Tokenized Equities on Aave V4 Base: Initial Market Parameters
Update, 24 September 2026. The full technical review of the Coinbase B20 issuance stack, the token standard, and the price feed has been posted in the Coinbase B20 Equities on Base Assessments thread. Section 4.6 below adds the risk steward bounds for the Equities Hub.
Summary
This post presents LlamaRisk’s recommended initial parameters for the tokenized equities market on Aave V4 Base. The market is deployed as a dedicated Equities Hub with a single pooled spoke, in which the Magnificent Seven US technology stocks in their Coinbase B20 form, B20 being Base’s native token standard (AAPLc, AMZNc, GOOGLc, METAc, MSFTc, NVDAc, and TSLAc) serve as collateral and USDC is the only borrowable asset. The equities themselves are not borrowable at launch. An in-depth review of the Coinbase B20 issuance stack is available in the assessments thread.
The initial stage operates on Chainlink’s 24/5 tokenized equity feeds, which publish from Sunday evening to Friday evening ET and hold the last published value over weekends and market holidays. While the underlying market is closed, the collateral value of a position does not change, its health factor can fall only through interest accrual, and the price published at the reopen reflects, in a single step, any information that arrived during the closure. The parameters are designed around this property. The liquidation bonus is sized on the cost of each pathway a liquidator can take to turn seized tokens back into USDC, since a liquidator may hold the collateral for hours or days while it redeems, sells, or hedges. Continuous monitoring of market and external data will be in place from launch.
This setup is an intermediate step. Chainlink is expected to bring 24/7 feeds for the same tokens to Base. Once those feeds are in production, the parameters may be revisited so that liquidations can execute through the weekend, with session-dependent parameters, automated handling of corporate actions, and feed safeguards. The full assessment of the issuer structure, the token standard, and the price feed is in the technical review linked above, and the parameter methodology and the rollout plan will be presented in a separate post.
1. Market Structure
Source: LlamaRisk, 17 September 2026
The market is deployed as a dedicated Equities Hub on Base. Stablecoin suppliers who join the hub opt into equity-collateralized lending explicitly, and the exposure does not extend to other Aave markets. The hub holds one USDC reserve, one lending spoke, and a supply-only tokenized spoke for USDC that gives vaults and aggregators a composable position without collateral risk.
The lending spoke pools the seven names. A user can post any combination of the seven tokens as collateral and borrow USDC against it, with each token counted at its own collateral factor. Pooling reduces the volatility of position health for a diversified basket, since a single name can gap 20% to 30% on an earnings surprise while a basket of the seven rarely moves by double digits together. Collateral factors remain per token, so pooling does not by itself increase borrowing power. The equities are collateral only. Equity borrowing and equity-against-equity positions are not enabled.
2. Pricing Setup for the Initial Stage
US equities trade in sessions, while the lending market accepts deposits, borrows, and liquidations at any hour. The price feed connects the two, and the way it behaves while the stock market is closed determines which risks the parameters have to cover.
Each token is priced by a Chainlink tokenized equity feed that multiplies the price of the underlying share by the issuer’s token multiplier and publishes the product as a single total return price. The multiplier starts at 1.0 and moves only on corporate actions. A reinvested dividend raises it by the dividend net of the distribution fee and withholding tax, and a stock split multiplies it by the split ratio at the same time as the share price divides by that ratio. The market consumes the published value directly.
The underlying share price is assembled from the four sessions in which US equities trade, which gives the feed an operating window from Sunday 20:00 ET to Friday 20:00 ET.
| Session | Hours, ET | Days | Sourcing |
|---|---|---|---|
| Pre-market | 04:00 to 09:30 | Monday to Friday | Extended-hours venues, several providers |
| Regular | 09:30 to 16:00 | Monday to Friday | Exchange data, multi-sourced |
| Post-market | 16:00 to 20:00 | Monday to Friday | Extended-hours venues, several providers |
| Overnight | 20:00 to 04:00 | Sunday evening to Friday morning | Blue Ocean ATS |
| Closed | 20:00 Friday to 20:00 Sunday, and US market holidays | No updates, last value held |
Onchain, the feeds are configured with a 0.5% deviation threshold and a 24-hour heartbeat, so during open sessions a new value is written whenever the offchain price moves 0.5% from the last published value. While the market is closed the feed publishes nothing, so the last value published before the Friday close stands, with a stale timestamp, until the Sunday evening reopen. The same applies on US market holidays.
