USDC Core DeFi Vaults

Summary

A reference basket of pure-USDC DeFi lending vaults at Philidor's Core risk tier (5 ≤ risk_score < 8). v2.1.1 keeps the v2.0 diversification rules (≤ 10 names across ≥ 2 protocols with ≤ 60% per-protocol seats, 40% curator cap, $5M vault TVL floor, 6-month protocol-age floor), the v2.1 asymmetric requalification (downward score moves ≥ 0.3 trigger a rebalance, upward drift < 1.0 is suppressed), and adds an ERC-4626-compatibility filter that excludes SparkLend money-market positions (SparkLendEthereum) for the same reason as the Prime basket — SparkLend aTokens are not natively ERC-4626 and no Philidor-endorsed 4626 wrapper path is currently maintained. Constituents are auto-demoted on incident-clamp, hard-fail-flag, or sustained downward drift before a tier-crossing event materializes.

Constituent Type

Vault (each constituent is a DeFi vault holding a qualifying terminal-underlying asset)

Minimum constituents: 5.

Eligibility Rule

A vault is eligible when its Philidor risk tier is Core, its asset_components array is exactly ["USDC"], is_stablecoin = TRUE, vaults.tvl_usd ≥ $5M, the vault has been live ≥ 60 days, the underlying protocol has been live ≥ 180 days, and the vault's adapter external_id is not in the exclusion list. v2.1.1 excludes SparkLendEthereum because SparkLend aTokens are not natively ERC-4626 and no 4626 wrapper is currently endorsed; Spark Savings (4626) remains eligible. Core vaults that drop to Edge tier or fall under any floor are removed at the next rebalance; Core vaults upgraded to Prime move into the USDC Prime basket.

Structured form (the rebalancer reads this exact shape):

{
  "asset_category": [],
  "review_status": ["reviewed"],
  "terminal_underlying_category": [],
  "terminal_underlying_min_backing_offchain_pct": null,
  "tier": ["Core"]
}

Weighting Rule

Each Core constituent receives a raw weight proportional to its risk score above 5.0 (the Core tier floor); raw weights are then normalised so the basket sums to 100%. The Core universe is broader than Prime, so caps lean tighter (15% single-name) to ensure diversification.

Formula:

w_i ∝ max(0, risk_score_i − 5.0); normalize so Σ w_i = 1.0

Worked Example

In this illustrative case every normalised weight is below the 20% single-name cap and above the 2% floor, so no cap-redistribution is needed. When a constituent exceeds a cap, the rebalancer iteratively trims it to the cap and redistributes the excess across the remaining names in proportion to their current weights, repeating until all caps and the floor are simultaneously satisfied (within 50 iterations — see invariant I5).

Caps

Refresh Schedule

Rebalances run on a calendar schedule (the last business day of March, June, September, and December at 16:00 UTC) and additionally fire when any constituent crosses a tier boundary, when a hard-fail flag triggers, when an active-incident clamp applies, when a constituent's score moves UP by ≥ 1.0, or when a constituent's score moves DOWN by ≥ 0.3. The asymmetric thresholds reflect the institutional client posture: routine upward APY drift should not churn the basket, but any meaningful downward move on a current member must trigger requalification so deteriorating exposures are removed promptly. Rating-triggered rebalances are throttled to at most one every 30 days; calendar rebalances always fire and are not throttled.

Structured form (the rebalancer reads this exact shape):

{
  "calendar_day": "last_business_day",
  "calendar_months": [3, 6, 9, 12],
  "calendar_time_utc": "16:00",
  "rating_move_throttle_days": 30,
  "rating_move_triggers": [
    "tier_change",
    "score_delta_ge_1_0",
    "score_delta_down_ge_0_3",
    "hard_fail_flag",
    "active_incident_clamp",
    "new_eligible_entrant",
    "methodology_version_change"
  ]
}

Halt Conditions

The rebalancer enforces the following halt-closed invariants. When any of these fails the rebalance aborts and the prior published version is preserved; alerts page the on-call.

Version

Current methodology version: 2.1.2

Methodology document URL: https://docs.philidor.io/docs/methodology/baskets/usdc-core-vaults

Change Log

• 2.1.2 — Initial published methodology.