Stablecoin Depeg Risk Calculator: Assess Stability Factors

Stablecoin Depeg Risk Assessment Framework

A depeg event occurs when a stablecoin's market price diverges from its target value, typically $1.00. While brief deviations of a fraction of a cent are normal, sustained depegs exceeding 1-2% signal structural problems that can cascade into full collapses. The UST death spiral in May 2022 destroyed roughly $40 billion in value. Even well-collateralized stablecoins like USDC experienced a 12% deviation during the Silicon Valley Bank failure in March 2023.

Assessing depeg risk requires evaluating multiple quantifiable factors: reserve composition quality, attestation frequency, redemption mechanism speed, market depth, issuer jurisdiction, and historical peg stability. This framework scores six major stablecoins across each dimension to help users, developers, and treasury managers make informed allocation decisions.

Depeg Risk Scoring Matrix

Each factor is scored from 1 (highest risk) to 5 (lowest risk). The composite score reflects the overall counterparty and structural risk profile. Scores are based on publicly available data as of mid-2026.

For a broader comparison of stablecoin features beyond risk, see the stablecoin comparison tool. For historical peg deviations, check the stablecoin depegging history tracker.

Reserve Composition Quality

The single most important determinant of depeg risk is what actually backs the stablecoin. A stablecoin reserve composed of short-dated US Treasury bills is fundamentally different from one holding illiquid loans or speculative investments.

PYUSD scores highest on reserve quality: 97% Treasury reverse repos with zero exposure to crypto assets, commercial paper, or alternative investments. USDC follows closely with its BlackRock-managed government money market fund. USDT's reserves are predominantly Treasuries, but its ~$7B Bitcoin and ~$8B gold holdings introduce price volatility risk that pure-fiat issuers avoid. For a detailed analysis of how reserve transparency has evolved, see our research on stablecoin proof of reserves.

Attestation Frequency and Quality

The frequency and rigor of reserve attestations directly affects how quickly reserve problems can be detected. Under the GENIUS Act, signed into law on July 18, 2025, all permitted payment stablecoin issuers must publish monthly attestations along with CEO/CFO certifications of reserve composition.

• USDC: Monthly attestation by Deloitte (Big Four). Published consistently since 2022.
• PYUSD: Monthly attestation by KPMG (Big Four, since February 2025). Paxos also publishes unaudited reserve data 5 business days after month-end.
• USDT: Quarterly attestation by BDO Italia (agreed-upon-procedures reports, not full GAAS audits). Point-in-time snapshots only.
• DAI/USDS: On-chain collateral is continuously verifiable. RWA positions rely on off-chain allocator reporting.
• FRAX/frxUSD: Reserve composition verifiable through on-chain BUIDL token holdings. No regular third-party attestation.
• TUSD: Last formal attestation was December 31, 2022. Automated attestations paused after liabilities exceeded assets. SEC settled fraud charges in September 2024.

The gap between USDC/PYUSD (monthly Big Four attestations) and USDT (quarterly non-Big-Four) is significant. Between attestation dates, reserves could theoretically shift without public knowledge. TUSD demonstrates the worst case: a 3.5-year attestation gap that masked hundreds of millions in illiquid investments.

Redemption Mechanism Speed

A stablecoin's peg mechanism is only as strong as its redemption process. If holders cannot convert tokens back to dollars quickly, arbitrageurs cannot close price gaps, and depegs persist. The speed and accessibility of redemption varies dramatically between issuers.

• DAI/USDS: Instant on-chain redemption via smart contracts with zero slippage (DAI-USDS converter). No counterparty needed. This is the gold standard for speed.
• USDC: Same-day or next-day via Circle Mint (requires business KYB verification). Free below $40M monthly net redemptions; 2 basis points above that threshold (as of March 2026).
• PYUSD: Instant conversion within PayPal. Institutional redemption via Paxos requires KYC.
• USDT: 1-3 business days via Tether portal (institutional clients only). $100,000 minimum. Fee of 0.04% or $1,000 (whichever is greater); 3% surcharge on withdrawals exceeding $10M.
• FRAX/frxUSD: On-chain via enshrined custodian contracts. Fiat settlement timing depends on custodian.
• TUSD: Redemption status uncertain due to Archblock bankruptcy proceedings.

USDT's high minimums and fees create a structural barrier to rapid peg restoration during crises. Only large institutional arbitrageurs can access direct redemption, and the 3% surcharge on large withdrawals discourages the exact behavior needed to restore a depeg. For more on how redemption mechanisms affect run risk, see our research on stablecoin run risk and redemption analysis.

