Fees

Schedule

fact

Fee	Base	Default	Hard maximum	Paid by	When
couponFeeBps	Each gross coupon	1 500 (15%)	5 000	Reduces COUPON’s net coupon	Each paid observation
notionalFeeBps	Matched notional N	25 (0.25%)	500	Debited from SHIELD’s prefund	Strike
keeperRewardQuote	Flat	2 USDG	governable	From accruedFees	First successful finalizeStrike / observe after closeTs

Fees in force at createSeries are snapshotted into the series. Changing setFees affects only future series.

Where fees go

accruedFees(series) += fee on every event sweepFees(seriesId) → RevenueRouter.notifyFee(USDG, amount) (permissionless) RevenueRouter: buybackBps 9 000 → Buyback Auction → sNOTE rewards treasuryBps 1 000 → Treasury reserves

Keeper rewards are paid from accruedFees first, so a series with no accrued fees (for example the very first crank before any fee exists) pays a smaller or zero reward: reward = min(keeperRewardQuote, accruedFees).

Worked numbers

illustrative For the worked example series (100,000 USDG, 150 bps coupon, 26 observations):

Scenario	Coupon fees	Notional fee	Keeper payments	Swept to RevenueRouter	Buyback 90%	Treasury 10%
A: autocall at 3	675	250	8	917	825.30	91.70
B: holds to maturity	5,850	250	54	6,046	5,441.40	604.60
C: knock-in at maturity	4,500	250	54	4,696	4,226.40	469.60

Effective cost to each side

• COUPON sees the fee as a lower net coupon: 1.50% gross becomes 1.275% net per observation. Annualised on 26 observations, 39.0% gross becomes 33.15% net.
• SHIELD pays the gross coupon and the notional fee. Its cost of protection is the gross coupon stream, not the net.
• Because the fee is a percentage of coupons actually paid, protocol revenue is zero at observations where the barrier fails. The protocol earns most when notes are working as intended.

Protocol revenue is not principal

accruedFees is the only balance the protocol owns inside NoteCore. It is never used to fund coupons or redemptions and is part of the escrow invariant. The Desk’s returns and the Treasury’s reserves are separate from NoteCore fees.

Indicative scale

illustrative At a 20% blended annual coupon and the default fees, protocol fee revenue is roughly 3.0% to 3.5% of COUPON notional per year: about $0.8m on $25m, $8m on $250m, $33m on $1bn of notional outstanding. Context and sources in Why on-chain.