Two consequences follow for the market. First, during a closure the collateral price does not move and a health factor can fall only through interest accrual. The market itself does not pause, and a position that crosses the threshold this way can be liquidated at any time, including over the weekend. Second, when the feed resumes, the price published at the reopen reflects whatever information arrived while the market was closed, and a position that this repricing pushes under water becomes liquidatable only at that point. In practice, the first opportunity to liquidate a position that deteriorated on a Friday afternoon is the Sunday evening reopen, and the first opportunity to hedge the seized collateral in a deep book is the Monday open.
During a corporate action, the issuer pauses its onchain registry flag, the feed holds its last value, the new multiplier is applied, and the feed resumes once the new underlying price multiplied by the new multiplier has been confirmed to match the held value. Minting and redemption pause for the same window while token transfers continue. The affected reserve is expected to be paused for that window as well, since a token that keeps changing hands against a held price is the state in which a mispriced liquidation could occur.
3. Parameters
3.1 Collateral Factor
In Aave V4 the collateral factor is both the borrowing limit and the liquidation threshold. On a 24/5 feed, the risk it is meant to cover is the fall the collateral may suffer between the moment a position becomes liquidatable and the moment a liquidator is able to close it. Outside regular cash hours the length of that interval is uncertain. A position that crosses the threshold at 17:00 could be closed minutes later on an extended-hours venue, during the overnight session, or only at the next regular open when a desk can hedge in a deep book. A position that crosses the threshold on a Friday afternoon is unlikely to be closed before the Sunday evening reopen, and may not be closed before the Monday open.
The collateral factor is therefore sized without assuming anything about that timing, other than that the liquidation is completed within five minutes of the next regular open. For every off-hours minute in the last eight years, a position is placed exactly at the liquidation threshold and the collateral factor is required to leave no bad debt if the liquidation executes at any live minute between that moment and five minutes past the next regular open. Weekend and holiday closures count toward the delay. Because the feed republishes only on a 0.5% move, the published price may sit up to 0.5% above the market, and that allowance is charged on every starting minute. The debt accrues interest at 24%, the top of the USDC rate curve, over the longest closure in the history, which is 92 hours and 35 minutes from a half-day close into a long weekend. Writing D for the fall from the published price to the lowest executable price and i for the interest accrued over that span, a full seizure at the 5.5% maximum bonus leaves no bad debt when
The price history consists of one-minute bars for the seven names on Nasdaq from May 2018 to August 2026 across the pre-market, regular, and post-market sessions, supplemented by the overnight venue from August 2025, with seven stock splits corrected. Minutes in which the 24/5 feed would be frozen are excluded as execution minutes.
Source: LlamaRisk, Nasdaq and Blue Ocean one-minute bars, 20 August 2026
The largest fall in the record gives a first reading of the collateral factor for each name. For AMZN, GOOGL, META, and NVDA it is a post-market earnings reaction. For AAPL and MSFT it is the evening before the March 2020 weekend, and for TSLA the evening before the Labor Day weekend of 2020. Each of these falls is a single observation, and the record carries no information about a fall rarer than it contains. To address this, an extreme-value tail is also fitted to the bad nights of each name and read at the fall expected once in ten years, once on each name alone and once jointly across the seven names with a shared tail shape. The two fits can disagree for a name whose own tail departs from the class, and the record cannot resolve which is right, so the lowest of the three readings is adopted.
Source: LlamaRisk, 16 September 2026
| Name | Collateral factor |
|---|---|
| AAPLc | 0.78 |
| AMZNc | 0.73 |
| GOOGLc | 0.76 |
| METAc | 0.65 |
| MSFTc | 0.79 |
| NVDAc | 0.70 |
| TSLAc | 0.65 |
The collateral factors will be refitted as the record grows, and they are the first parameters expected to be revisited in the second stage.
3.2 Liquidation Bonus
A liquidator on this market cannot always dispose of the collateral as soon as it is seized. Redemption with the issuer is open only to vested holders and settles during regular hours, the secondary market on Base is thin, and outside regular hours the tokens can only be hedged until the next open. The bonus is therefore sized to compensate a liquidator for the full pathway from repaying the debt to holding USDC again, whatever form that pathway takes on the day. The net bonus a route requires is
where \delta is the allowance between the published price and the market at commitment, set at 0.5% from the feed’s deviation threshold, d is the move of the stock between commitment and the moment the hedge is in place, taken as a stressed 2.02%, and k is the sum of the cash costs of the route as a fraction of the hedge notional. The gross bonus paid by the borrower is b_n / (1 - \rho), with \rho the 10% liquidation fee. Three routes are available, and they differ mainly in k.
