Collateralization under stress
Centrifuge's assessment for RD-F-068 — scored gray on the v1.7.0 rubric. The evidence below is the curator's reasoning for this score.
Evidence summary #
Not applicable in traditional collateralization sense. Centrifuge pools hold tokenized claims on off-chain assets. No liquidation cascade risk from price drops. Stress scenario: underlying borrowers default, NAV falls, tranche token price declines. For JTRSY (T-bills): effectively backed by U.S. government (zero credit risk). For JAAA (AAA CLO): protected by CLO waterfall. No stress test simulatable from on-chain data.
Sources #
- URLhttps://docs.centrifuge.io/retrieved 2026-04-27
Methodology #
Determine whether under curator-defined stress scenario (top-3 collateral assets drop 50%), protocol net collateralization falls below 110%.
See the full factor methodology and distribution across all protocols →