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Earn USDC is an all-weather product that generates yield by purchasing Backed IB01 $ Treasury Bond 0–1yr tokens with an average YTM of 4.64% (as of April 10), then enhancing that by purchasing weekly at-the-money knock-out barrier options on ETH, to get exposure to short-term volatility in the market in either direction. Depositors can get upside exposure to the crypto market and remain principal protected.
We are making two key changes in the V2 upgrade:
- 1.Risk-Free Rate: Instead of sourcing funding by lending USDC open-term to market makers like Wintermute and Folkvang in V1, V2 sources funding by purchasing Backed IB01 tokens which represent ownership of the tracker certificate for the underlying iShares $ Treasury Bond 0–1yr UCITS ETF.
- 2.ETH 10-delta Knock-Out Barrier: Instead of maintaining fixed % knock-out barriers for the exotic option in V1, in V2 the barriers will be fixed at the 10-delta levels and thus move dynamically with volatility.