Asset Composition (40%)

Asset quality is the irreducible risk floor. The v4.1 asset model scores assets by category and then applies non-compensatory caps.

1) Category Taxonomy

2) Dimension-Based Scoring

The weighted formula depends on category. Core dimensions include:

• peg_stability
• issuer_custody
• redeemability
• reserve_transparency
• governance_controls
• protocol_security
• operator_quality
• bridge_mechanism
• dependency_depth
• liquidity
• volatility

Dimension weights are defined in the active methodology configuration.

3) Cap Cascade (Non-Compensatory)

Final asset score is the minimum of weighted score and all active caps.

final_asset_score = min(
  weighted_dimension_score,
  overlay_cap,
  review_status_cap,
  hard_fail_cap,
  override_cap,
  staleness_cap
)

Review status caps

• reviewed -> 10.0
• provisional -> 9.0
• unreviewed -> 8.0

For provisional or missing evidence contexts, default dimension fallback is conservative (2.5).

4) Overlays

• yield_bearing: score constrained by wrapper/underlying dependency.
• lockup: liquidity dimension is down-weighted.

5) Hard-Fail Controls

Hard-fail flags apply strict caps regardless of weighted dimension quality.

All flags:

• sanctions_exposure -> cap 0.0
• active_depeg -> cap 1.0 (7-day cooldown)
• redemption_paused -> cap 2.0 (3-day cooldown)
• single_signer_upgrade -> cap 3.0
• endogenous_collateral_high -> cap 4.0 (14-day cooldown)
• proof_of_reserve_missing -> cap 4.0 (30-day cooldown)
• unaudited_token_contract -> cap 4.0
• no_recent_attestation -> cap 5.0 (30-day cooldown)

Flags are event-sourced and may include trigger windows/cooldowns.

6) Staleness Penalties

Evidence freshness affects effective dimension values:

• stale (now > fresh_until) -> value x 0.92
• expired (now > fresh_until + 90d) -> value reduced to 75% with a minimum floor of 5.0
• if stale/expired weighted share exceeds threshold, a global staleness cap applies

7) Unresolved Address Fallback

If an adapter cannot resolve an exposure address, scoring falls back to strict unreviewed behavior:

• asset score constrained to conservative low cap
• explainability includes machine-readable unresolved-address reason

8) Portfolio-Level Adjustments

After per-exposure asset scoring, portfolio penalties are applied at vault level:

• concentration penalty
• category correlation penalty
• wrong-way risk penalty

These adjustments prevent concentrated portfolios from appearing safer than diversified equivalents with similar average exposure quality. Single-asset vaults are exempt from concentration and correlation penalties.