Redemption through the issuer. During regular market hours, a liquidator with redemption access repays the debt, receives the tokens, shorts the same number of underlying shares, submits an in-kind redemption, and delivers the redeemed shares against the short. The cash costs are the 5 bps redemption fee, brokerage, clearing, stock borrow, and the opportunity cost of the USDC over a 72-hour hold, partly offset by interest on the short-sale proceeds. This is the least expensive route and the floor for any bonus.
Sale on the secondary market. A liquidator that has not been whitelisted with the issuer cannot redeem and sells the tokens on Base instead. In this case k is the price impact of the sale. Between USD 0.3M and USD 1.1M of each token can be sold into USDC within a 2% price impact, so a liquidation in the low hundreds of thousands of dollars costs about 1% and one approaching the depth limit about 2%. Larger liquidations would have to be split across blocks and days or routed through a party that can redeem.
Perpetual hedge outside regular hours. Between the post-market close and the next open, a liquidator shorts a linear perpetual with matched share exposure, holds it until the redeemed shares can be sold at the open, and then closes both legs. In addition to the redemption costs, this route pays the basis between the perpetual and the stock when the legs are closed, funding while the short is open, and taker fees. The stress case takes a 0.5% basis at exit, 0.85% of funding and 0.15% of fees.
| Route | Oracle allowance | Hedge latency stress | Route cost k | Net bonus required | Gross bonus at a 10% fee |
|---|---|---|---|---|---|
| Redemption, regular hours | 0.50% | 2.02% | 0.06% | 2.64% | 2.93% |
| Secondary sale on Base | 0.50% | 2.02% | 2.00% | 4.67% | 5.18% |
| Perpetual hedge, stressed | 0.50% | 2.02% | 1.50% | 4.13% | 4.59% |
The maximum liquidation bonus is set at 5.5% for every name, so that each of the three pathways is paid for. It covers the redemption route with a wide margin and the stressed perpetual route with a comfortable one, and it covers the secondary-market route up to the depth Base offers today. It is in line with the 5.55% maximum bonus on the BTC and WETH reserves of the Main Spoke on Ethereum. The spoke uses the same bonus curve as the Main Spoke. With a 90% liquidation bonus factor the bonus is 4.95% at a health factor of 1.0, which already covers the redemption and perpetual routes, and reaches the 5.5% maximum at a health factor of 0.90, above the point at which any of the seven collateral factors would produce bad debt. A liquidation restores the position to a health factor of 1.24. Liquidations on this market do not run through Smart Value Recapture at rollout, so the liquidator keeps the whole bonus after the 10% fee.
3.3 Caps
The collateral factor and the bonus protect the market against price moves, and the caps protect it against size. A liquidator that seizes these tokens may hold them for hours or days while it redeems, sells, or hedges, so the caps keep the amount a liquidator may have to absorb within the depth of the venues it can use.
- Redemption through the issuer is available to allowlisted authorised participants and carries no onchain rate limit. Primary throughput is observable on the minting side: the issuer’s supply manager contract on Base (0xd1ca…664c) limits the amount of each token its minter can create per 24 hours, which corresponds to about USD 5M per token per day at current prices.
- The secondary market on Base is thin. Between USD 0.3M and USD 1.1M of each token can be sold into USDC within a 2% price impact, and the outstanding supply of every token is between USD 1M and USD 4M.
- Perpetual futures are the venue in which an off-hours liquidation is hedged. Across Hyperliquid, Binance, OKX, and Lighter, the seven names carry between USD 44M and USD 302M of open interest each, most of it on Hyperliquid and Binance.
Each add cap is set so that a liquidation of the entire cap could be processed through the issuer within one day of its mint allowance and hedged on the perpetual venues within a small fraction of the name’s open interest. For AAPL, GOOGL, NVDA, and TSLA one day of the mint allowance is the lower of the two bounds and sets the cap, for META 5% of open interest sets it, and for AMZN and MSFT the caps sit at about half of one day’s mint allowance and 6% of open interest. Together the caps amount to USD 29.3M of collateral. A loss-budget view of the same book would allow more at these collateral factors, so liquidity is the binding constraint at launch.
