Stress Library USDC / SVB · Mar 2023

USDC depeg · SVB closure · Aave / Compound / Curve / MakerDAO / Frax · Mar 9-13, 2023 · Reconstructed on-chain data
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David Martin crypto-xva.app · Risk
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Scenario replay mode. This dashboard runs reconstructed historical data for the USDC / SVB depeg event of March 9-13, 2023 — not a live ingest. Pre-stress factor reconstruction per Crypto XVA Stress Library §4 · USDC/SVB record. Demonstrates: the framework would have fired CompVA WARNING by 18:00 UTC March 10 — 9 hours before USDC depegged at 03:00 UTC March 11. Realized cascade loss $0.9B; at-risk loss $5.5B absent Circle's resolution. Production deployment requires continuous Chainlink/Coinbase/Kraken oracle-venue triangulation, USDC reserve-attestation feeds, and DeFi lending-pool TVL telemetry. Alert logic, thresholds, and action cards are production-shaped.

Replay Time · UTC

Mar 9, 2023 · 00:00
Phase — Baseline
Mar 9Mar 10Mar 11Mar 12Mar 13
Baseline · Mar 9
SVB closed · Mar 10 16:00
SCC + CPBUC warning · Mar 10 18:00
Circle reveals $3.3B · Mar 11 01:00
USDC depeg · Mar 11 03:00
Peak ($0.87) · Mar 11 10:00
Circle backstop · Mar 12 12:00
Repeg · Mar 13 00:00
NORMAL

All factors within tolerance

No elevated cross-protocol stress. Shared-collateral concentration and unstaking queue metrics within 30-day bands.

Crypto XVA Reserve
$0.00M
— bps / portfolio
Portfolio

Exposure Book

$47.2M tokenized + DeFi
9-Factor Crypto XVA Framework

Factor Status · Current Hour

Three-tier taxonomy · Tier I (Protocol) · Tier II (Asset) · Tier III (Cross-Protocol)
Tier I · Protocol-Level SCVA · OVA · LRVA · BRVA · GVA
Tier II · Asset-Level SVA · TVLVA · LCVA
Tier III · Cross-Protocol / Network CompVA (SCC · UQL · CPBUC)
CompVA Sub-Factor Telemetry
Surveillance Feed

Alerts & Recommended Actions

0 alerts active

Regulatory Measurement Context

The Crypto XVA reserve above represents a fair-value measurement adjustment under ASC 820 / IFRS 13, not a regulatory capital charge. The USDC/SVB depeg is a textbook ASC 820 Level 3 measurement event: at peak, USDC traded at $0.87 in active markets — but the realizable value depended on Circle's access to SVB-trapped reserves, an unobservable input. Neither Basel Working Paper 44 (SCO60) nor the OCC/Fed/FDIC Interagency FAQs on Tokenized Securities address stablecoin peg-failure risk in the fair-value measurement regime. The reserve sits in the measurement layer both frameworks leave unaddressed.

ASC 820-10-35 · IFRS 13:61 · Crypto XVA Working Paper §2.6 · Stress Library §4 USDC/SVB record

Scenario Provenance

Signals baked from reconstructed on-chain data for March 9-13, 2023: USDC spot triangulation across Coinbase / Curve 3pool / Uniswap (oracle vs venue divergence), Aave V2 / Compound V2 / Maker PSM USDC TVL flow telemetry (DefiLlama + Dune), USDC redemption queue depth derived from Circle attestation gap, cross-protocol borrow-utilisation correlation across USDC-collateralized venues, MakerDAO MIP-65 emergency governance signal. The v1 four-factor model (LVA/OVA/SCVA/BRVA) misses the cross-protocol USDC concentration that the framework's Tier III CompVA surfaces 9 hours pre-event.

Source: Crypto XVA Stress Library §4 · USDC/SVB Mar 2023 record · CompVA_Calibration_Followup memo