Problem
Research questions and friction points this paper is trying to address.
price-discovery
tokenized fixed income
on-chain mapping
market informativeness
affine characterization
Price-Discovery Admissibility in Tokenized Fixed Income: Identification, Affine Characterization, and the Structure of the Token-to-Fiat Mapping
🤖 AI Summary
This study investigates whether on-chain tokenized U.S. Treasury products embed recoverable information about their underlying assets—specifically, whether a structural token–fiat mapping exists. To this end, the paper proposes the first falsifiable admissibility criterion for price discovery, integrating a unified fixed-income measurement framework across on-chain and off-chain domains, a testing methodology based on serial dependence and idiosyncratic dispersion, and a two-factor affine model to identify the informational content of prices. Empirical analysis reveals that only one of four data-sufficient products passes the admissibility test, exhibiting quarterly mean reversion and a small positive long-term basis, with convergence to par projected by March 2026. The weakly identified persistence parameter is further leveraged to derive collateral haircuts. This work establishes a quantifiable and verifiable analytical framework for on-chain fixed-income assets.
📝 Abstract
A tokenized U.S. Treasury product lives on two ledgers: an off-chain portfolio of government securities and an on-chain wrapper that claims to represent it. The foundational question is whether the on-chain series carries recoverable information about the underlying -- whether a mapping from token to fiat exists, and with what structure. We proceed in three steps. First, fixed-income measurement conventions are reconciled between the ledgers; these corrections are signed and jointly. Second, on the reconciled series we introduce a price-discovery admissibility criterion: a falsifiable test, based on serial dependence and idiosyncratic dispersion, for whether a product's series is market-informative or administratively generated. Of four products with sufficient history it admits exactly one; the rest are dominated by how net asset value is computed and republished, and treating them as spreads fits artifacts. That most of the universe is inadmissible is our principal finding. Third, for the admitted mapping we give a minimal two-factor affine characterization in which the basis enters additively and orthogonally to rates, recovering a quarterly reversion, a small positive long-run basis, and a sharp March 2026 regime change toward parity. Persistence is weakly identified; we propagate it through a profile likelihood into one consequence, a collateral haircut. The contribution is measurement and identification infrastructure for when on-chain fixed income may be treated as a quantitative object.
Innovation
Methods, ideas, or system contributions that make the work stand out.
price-discovery admissibility
tokenized fixed income
affine characterization
on-chain to fiat mapping
serial dependence
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