| Reserve | Perp open interest, four venues | 5% of open interest | Mint allowance per day | DEX depth at 2% impact | Supply outstanding | Add cap | Add cap, USD |
|---|---|---|---|---|---|---|---|
| AAPLc | USD 125.4M | USD 6.27M | 15,500 (USD 5.14M) | USD 0.72M | 6,077 (USD 2.02M) | 15,000 | USD 4.98M |
| AMZNc | USD 45.2M | USD 2.26M | 19,100 (USD 4.69M) | USD 0.32M | 5,642 (USD 1.39M) | 10,500 | USD 2.58M |
| GOOGLc | USD 178.1M | USD 8.90M | 15,700 (USD 5.36M) | USD 0.69M | 5,914 (USD 2.02M) | 15,000 | USD 5.13M |
| METAc | USD 79.1M | USD 3.96M | 8,200 (USD 5.55M) | USD 0.64M | 2,365 (USD 1.60M) | 5,800 | USD 3.93M |
| MSFTc | USD 44.4M | USD 2.22M | 10,300 (USD 5.06M) | USD 0.32M | 2,652 (USD 1.30M) | 5,200 | USD 2.56M |
| NVDAc | USD 301.5M | USD 15.08M | 24,000 (USD 5.11M) | USD 1.08M | 19,428 (USD 4.14M) | 24,000 | USD 5.11M |
| TSLAc | USD 103.0M | USD 5.15M | 14,300 (USD 5.10M) | USD 0.27M | 2,988 (USD 1.07M) | 14,000 | USD 4.99M |
Source: LlamaRisk, Hyperliquid, Binance, OKX, Lighter, KyberSwap, and Base onchain data, 17 September 2026
The USDC draw cap on the spoke corresponds to the debt the collateral caps can support at their collateral factors, USD 21.1M, rounded to USD 21M. The USDC add cap is set at USD 32M, so that supply can run ahead of the draw cap and keep utilization within the optimal range. Several caps are above a token’s outstanding supply today. The tokens are minted on demand by authorised participants, and supply is expected to follow the collateral demand of the market. The caps will be revisited through the risk steward process as supply and venue depth grow.
3.4 USDC Interest Rate
USDC is the only borrowable asset. Its rate follows the standard kinked curve, with a 0% base drawn rate, 4% rate growth before the optimal usage ratio and 20% after it, at a 90% optimal usage ratio and a 10% liquidity fee. The borrow rate therefore peaks at 24%, which is the rate charged on the debt over the longest closure in the collateral factor derivation. The optimal usage ratio is set at 90%, below the 92% used on deeper stablecoin reserves, because the hub starts with a single borrowable reserve and no credit line from a general market.
4. Specification
4.1 Dynamic Liquidation Bonus Configuration
| Chain | Hub | Spoke | Liquidation Bonus Factor | Target Health Factor | Health Factor For Max Bonus |
|---|---|---|---|---|---|
| Base | Equities Hub | Mag-7 Spoke | 90.00% | 1.24 | 0.90 |
4.2 Spoke Parameters
The liquidation fee is 10%, consistent with the rest of Aave V4. The risk premium threshold is 0 for every reserve, as risk premiums are not in use, and liquidators can receive collateral as shares on every reserve.
| Chain | Hub | Spoke | Reserve | Collateral Factor | Max Liquidation Bonus | Borrowable | Collateral Risk | Liquidation Fee | Risk Premium Threshold | Receive Shares |
|---|---|---|---|---|---|---|---|---|---|---|
| Base | Equities Hub | Mag-7 Spoke | AAPLc | 78.00% | 5.50% | FALSE | 0 | 10.00% | 0 | TRUE |
| Base | Equities Hub | Mag-7 Spoke | AMZNc | 73.00% | 5.50% | FALSE | 0 | 10.00% | 0 | TRUE |
| Base | Equities Hub | Mag-7 Spoke | GOOGLc | 76.00% | 5.50% | FALSE | 0 | 10.00% | 0 | TRUE |
| Base | Equities Hub | Mag-7 Spoke | METAc | 65.00% | 5.50% | FALSE | 0 | 10.00% | 0 | TRUE |
| Base | Equities Hub | Mag-7 Spoke | MSFTc | 79.00% | 5.50% | FALSE | 0 | 10.00% | 0 | TRUE |
| Base | Equities Hub | Mag-7 Spoke | NVDAc | 70.00% | 5.50% | FALSE | 0 | 10.00% | 0 | TRUE |
| Base | Equities Hub | Mag-7 Spoke | TSLAc | 65.00% | 5.50% | FALSE | 0 | 10.00% | 0 | TRUE |
| Base | Equities Hub | Mag-7 Spoke | USDC | 0.00% | - | TRUE | - | - | 0 | TRUE |
4.3 Add and Draw Caps
| Chain | Hub | Spoke | Reserve | Add Cap | Draw Cap |
|---|---|---|---|---|---|
| Base | Equities Hub | Mag-7 Spoke | AAPLc | 15,000 | 0 |
| Base | Equities Hub | Mag-7 Spoke | AMZNc | 10,500 | 0 |
