Due diligence memo 01 · Prepared for Veris · 19 August 2026
PT-ONyc-10SEP26 / USDC — Reinsurance Credit
Fixed-tenor levered carry on tokenised reinsurance. Return driver: insurance underwriting, uncorrelated to crypto beta.
Summary
The principal component of a claim on OnRe's tokenised reinsurance fund, bought at 0.9901 and redeeming at par into ONyc on 10 September. The return driver is underwriting premium net of claims plus reserve collateral yield, uncorrelated to crypto market direction.
Risk dimension scores · 1 safest to 5 riskiest · overall = worst dimension
Smart contract
3
Audited across all three layers
Liquidity
4
Loan is 30.3% of book depth
Counterparty
4
Gated, queued redemption
Market
4
NAV impairment passes through
Oracle
4
Three-input pricing chain
Upgradeability
4
No timelock disclosed
Leverage
3
1.50x against 3.33x available
Collateral
4
Claims and reserve share one NAV
Operational
3
Regulated, attested structure
Monitoring
3
Live NAV and loop APIs
Return profile · $1,000,000 at 1.50x, priced 16 August
| Component | Rate | Basis |
|---|
| PT accretion, simple annualised | 14.60% | 0.9901 to par over the 25-day tenor |
| Loopscale borrow, fixed for the term | 8.50% | Confirmed live 19 Aug; fixed for the loan term |
| Gross spread at entry | 610bp | Both legs fixed at entry |
| Net over the 25-day tenor | 1.07% | The unconditional figure. Break-even at 0.71% impairment |
| Net APY, simple annualised | 15.68% | The 25-day return scaled to 365 days |
Structure
InstrumentPT-ONyc-10SEP26 (Exponent)
Loop venue / debtLoopscale / USDC
Leverage1.50x (venue max 3.33x)
Equity / position$1,000,000 / $1,500,000
Loan drawn$500,000 · 30.3% of $1,649,727
Maturity10 September 2026 (25 days)
Principal risks
| Risk | Dimension |
Score | Conf. | Assessment |
|---|
| ONyc NAV impairment passes through the PT | Market · Collateral | 4 | M | The PT fixes rate exposure. A 0.71% reduction in redemption value erases the gain; published NAV history shows four negative daily steps, largest −0.2479%. |
| The loan is a large share of order-book depth at entry | Liquidity | 4 | M | $500,000 is 30.3% of the $1,649,727 book at pricing. Available liquidity ranged $1.05M to $2.29M over 17–19 August; at the thinnest, the draw is 47.6%. |
| Exit is gated, and settlement is not the exit | Counterparty · Operational | 4 | M | The PT redeems 1:1 into ONyc, so cash exit is a further step. OnRe gates redemption behind KYC and accredited-investor checks, queues requests when redemption liquidity is short, and excludes US persons. |
| PT valuation runs through a three-input pricing chain | Oracle | 4 | M | Exponent AMM rate, converted via Pyth, read through the Loopscale adapter — three distinct failure points for the health factor. |
| Reserve composition and an unresolved admin surface | Collateral · Upgradeability | 4 | L | The published reserve now spreads across USDG, short-term US T-bills, sUSDS, syrupUSDC and smaller sleeves including sUSDe; claims and reserve still feed one NAV. Loopscale discloses a 3/5 multisig plus Secrets Manager co-sign but no timelock. |
Prepared by Simone Taravelli for Veris. Confidential. Not investment advice. Scores run 1 to 5, where 1 is the safest and 5 the riskiest; 4 indicates significant unmitigated exposure warranting active monitoring; the overall rating is the worst dimension score, and 4 is the expected band for levered structured credit. Priced at the 16 August entry, which sets the 25-day tenor; borrow rate and loop state re-confirmed against the Loopscale API on 19 August. PT accretion is stated simple-annualised; the annual figure scales the 25-day return to 365 days, so the 25-day return is the primary metric. Yield is not contractual: it reflects underwriting and reserve performance, both of which can be negative.