninety-day figure. Sleeves under ninety days old are sized as trials. |
None of these controls make a position safe. They make the risk legible and the size deliberate, which is the most an allocator should claim.