| Base | Equities Hub | Mag-7 Spoke | GOOGLc | 15,000 | 0 |
| Base | Equities Hub | Mag-7 Spoke | METAc | 5,800 | 0 |
| Base | Equities Hub | Mag-7 Spoke | MSFTc | 5,200 | 0 |
| Base | Equities Hub | Mag-7 Spoke | NVDAc | 24,000 | 0 |
| Base | Equities Hub | Mag-7 Spoke | TSLAc | 14,000 | 0 |
| Base | Equities Hub | Mag-7 Spoke | USDC | 32,000,000 | 21,000,000 |
| Base | Equities Hub | Tokenized USDC Spoke | USDC | 1,000,000 | 0 |
4.4 Interest Rate Curve
| Chain | Hub | Asset | Base Drawn Rate | Rate Growth Before Optimal | Rate Growth After Optimal | Optimal Usage Ratio | Liquidity Fee |
|---|---|---|---|---|---|---|---|
| Base | Equities Hub | USDC | 0.00% | 4.00% | 20.00% | 90.00% | 10.00% |
4.5 Price Feeds
Each reserve is priced by the Chainlink total return feed for the token, which carries the issuer multiplier and follows the 24/5 US equities market hours. These are standard feeds. Smart Value Recapture variants are not used at rollout. USDC is priced by the Chainlink USDC/USD feed on Base through the stable price cap adapter, with the cap set at 1.04.
4.6 Risk Steward Bounds
The Aave Risk Stewards operate on the Equities Hub within the bounds below. They follow the bounds activated on Aave V4 Ethereum and Avalanche in the ARFC to activate the Aave Risk Stewards on Aave V4, with a shorter cooldown on caps and on the spoke parameters. Caps move on a 12-hour cooldown because the market starts small, at about USD 29.3M in collateral caps, and we plan to keep the caps close to the supplied and drawn amounts and raise them as demand shows up. Two cap changes a day at fixed times keep signing predictable, and caps can come down overnight or over a weekend if AMM liquidity thins. The collateral factor, the maximum liquidation bonus, and the liquidation configuration share a 36-hour cooldown so that every spoke parameter moves on one cadence, with the maximum change per update unchanged from the other V4 instances.
| Scope | Parameter | Cooldown | Max change per update | Mode | Note |
|---|---|---|---|---|---|
| Hub | Add cap | 12 hours | 100% | Relative | 36 hours on V4 Ethereum and Avalanche |
| Hub | Draw cap | 12 hours | 100% | Relative | 36 hours on V4 Ethereum and Avalanche |
| Hub | Optimal usage ratio | 36 hours | 3% | Absolute | |
| Hub | Base drawn rate | 36 hours | 3% | Absolute | |
| Hub | Rate growth before optimal | 36 hours | 3% | Absolute | |
| Hub | Rate growth after optimal | 36 hours | 20% | Absolute | |
| Spoke | Collateral risk | 36 hours | 300% | Absolute | |
| Spoke | Collateral factor, update | 36 hours | 0.5% | Absolute | 72 hours on V4 Ethereum and Avalanche |
| Spoke | Collateral factor, new reserve | 36 hours | 5% | Absolute | 72 hours on V4 Ethereum and Avalanche |
| Spoke | Max liquidation bonus, update | 36 hours | 0.5% | Absolute | 72 hours on V4 Ethereum and Avalanche |
| Spoke | Max liquidation bonus, new reserve | 36 hours | 0.5% | Absolute | 72 hours on V4 Ethereum and Avalanche |
| Spoke | Target health factor | 36 hours | 5% | Relative | 72 hours on V4 Ethereum and Avalanche |
| Spoke | Health factor for max bonus | 36 hours | 5% | Relative | 72 hours on V4 Ethereum and Avalanche |
| Spoke | Liquidation bonus factor | 36 hours | 5% | Absolute | 72 hours on V4 Ethereum and Avalanche |
| Oracle | Stable price cap | 72 hours | 0.5% | Relative | Applies to USDC, cap at 1.04 |
| Oracle | LST price cap | 72 hours | 5% | Relative | Not used |
| Oracle | Pendle discount rate | 48 hours | 0.025 | Absolute | Not used |
Disclaimer
This review was independently prepared by LlamaRisk, a DeFi risk service provider funded in part by the Aave DAO. LlamaRisk is not directly affiliated with the protocol(s) reviewed in this assessment and did not receive any compensation from the protocol(s) or their affiliated entities for this work.
The information provided should not be construed as legal, financial, tax, or professional advice.