MARKET UPDATE

Itayose and Auto-Rolling Report Q4, 2024

Latest Trends on Secured Finance Platform

Kenji Mitsusada
Published in
5 min readDec 28, 2024

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Introduction

This Q4 2024 report primarily presents the latest Itayose (batch auction) and Auto-Rolling results on Secured Finance, showcasing interest rate trends for Ethereum, Arbitrum, and Filecoin (including a new 6-month maturity on Filecoin).

In addition to these core updates, we also cover two important announcements:

  • Chain Deployment Update: We concluded support for Avalanche and Polygon zkEVM on December 20. This was a strategic decision to consolidate liquidity on Ethereum, Arbitrum, and Filecoin, though we remain open to revisiting these or other chains in the future based on community interest.
  • Revised Currency Category: A–F classifications have been updated to reflect current market behavior, including a shift for USDC from Category B to C.

As we look ahead, our focus remains on providing a seamless fixed-income experience, particularly on Filecoin, where the upcoming launch of USDFC (a FIL-backed stablecoin) is poised to unlock new opportunities for DeFi participants. Let’s dive into the details.

1. Itayose Report

1.1 Key Dates and Overview

  • Event Period: December 20–27, 2024
  • Maturity Dates:
    Ethereum & Arbitrum (2-year): December 25, 2026
    Filecoin (6-month): June 27, 2025

Secured Finance uses Itayose — modeled after Japanese batch auctions — to aggregate buy and sell orders in a single window, ensuring a fair, transparent opening price for newly established zero-coupon bond (ZC bond) markets.

1.2 Itayose APR Results

Ethereum Chain (2-year APR)

Ethereum Itayose Result

Arbitrum Chain (2-year APR)

Arbitrum Itayose Result

Filecoin Chain (6-Month APR)

FVM Itayose Result

1.3 Analysis of Itayose Results

  • Ethereum & Arbitrum: Most assets saw modest APR increases, possibly reflecting stronger demand for longer-term positions.
  • Filecoin 6-Month Dip: FIL’s APR declined slightly (-116 bps) but remains relatively high for a 6-month duration.
  • axlFIL on Ethereum: Unchanged at 12.55%, though limited liquidity may lead to future rate fluctuations.

1.4 Takeaways from Last Quarter

  • Interest rates generally rose across many assets.
  • Long-term order books often exhibit lower liquidity, so risk management is crucial.
  • Lower-fee chains like Arbitrum or Filecoin tend to see more trading activity, resulting in smoother liquidity.

2. Auto-Rolling Report

2.1 Key Dates and Overview

  • December 2024 Maturity: The ZC bond reached maturity in December 2024.
  • Rolled into March 2025 Maturity: All December 2024 positions were automatically rolled to the March 2025 duration using our Auto-Roll functionality.
  • 3-Month Rate Focus: Below, we compare the outcomes of the previous Auto-Roll on September 27, 2024, to this quarter’s Auto-Roll on December 27, 2024, highlighting how 3-month rates have changed over this period.

2.2 Auto-Roll APR Results

Ethereum Chain

Ethereum Auto-Roll Result

Arbitrum Chain

Arbitrum Auto-Roll Result

Filecoin Chain

FVM Auto-Roll Result

2.3 Analysis of Auto-Roll Results

  • Interest Rate Normalization: Many assets showed substantial APR drops from September’s higher levels, suggesting more accurate mid-price settings and improved liquidity this quarter.
  • Ethereum & Arbitrum: Notable declines exceeding 1,000 bps for ETH and USDC indicate the previous quarter’s high rates likely stemmed from limited liquidity.
  • Filecoin Chain: FIL’s 3-month rate remained in double-digit territory despite a minor dip (-108 bps), signaling continued Borrowing demand.

3. Chain Deployment Update

Emergency Settlement on December 20th

Support for Avalanche and Polygon zkEVM ended on December 20, facilitated by our Emergency Settlement feature. Any user with residual orders or positions on these chains can finalize withdrawals by selecting the discontinued chain in our interface, which will redirect them to a specialized UI for asset retrieval.

Note: We may revisit these or other chains in the future based on community demand. For now, however, our primary focus remains on chains with the strongest liquidity, especially Filecoin — which will soon host our FIL-backed stablecoin, USDFC.

4. Revised Currency Category

4.1 Purpose of the Update

We use categories A–F to manage each asset’s Minimum Base Price calculations, ensuring effective risk control. By revisiting these categories, we keep our security measures aligned with actual trading behavior.

4.2 Category Review Frequency

We review and revise categories on a quarterly basis if needed, ensuring that any significant market changes are quickly reflected in our platform settings.

4.3 USDC Category Shift

Due to persistently higher trade levels this quarter, USDC has been upgraded from Category B to Category C. This shift helps align base-price adjustments with the asset’s current market demand and risk profile.

Overall Insights & Recommendations

  1. Moderate APR Changes in Itayose: While Ethereum and Arbitrum saw modest increases, Filecoin’s short tenor dipped slightly but remains robust.
  2. Auto-Roll Normalization: Significantly lower APRs compared to last quarter suggest healthier liquidity and more accurate mid-price execution.
  3. Sunset Completed, Potential Re-Deployment: Avalanche and Polygon zkEVM have been phased out smoothly, but future chain deployments are still on the table.
  4. Focus on Filecoin: With USDFC (FIL-backed stablecoin) launch on the horizon, Filecoin’s ecosystem stands out for future opportunities.

Conclusion

In Q4 2024, Itayose and Auto-Roll events showcased evolving interest rate dynamics and continued platform enhancements across Ethereum, Arbitrum, and Filecoin. By streamlining our chain deployments and concluding Avalanche and Polygon zkEVM support on December 20, we have concentrated our efforts on the chains with the highest demand and deepest liquidity — while keeping the door open for future reintroductions as the market grows. With the updated currency categories and the upcoming launch of the FIL-backed stablecoin USDFC, Secured Finance is well-positioned to offer robust fixed-income solutions. We appreciate your ongoing support as we advance toward broader liquidity, more accurate price discovery, and the next phase of DeFi innovation.

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Secured Finance
Secured Finance

Published in Secured Finance

Secured Finance: Interbank-grade, Peer-to-Peer Capital Markets. Decentralized Finance (DeFi) protocol built on blockchain for OTC derivatives trading. Secure, efficient, and transparent transactions. Unlocking the full potential of global finance. Join the future of finance today

Kenji Mitsusada
Kenji Mitsusada

Written by Kenji Mitsusada

Head of Markets @ Secured Finance. 18 years of interest rate derivatives trading experience. Former Co-Head of G10 FX Forwards and STIR Trader at Goldman Sachs

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