Historical Depeg Events: Case Studies

Past depeg events reveal how different risk factors interact under stress. Each case study below highlights specific failure modes that the scoring framework is designed to capture.

UST/TerraUSD Collapse: May 2022

UST was an algorithmic stablecoin that maintained its peg through a mint-and-burn mechanism with LUNA rather than holding dollar reserves. When large UST sell pressure overwhelmed the mechanism, a death spiral destroyed both tokens. Approximately $40 billion in combined UST and LUNA value was wiped out. The collapse demonstrated that undercollateralized algorithmic pegs are inherently fragile: they rely on market confidence that evaporates precisely when it is most needed.

USDC/SVB Deviation: March 2023

Circle disclosed that $3.3 billion of USDC reserves were held at Silicon Valley Bank, which had just failed. USDC fell to approximately $0.87, a 12% depeg. DAI, which held USDC as over 50% of its collateral at the time, also depegged. FRAX experienced contagion for the same reason. USDT traded at a premium (up to ~$1.15) as users fled into the largest stablecoin. The peg recovered within 48 hours after the FDIC backstopped SVB deposits. This event exposed banking counterparty concentration risk: even fully reserved stablecoins can depeg if the banks holding those reserves fail.

FDUSD Panic: April 2025

Justin Sun posted that First Digital Trust was "effectively insolvent and unable to fulfill client fund redemptions." FDUSD dropped approximately 9% to $0.91. First Digital denied the allegations, stating the dispute related to TUSD rather than FDUSD, and processed $26 million in redemptions to demonstrate solvency. The peg recovered, but the damage was lasting: FDUSD's market cap contracted from ~$2.5 billion to ~$347 million by mid-2026, an 86% decline. The event demonstrated how social media allegations can trigger depeg events even without underlying insolvency.

TUSD Reserve Failure: 2023-2026

TUSD's trajectory illustrates what happens when attestation breaks down entirely. Automated attestations paused after liabilities exceeded assets. The SEC settled fraud charges in September 2024, revealing that substantial reserves had been invested in "speculative and risky offshore investment funds." Approximately $456 million in reserves became trapped in illiquid investments. Archblock filed Chapter 11 bankruptcy in February 2026. TUSD still trades at a ~$493 million market cap, but redemption remains uncertain.

Market Depth and Liquidity Risk

Market depth determines how quickly large positions can be exited without moving the price. Shallow liquidity amplifies depeg events because even moderate sell pressure produces outsized price impact.

USDT dominates liquidity pool depth on centralized exchanges, where bid-ask spreads on major pairs like BTC/USDT run just a few cents on Binance. USDC dominates on Ethereum L2s, accounting for approximately 73% of stablecoin float across the top eight L2 networks ($12.6 billion total L2 stablecoin TVL as of April 2026, with Arbitrum One at $4.2 billion and Base at $3.9 billion holding 64% of that float).

Curve remains the deepest DEX venue for stablecoin swaps on Ethereum mainnet. A $1 million USDC-to-USDT trade on Curve's 3pool typically incurs less than 1 basis point of slippage. Smaller stablecoins like FRAX, TUSD, and PYUSD have substantially thinner DEX liquidity, meaning their pegs are more vulnerable to sell pressure. For Bitcoin-native stablecoin activity, Spark enables near-instant USDB transfers without the liquidity fragmentation that occurs when bridging stablecoins across chains.

Regulatory and Jurisdictional Risk

The GENIUS Act, signed into law on July 18, 2025, established the first comprehensive federal framework for permitted payment stablecoins in the United States. Key provisions that directly affect depeg risk include 100% reserve requirements in high-quality liquid assets, a prohibition on rehypothecating reserves, mandatory monthly attestations, and priority claims for stablecoin holders in bankruptcy. Issuers above $10 billion fall under federal banking supervision via the OCC.

As of July 2026, the statutory rulemaking deadline has arrived but no coordinated set of final rules has been published across all agencies. The Act takes effect on the earlier of January 18, 2027, or 120 days after regulators issue final rules. Once in effect, it will significantly reduce depeg risk for compliant issuers by establishing enforceable reserve standards and holder protections that currently exist only as voluntary commitments.

Jurisdictional placement matters independently of specific regulations. USDC (Circle, US-based with state money transmitter licenses and SEC IPO filing) and PYUSD (Paxos, OCC-supervised since December 2025) operate under direct US regulatory oversight. USDT (Tether, British Virgin Islands) faces less direct enforcement action, creating both operational flexibility and governance uncertainty.

