How a loan gets into the index.
The index publishes a forward credit spread and a realized loss for a segment of on chain credit. A loan enters only if it passes the rulebook below. The rule, not the current list, is the authority. This page holds the eligibility rules and the universe we screened. The live index page shows only the constituents, the spread, and the series.
The rulebook
the lending can lose money, which is what makes it worth covering. The loan contract has no collateral function on chain, but off contract custody collateral is not yet verified, so we do not claim it is unsecured. A loss can land from a default, a collateral shortfall, or a liquidation that gaps and recovers less than the loan.
loans to trading firms and funds. Borrower wallets are not yet mapped to named entities on chain.
all 30 active, current, none flagged impaired. That flag is set by Maple's own admin keys, which can lag distress, so this is Maple's self report, not an independent call.
every name above $10M outstanding. 36 of Maple's 65 active loans clear it.
every included name pays above the SOFR risk free rate, a positive credit spread. 6 loans paying at or below 3.63%, about $368M, were excluded as subsidized relationship paper, not market credit. They are listed under excluded pricing.
30 loans, value weighted by size, the largest name is 14.5% of the book. Not yet deduplicated to borrowers, and at least one borrower holds two of these loans, so the borrower count is below 30.
one protocol, Maple. All 30 names share Maple's contracts, admin keys, and single data source, so the real number of independent bets is one protocol, not 30.
not built. Defaults today are Maple's self reported flag. The bonded challenge and the determination panel are phase two and do not exist yet.
The eligible universe
Every defaultable protocol we examined and where it stands. One passes the rulebook with a live book today, Maple. The rest are out, with the rule each failed. This is why the series is single protocol, stated once here rather than carried on the index.
Reconstitution
The eligible set is fixed at the start of each series and reviewed on a set schedule. A name that defaults, collapses, or falls below the floor is dropped at the next roll. A candidate enters once it passes the rulebook with a live, verified book. Candidates under review sit on the watchlist on the index page, and the strongest carry a second venue, which is what would clear the diversification rule this series fails.