aUSD — Yield-Bearing Stablecoin System

01 — Product Architecture

aUSD

SENIOR — T-BILL BACKED

Fully collateralized stablecoin backed 1:1 by US Treasury bills. Always redeemable at $1.00. No yield distributed to holders. Capital preservation as primary objective. Acts as senior tranche — paid first, protected first.

BackingUS T-Bills (3-month)

Peg$1.00 hard redemption

Max drawdown0.00%

Lending yieldT-bill rate (floating)

staUSD

JUNIOR — CLO BACKED

Received when aUSD is staked. Collateral rotates into JAAA/PAAA AAA CLO ETFs. All yield from T-bill and CLO layers flows to staUSD holders. Acts as junior tranche — absorbs all losses before aUSD is ever touched.

BackingAAA CLO ETFs (JAAA/PAAA)

Yield sourceCLO spread + T-bill pool

Worst annual return (JAAA)+0.53% (2022)

Indicative yield (looped)~9–11%

02 — Historical Yield: CLOs vs T-Bills

ANNUAL TOTAL RETURN (%)

JAAA vs 3-Month T-Bill — 2021 to 2025

JAAA

3M T-Bill

SPREAD OVER T-BILLS (BPS)

JAAA excess return — CLO complexity premium

Positive spread

Negative (2022 rate shock)

T-BILL YIELD (3M)

4.3%

Current / borrow rate

→

JAAA CLO YIELD

5.7%

Current

→

STRUCTURAL SPREAD

+140bps

Always positive historically

⚠ 2022 spread: JAAA returned +0.53% vs T-bills at +2.10% (−157bps spread). This was a one-off timing artifact — the Fed hiked from 0% to 4.5% in a single year, the fastest cycle in 40 years. T-bills repriced instantly (3-13 week maturity); CLO coupons reset quarterly. Importantly, JAAA still returned positive (+0.53%) in 2022 — outperforming every major bond fund (AGG: −13%, TLT: −31%). The intraday price dip of −2.64% was temporary and recovered in 107 trading days. On an annual total return basis, JAAA has never had a negative year since inception.

03 — Senior / Junior Tranche Structure

Tranche

Token

Yield

Loss absorption

Priority on redemption

Senior PROTECTED

aUSD lenders

T-bill rate (floating ~4.3%). Fixed to risk-free rate — always market competitive.

None. Losses absorbed entirely by junior before senior is touched.

First — T+0

Junior YIELD

staUSD holders

CLO spread amplified by leverage. ~9–11% at 5x. Compensation for taking first loss.

All CLO NAV drawdowns absorbed here first. staUSD value adjusts before aUSD is impacted.

Second — T+1

CAPITAL STACK (EXAMPLE: $100 POOL)

How losses flow through the structure

WHY THIS PROTECTS aUSD

With a 40% junior buffer, the system can absorb a 40% total loss on the CLO portfolio before aUSD holders lose a single dollar.

JAAA has never had a negative annual return since inception. Its worst year (2022) returned +0.53%. To impair aUSD at a 40% junior ratio, CLOs would need to sustain losses that have no historical precedent.

AAA CLO tranches have zero credit defaults in 30+ years including the 2008 GFC. The worst intraday price dip ever recorded was −2.64% (Jul 2022) — fully recovered in 107 trading days.

04 — The Leverage Loop

LOOP MECHANICS — USING OUR OWN LENDING MARKET, NOT EXTERNAL PROTOCOLS

Mint

Deposit USDC/USDT → mint aUSD at $1.00. Backed by T-bills.

→

Stake

Stake aUSD → staUSD. Collateral converts to JAAA CLOs.

→

03
Borrow
Deposit staUSD as collateral in our lending market. Borrow aUSD at T-bill rate.

→

Re-stake

Stake borrowed aUSD → more staUSD → more collateral.

→

Repeat

Each loop captures 140bps spread. Repeat up to protocol limit (5x).

BORROW COST (aUSD)

T-bill rate

Mirrors SOFR — no external dependency

EARN ON staUSD

T-bill + 140bps

JAAA CLO structural spread

NET SPREAD PER LOOP

+140bps

At 5x → ~700bps added yield

EFFECTIVE YIELD BY LEVERAGE MULTIPLE (BASE CLO YIELD: 5.7%)

Hover bars for detail — green zone recommended, amber zone caution

05 — Protocol Safety Limits

MAX LEVERAGE

Hard protocol cap. The worst intraday price dip JAAA has ever recorded is −2.64% (Jul 2022). At 5x leverage, that intraday move causes −13.2% collateral erosion — well within the 88% liquidation buffer. Annual return that year was still +0.53%.

