Stablecoin Volatility Analysis – BIS Variance Threshold

Methodology:

Inca Digital approached this report addressing the following requirements:

  • Calculate the percent difference between identified stablecoin prices and its fiat equivalent (USD).

  • Identify how many times identified stablecoins exceeded the 10bp (0.1%) level over a one-year period.

Time range:

The identified one-year period is Sept 2020 – Sept 2021

Stablecoins:

Inca digital evaluated the following stablecoins:

  • USDT, USDC, BUSD, HUSD, GUSD, PAX, DAI, UST

Key results:

None of the stablecoins analyzed met the Variance Threshold (VT) that the difference in stablecoin/fiat value must not exceed 10bp of the value of the underlying fiat more than three times over a one-year period. All stablecoins price deviation overview (daily data).

All stablecoins price deviation overview (daily data)

Investigator Note: BUSD appears to be the least volatile stablecoin from the list as it pushes past the BIS Variance Threshold the fewest times (9) within a single year

Individual Stablecoin Results:

The following diagrams are the results of each identified stablecoin pair. The bars on the price deviations series of diagrams represent the absolute percentage difference between the stablecoin and its fiat equivalent over the specified time. The horizontal lines represent the threshold at the 10 bp, 20 bp and 30 bp thresholds. The table under each stablecoin’s chart displays the number of times the price of each stablecoin deviated from the underlying fiat currency (USD) value within a10 bp, 20 bp and 30 bp threshold.

USDT price deviations

USDC price deviations

DAI price deviations

PAX price deviations

BUSD price deviations

HUSD price deviations

GUSD price deviations

UST price deviations