USDC De-Peg Arbitrage
This Ospina case study documents how Carlos Rico-Ospina approached a specific risk, infrastructure, revenue, or research problem and what was built to address it.
Turned a banking crisis into a calculated trade by reading balance sheets while others panicked.
The Problem
March 2023: Silicon Valley Bank collapsed. Circle disclosed $3.3B of USDC reserves trapped at SVB. Panic swept the market—USDC lost its peg and crashed to $0.78 as traders feared a total collapse reminiscent of Terra/Luna.
The Insight
While the market priced in catastrophe, I ran a worst-case stress test on Circle's balance sheet. Even assuming 100% loss on the $3.3B at SVB, the remaining ~$37B in healthy reserves (Treasuries/Cash) meant the coin was mathematically backed by roughly $0.92. The market was trading dollars for 78 cents.
What I Built
- Conducted rapid fundamental analysis during a banking blackout weekend
- Calculated the theoretical 'hard floor' based on disclosed reserve composition
- Deployed capital at the deepest point of the de-peg
- Managed position sizing based on computed risk parameters, not speculation
Outcomes
- Identified 14-cent discount to intrinsic value floor
- Executed within 12-hour analysis-to-deployment window
- Position recovered fully when USDC re-pegged Monday morning
- US government announced depositor backstop, validating thesis
Why It Matters
Most crypto traders use technical analysis. This required fundamental risk modeling—reading a balance sheet during a crisis.
Demonstrates conviction when math contradicts market sentiment.
Client details anonymized. The March 2023 USDC de-peg is a matter of public record.
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