LTV CAP

80%

Maximum loan-to-value for staUSD collateral. Borrowing stops at 80% LTV. Liquidation triggered at 88% LTV — gives 8% buffer before liquidation fires.

LIQUIDATION THRESHOLD

88% LTV

If staUSD collateral value drops enough to push position above 88% LTV, protocol automatically begins unwinding the position to protect aUSD lenders.

JUNIOR BUFFER MIN

25%

Minimum ratio of staUSD (junior) to total pool. If junior buffer drops below 25%, new borrowing is paused until ratio recovers. Protects systemic solvency.

T-BILL RESERVE

20%

20% of all staked assets held in T-bills not CLOs. Instant liquidity for aUSD redemptions without waiting for CLO settlement (T+1). Replenished automatically.

SINGLE USER CAP

$5M

Per-address borrowing cap in early deployment. Prevents single large position from dominating the pool and creating systemic liquidation risk. Raised over time as TVL grows.

Oracle: Chainlink SOFR feed for T-bill rate (borrow cost). Janus Henderson published daily NAV for JAAA (attested by custodian) for CLO collateral value. Both feeds time-weighted over 1 hour to prevent manipulation. Circuit breaker pauses all liquidations if NAV feed deviates more than 5% in under 1 hour.

06 — Redemption Mechanics

aUSD Redemption — Senior

User submits redemption request for aUSD → $1.00

Protocol checks T-bill reserve buffer (20%) — if sufficient, redeems instantly from buffer

If buffer insufficient, request enters queue. T-bills mature or are sold (T+0 same day for most maturities)

USDC sent to user. Buffer auto-replenished from incoming deposits or CLO yield

staUSD Redemption — Junior

User submits redemption. Protocol checks for active borrows against this staUSD — must repay borrow first

If no borrow: SPV initiates JAAA sale on NYSE. T+1 settlement (next business day)

Proceeds flow from custodian → SPV → onchain. User receives USDC at current NAV price (not fixed $1.00)

Large redemptions (>$1M) enter queue — processed in order, max $5M/day to prevent market impact

07 — Loss Simulation

INTERACTIVE STRESS TEST

How the tranche structure protects aUSD holders across different scenarios

Pool assumptions: $100M total — $60M aUSD lenders (senior), $40M staUSD (junior). Click a scenario.

Normal conditions

2022 rate shock

Extreme stress (5x intraday worst)

Full cascade failure

CLO NAV CHANGE

+5.7%

TOTAL POOL VALUE

$105.7M

aUSD HOLDERS

$62.6M

staUSD HOLDERS

$43.1M

T-bill yield on senior ($60M × 4.3%)+$2.58MaUSD lenders

CLO yield on junior ($40M × 5.7%)+$2.28MstaUSD holders

Additional loop yield (5x on $40M)+$2.24MstaUSD holders

aUSD lenders earn 4.3% (T-bill rate). staUSD holders earn ~11.3% total. Both tranches paid in full. No liquidations. System operating as designed.

CLO NAV CHANGE

−2.64% intraday

TOTAL POOL VALUE

$98.94M

aUSD HOLDERS

$60.00M

staUSD HOLDERS

$38.94M

CLO portfolio loss ($100M × −2.64%)−$2.64MstaUSD (junior)

aUSD lenders — principal protected?$60M intactYes — fully protected

staUSD NAV impact$40M → $38.94M−6.6% on junior only

Recovery timeline (historical)107 trading daysFull recovery

This is JAAA's worst ever intraday price drawdown scenario (2022). Note: on a full-year total return basis JAAA returned +0.53% in 2022 — still positive. The intraday -2.64% only matters if staUSD holders are force-liquidated at the worst possible moment. aUSD holders: completely unaffected, $1.00 maintained. staUSD holders: temporary intraday NAV dip of 6.6% on their junior position, recovered in 107 trading days. Annual yield still positive.

