Term structure

Crypto Yield Curves

A yield curve is the price of time: what credit costs at each maturity, from a week out to a year. Every serious credit market has one. Crypto never did — until the rate could be discovered by auction instead of set by a formula.

The gap

Why crypto never had a yield curve

Treasuries have a curve. SOFR has a curve. They exist because thousands of participants trade instruments with fixed maturities, and the price at each maturity is discovered by people willing to be wrong about it.

Crypto lending had neither half. Rates were computed from pool utilisation by a formula someone chose, and loans had no maturity — you borrow, the rate floats, you repay whenever. No fixed terms means no term structure. There was nothing to plot.

The curves below come from a market with fixed maturities where lenders compete in an open auction to set the rate. That is the whole difference: every point is a loan two parties agreed to at a stated tenor, settled on-chain, with no price oracle in the loan and no formula behind the number.

Curves

By collateral asset

On the roadmap

Ethereum (WETH) — not yet accepted as collateral by the protocol. A curve, and this page, follow the market.

Yield curve — by time to maturity

reference

FLAT · 11 active loans of 14 total. R² = 0.042.

Informational purposes only — not financial advice or a recommendation.

ⓘ

Observations are currently predominantly own-account. Aletheia Analytics participates on own account to seed observable auction data. This is not yet an independent market assessment.

11 observations · 2 counterparties · 0% external

±RMSE

Active

Repaid

Defaulted

Rates at Standard Tenors

Tenor
7d
14d
1mo
2mo
3mo
6mo
1y
2y
5y
7y
Auction
5.07%
5.07%
5.09%
5.14%
5.18%
5.26%
5.38%
5.52%
5.74%
5.83%
Posted card
—
—
10.50%
—
10.50%
10.50–14.20%
10.50–11.49%
—
—
—
US Treasury
—
—
3.79%
—
3.91%
4.02%
4.07%
4.25%
4.40%
4.54%

Curve Fit Quality

R²

0.0421

RMSE

0.512%

Data Points

11

Shape

Flat

rate = 5.221  -0.128·ln(d) + 0.026·ln(d)²

Residuals (actual − fitted)

Chart Legend

Current fitted yield curve

Confidence band (±1 RMSE = ±0.51%)

Canonical bin means (±1σ error bars)

Fit extrapolated beyond 1y(no loans at those tenors yet)

Active loans(11)

Repaid loans(3)

Benchmarks

US Treasury

Canonical yield curve: active loans binned into standard tenors, log-quadratic fit through bin means. Shape: FLAT.

Access yield curve data via API · GET /v1/yield-curve · GET /v1/yield-curve/history

solid = observed span · dashed = fitted extension, both directions

Corporate

Collecting — corporate issuance not yet ingested

fill route: runbook_corporate_credit_layer_v1

Auction

11 · R² 0.04 · LIVE_BAR unmet — 3 of 30 settled auctions

Posted card

7 · span 30d–1y