Hourglass Frax Bonds Index


HFXB will be a dynamically weighted basket of some (or all) of the varying FXB maturities offered by Frax. Additionally, HFXB will hold sFRAX, serving as cash equivalent for the purposes of redemption liquidity and representing the shorter end (effectively zero duration) of the duration spectrum of AUM. sFRAX is a yield bearing form of FRAX with a yield rate that targets the IOBR.


The two assets held by HFXB are FXBs and sFRAX.

Frax Bonds (FXB) are are zero-coupon debt instruments issued by Frax Finance. The pricing of these assets will be determined by issuance auctions. Ultimately, the FXBs will redeem at a 1:1 rate for 1 FRAX stablecoin at maturity. To learn more about the auction methodology and yield generation, refer to the Frax docs.

The second asset held is staked FRAX (sFRAX), which is staked FRAX stablecoins. This is a yield bearing token that can be redeemed for an ever growing amount of FRAX.

FXB Docs: https://docs.frax.finance/frax-v3/fxbs

sFRAX Docs: https://docs.frax.finance/frax-v3/sfrax

At any point in time, HFXB holds some distribution of FXBs and sFRAX.

  • Let MMbe the set of supported maturities.

  • Let FXBmFXB_m be an FXB maturing at time point.

  • Let qmq_m be the quantity of FXBmFXB_mbacking HFXB.

  • Let qsfraxq_{sfrax}be the quantity of sFRAX backing HFXB.

  • Let pmcurvep_{m}^{curve}be the price (in sFRAX) of FXBmFXB_mread from the Curve pool oracle.

  • The Net Asset Value (NAV) of HFXB (in sFRAX) is defined as follows

NAV=qsfrax+mMqm×pmcurve\mathrm{NAV} = q_{\mathrm{sfrax}} + \sum_{m\in{M}}q_m \times p_m^{curve}

The HFXB will index will target an average duration (e.g. 6 months) plus or minus some threshold (e.g. 3 month threshold implies 3-9 month target duration range).


Rebalancing should occur in scenarios when the average duration of AUM deviates from the target duration range (or in cases where average duration is trending towards this outcome). HFXB is designed in such a way that rebalancing occurs in multiple forms

  1. Creating arbitrage opportunities for market actors to take advantage of that move the index closer towards its target average duration.

  2. Periodic open market operations that serve to ensure the distribution of AUM conforms to the target duration range and that AUM are used productively to generate returns that are then passed through to HFXB holders.

Index Rebalancing Parameters

The initial version of the Hourglass FXB Index will launch with the following set of parameters. Note, these parameters are subject to change at any time. Ultimately, parameters are optimized to effectively maximize yield within the market condition while minimizing risk to index to holders.

Target duration: 6 months

Duration threshold: 3 months, implies duration range of 3-9 months

Eligible assets: FXBs (Frax Bonds), sFRAX (staked FRAX), FXB LP tokens, and Frax


HFXB: 0x743187e8b302775c8E39E3b19E337982aC260134

HFXB Withdrawal Queue: 0x84161EF3bb74025f7F7Bf10D9DEC07308e45B02F

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