CLO NAV CHANGE

−13.2%

TOTAL POOL VALUE

$86.8M

aUSD HOLDERS

$60.00M

staUSD HOLDERS

$26.8M

CLO portfolio loss ($100M × −13.2%)−$13.2MstaUSD (junior)

aUSD lenders — principal protected?$60M intactYes — still fully protected

staUSD NAV impact$40M → $26.8M−33% on junior

Junior buffer remaining26.8% of poolAbove 25% min — pause triggered

5x the worst intraday price dip JAAA has ever recorded (completely hypothetical as a sustained loss — the actual 2022 annual return was still +0.53%). aUSD holders: still fully protected. staUSD holders: −33% temporary loss on their junior position. New borrowing paused (buffer near 25% minimum). System still solvent. aUSD never impaired. For context: this scenario requires CLOs to sustain a loss larger than anything in their 30+ year history on a permanent basis.

CLO NAV CHANGE

−40%

TOTAL POOL VALUE

$60M

aUSD HOLDERS

$60.00M

staUSD HOLDERS

CLO portfolio loss ($100M × −40%)−$40MstaUSD wiped out first

Junior buffer exhausted at−$40M lossstaUSD = $0

aUSD holders — principal protected?$60M exactlyBreakeven — peg intact

Context: what causes −40% CLO loss?Never happenedNot in 30yr history

Theoretical total failure of the junior tranche. Would require AAA CLO losses of 40% — which has never occurred in the 30+ year history of the CLO market, including the 2008 GFC where AAA tranches had zero defaults. At exactly this loss level, aUSD holders break even at $1.00. Beyond this point (loss > 40%), aUSD begins to depeg. This scenario requires a systemic structured credit collapse with no historical precedent.

LOSS WATERFALL — WHO ABSORBS WHAT AT EACH LOSS LEVEL

Junior tranche absorbs all losses up to 40% before aUSD is ever impacted

08 — JAAA Liquidity Analysis — Real Market Data

AVG DAILY VOLUME (MAR 2026)

$364M

7.2M shares × ~$50.50

VOLUME GROWTH (2yr)

+25x

$14M/day Apr'23 → $364M Mar'26

52-WEEK PRICE RANGE

$49.65–$50.85

Only $1.20 total swing

BID-ASK SPREAD

1–2 bps

Tighter than most bond ETFs

REAL AVG DAILY VOLUME ($M) — SOURCE: YAHOO FINANCE / YFINANCE API

JAAA monthly average daily dollar volume — Apr 2023 to Mar 2026

Calculated from actual daily volume × closing price, averaged per trading month. Data pulled directly from Yahoo Finance API.

DAYS TO LIQUIDATE PROTOCOL TVL

Conservative: using 10% of daily volume to avoid slippage

At $364M/day, 10% rule = $36M/day available. $20M T-bill buffer (20% of $100M TVL) handles first redemptions instantly before any JAAA sale needed.

REDEMPTION LIQUIDITY LAYERS

LAYER 1 — T-BILL BUFFER (INSTANT)

20% of pool held in T-bills. Handles all normal redemptions without touching JAAA. At $100M TVL = $20M instantly available. No market interaction needed.

LAYER 2 — JAAA MARKET SALE (T+1)

Sell JAAA on NYSE. At $364M real daily volume, selling $36M (10%) causes negligible price impact. T+1 settlement. Volume has grown 25x in 2 years — getting more liquid over time.

LAYER 3 — QUEUE FOR STRESS (RARE)

Large simultaneous redemptions queue at $5M/day cap. JAAA has never experienced a trading freeze in its 5-year history including Covid (2020) and the 2022 rate shock.

09 — Legal & Technical Structure

SPV / Custody

Cayman/BVI SPV holds JAAA + PAAA ETF shares via regulated custodian (State Street or equiv). Token represents pro-rata claim on SPV assets.

Oracle

Chainlink SOFR feed for borrow rate. Janus Henderson published daily NAV for JAAA collateral pricing. Both time-weighted 1hr to prevent manipulation. 5% deviation circuit breaker.

aUSD redemption

Against T-bill buffer — instant. Queue for large redemptions. Always $1.00. T-bill buffer auto-replenished from CLO yield and new deposits.

staUSD redemption

Via SPV → JAAA sale on NYSE → T+1 settlement. Must repay any open borrows first. NAV-priced not fixed. Large redemptions queued at $5M/day max.

Yield distribution

Monthly CLO coupons swept onchain via SPV attestation. T-bill yield distributed continuously. Both flow exclusively to staUSD holders (non-stakers subsidize stakers).

Target markets

Non-US: GCC, Southeast Asia, crypto-native. GENIUS Act restricts yield stablecoins for US persons. Cayman SPV is established precedent for RWA tokenization.