How We Measure Stablecoin Risk
Published methodology for the peg board -- one of the data feeds Trismegistus reads to price the real thing. Peg monitoring, reserve scoring, and transparency grading, in full.
1. Peg Monitoring
Data Sources
DefiLlama Stablecoins API for supply and chain distribution. CoinGecko pricing API for real-time exchange prices.
Refresh Rate
60 seconds on the live peg monitor. 5 minutes on the overview dashboard.
Deviation Calculation
deviation = price - target_peg (expressed in basis points, where 1 bps = 0.01%)
Severity Tiers
| Tier | Deviation | Range |
|---|---|---|
| Stable | <10 bps | <0.1% from peg |
| Minor | 10-50 bps | 0.1% - 0.5% |
| Warning | 50-100 bps | 0.5% - 1.0% |
| Critical | >100 bps | >1.0% from peg |
Additional Notes
- Non-USD pegs (EUR, JPY, etc.) are measured against their respective target currency.
- Stablecoins are sorted by market cap descending -- systemically important stablecoins appear first.
- Coverage includes all stablecoins listed on DefiLlama (currently 317+).
2. Reserve Quality Score (1-10)
A weighted composite of four factors reflecting the real-world safety of a stablecoin's backing.
| Factor | Weight | Scoring Rubric |
|---|---|---|
| Asset Quality | 40% | 10.0 100% T-bills / reverse repo 8.0-9.0 Mixed T-bills + cash 7.0-8.0 Crypto-collateralized (verifiable) 5.0-6.0 Delta-neutral / synthetic 2.0-4.0 Algorithmic |
| Audit Frequency | 25% | Real-time on-chain > monthly attestation > quarterly attestation > annual |
| Custodian Quality | 20% | Regulated US banks > regulated non-US > unregulated |
| Track Record | 15% | Years operating without incident. Recovery history from stress events. |
3. Transparency Grade (A through F)
| Grade | Criteria |
|---|---|
| A | Real-time on-chain verifiability OR monthly attestation by Big 4 auditor + regulated jurisdiction + US banking relationships |
| B+ / B | Monthly attestation by recognized auditor + regulated jurisdiction |
| B- | Monthly attestation + non-traditional jurisdiction or limited track record |
| C+ / C | Quarterly attestation only, offshore jurisdiction |
| D | Infrequent or no attestation, opaque reserves |
| F | No reserve verification, algorithmic with no collateral proof |
4. Yield Risk Tiers
| Tier | Criteria |
|---|---|
| LOW | Top protocols (Aave, Compound, Maker/Spark, Morpho) on Ethereum/Arbitrum/Base with TVL > $50M |
| MEDIUM | Established protocols on alt-chains, or newer protocols on mainnet, TVL $10-50M |
| HIGH | Low TVL (<$10M), newer protocols, exotic chains, unaudited contracts |
5. Mark's Risk Assessment
Mark is MarketCrystal's analyst voice, speaking for the Trismegistus analysis engine. Mark monitors 8 dimensions of stablecoin risk:
- Peg stability
- Reserve composition
- Regulatory signals
- On-chain flows
- Yield environment
- Chain risk
- Issuer risk
- Macro context
Risk Levels
All assessments are data-driven and auditable. Mark does not predict -- Mark describes what the data implies.
Mark's output is general market commentary and observation, not financial advice. Nothing Mark writes is a recommendation to buy, sell, short, or hold any security, token, or asset, and none of it is personalized to any reader's circumstances. Mark describes market conditions in general terms; what you do with that observation is your own decision. See our full disclaimer.
How Mark's Reading Is Produced
Trismegistus is the data-analysis engine. It measures the real numbers you see on this site -- peg deviations, market caps, yield spreads -- deterministically, in code. Mark's daily reading is the plain-language interpretation of those numbers, built on frontier AI and refreshed once per day. The engine computes every figure; the model writes the read around them, and it is instructed to use only the figures the engine supplies. Nothing in Mark's brief is a number the model invented.
That means every conclusion is fully auditable against the underlying data shown on this site. If Mark calls the peg board quiet or the yield spread thin, the peg monitor and yield tables are right there to check the claim. When the model is unavailable, the brief falls back to the same numbers with a deterministic write-up -- the figures never change, only the prose.
6. Data Attribution
- Price and supply data: DefiLlama (CC BY license), CoinGecko
- Reserve data: Issuer attestation reports, updated manually when new attestations publish
- Regulatory data: Public legislative records, updated manually
- Yield data: DefiLlama Yields API, CeFi rates verified manually
MarketCrystal is not affiliated with any stablecoin issuer.
7. Limitations
- Reserve data depends on issuer disclosure cadence and may be weeks behind actual composition.
- CeFi yield rates are updated periodically and may not reflect real-time changes.
- Peg monitor shows exchange-traded prices; OTC and direct redemption prices may differ.
- Quality scores and transparency grades reflect MarketCrystal's assessment methodology and are not ratings or investment recommendations.