How to Assess Depeg Risk for Any Stablecoin

When evaluating any stablecoin not covered in this framework, apply the same scoring criteria:

1. Identify the reserve composition. What percentage is in US Treasuries, cash, or cash equivalents versus riskier assets? Is any portion in crypto, loans, or illiquid investments?
2. Check attestation history. Who performs it? How often? Is it a Big Four firm? Has the cadence ever been interrupted?
3. Test the redemption path. Can you actually redeem for dollars? What is the minimum? How long does it take? What are the fees?
4. Measure liquidity depth. What is the total DEX TVL in pools containing this stablecoin? What is the slippage on a $100,000 trade?
5. Research the issuer jurisdiction. Is the issuer subject to enforceable regulations? What happens to your claim in an issuer bankruptcy?
6. Review peg history. Has it ever depegged? If so, how far, for how long, and what caused it?

For an overall safety assessment, use the stablecoin safety checker. Diversifying across stablecoins with different risk profiles remains the most effective mitigation strategy. No single stablecoin is risk-free.

Frequently Asked Questions

What causes a stablecoin to depeg?

Depeg events have four primary causes: reserve insufficiency (TUSD), banking counterparty failure (USDC during SVB), algorithmic mechanism collapse (UST), and loss of market confidence from social media allegations or rumors (FDUSD after Justin Sun's claims). In each case, the immediate trigger is sell pressure exceeding the capacity of arbitrageurs and redemption mechanisms to absorb it. Well-collateralized stablecoins with fast redemption and deep liquidity tend to recover quickly. Undercollateralized designs may not recover at all.

Which stablecoin has the lowest depeg risk?

Based on the scoring framework, USDC scores highest overall (4.5/5) due to its combination of BlackRock-managed Treasury reserves, monthly Deloitte attestations, same-day Circle Mint redemption, and strong US regulatory positioning under the GENIUS Act. PYUSD scores 4.3/5 with even cleaner reserves (97% Treasury reverse repos) but lower liquidity. No stablecoin scores 5/5 across all dimensions.

Has USDT ever depegged?

USDT has experienced brief depegs during periods of acute market stress, though none have been catastrophic. During the SVB crisis in March 2023, USDT actually traded at a premium (~$1.15 on some venues) as users fled other stablecoins. USDT's depeg risk is moderated by its massive liquidity ($184 billion market cap, deepest CEX order books in crypto) but elevated by its quarterly attestation cadence and BVI jurisdiction.

How does the GENIUS Act reduce stablecoin depeg risk?

The GENIUS Act requires 100% reserves in high-quality liquid assets, prohibits rehypothecation of reserves, mandates monthly attestations with CEO/CFO certifications, and gives stablecoin holders priority over all other claims in issuer bankruptcy. These provisions convert what are currently voluntary issuer commitments into enforceable legal obligations. Implementation rules are pending, with the Act taking effect by January 18, 2027 at the latest.

What is the safest way to hold stablecoins?

Diversify across stablecoins with different risk profiles and issuers. Holding 100% of your stablecoin exposure in a single token concentrates counterparty risk. A diversified approach might allocate across USDC (regulatory strength), USDT (liquidity depth), and DAI/USDS (decentralization). For Bitcoin-native users, USDB on Spark provides dollar-denominated stability within the Bitcoin ecosystem without bridging to other chains.

Can on-chain stablecoins like DAI depeg?

Yes. DAI depegged during the March 2023 SVB crisis because over 50% of its collateral was USDC held in the Peg Stability Module. When USDC depegged, DAI followed. Crypto-backed stablecoins also face risks from smart contract vulnerabilities, governance attacks, and liquidation cascades during sharp market downturns. The advantage of on-chain models is transparency: anyone can inspect collateral ratios in real time rather than waiting for periodic attestations.

What happened to TUSD?

TUSD (TrueUSD) experienced a cascading failure across multiple risk dimensions. Attestations paused after liabilities exceeded assets. The SEC settled fraud charges in September 2024, revealing reserves had been placed in speculative offshore investments. Approximately $456 million became trapped in illiquid positions. Archblock (the issuer) filed Chapter 11 bankruptcy in February 2026. TUSD still trades at ~$493 million market cap, but its long-term viability is uncertain. This case demonstrates why attestation frequency and reserve quality are the most critical depeg risk factors.

This tool is for informational purposes only and does not constitute financial advice. Risk scores are based on publicly available data as of mid-2026 and reflect qualitative assessments, not guarantees of future peg stability. Stablecoin reserves, regulatory status, and market conditions change frequently. Always verify current data on issuer transparency pages before making allocation decisions.