Enhanced Yields

Blockchain-powered Collateralized Reference Notes™ (CRNs) pay compelling coupons and optionally diffuse risk through dynamic risk pooling.

The ultimate result is highly-stable risk profiles and enhanced-yields.

Managed-Risk Securities

CRNs are investment-grade fixed-income securities in which the settlement risk of its linked Collateralized Put Option™ (CPO) has been embedded.

All CRNs:

  • Are competitively negotiated and originated within the primary DelphX® market
  • Pay a negotiated fixed coupon over a fixed tenor
  • Are fully collateralized at all times
  • Enable the holder to either retain the embedded settlement risk of the linked CPO or transfer it to the Quantm™ Risk Pool
  • Are transparently administered in the blockchain-powered distributed ledger integrated within DelphX
  • Are immediately eligible upon origination for secondary trading on DelphX
  • Are continuously benchmark priced through validated MAVn® pricing forecasts.


Bespoke Origination

New CRNs are anonymously structured by the competitive interaction of potential purchasers of the CRN and the purchaser of the pending CPO to which it will be linked. Thus the entry of a new buy order into the CPO order book for a given underlying issue will trigger the automatic entry of a sell order for the CRN required to fund the collateral of the pending CPO.

One of the sell orders will detail the terms for the non-pooled (full-risk) version of the pending CRN and the other will detail the terms of the pooled risk CRN. As indicated below, pooling of the embedded default risk materially reduces the required face amount of the pooled CRN–significantly increasing the yield of the bond. Given the more predictable risk profile, lower collateral requirement and face amount, and resulting higher yield of a pooled CRN, it is anticipated that most participants will elect to pool their risk.

Anonymous Negotiation of New CPO and Linked CRN


A new buy order for a CPO triggers two sell orders for the offsetting CRN, one for a non-pooled version and another for a pooled-risk version.

Pool-Enhanced Yields

Transferring the default risk embedded within a CRN to the Quant≡m Risk-Pool enables holders to reduce their percentage of exposure from 100% of a single credit event to a very small and continually reducing percentage of the exposure of all credit events involving underlying securities referenced by the hundreds (and eventually thousands) of CRNs in the Risk-Pool.

The lower risk and collateral requirements produced by pooling is conveyed by Quant≡m to CRN holders through risk-based reductions of the CRN’s offered face amount. The table below shows the lower purchase prices resulting from each displayed CPO premium, and the higher post-claim yields potentially available through pooling.


A Better Bond Market

Bond_Market_2.0.jpgDefault risk is too concentrated. The market is nontransparent. Too few issues can be protected. DelphX addresses these problems, providing guaranteed credit protection, deeper market liquidity and enhanced investor yields.

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