Strategy fact sheet 01 · Prepared for Veris · 19 August 2026
PT-ONyc-10SEP26 / USDC — Reinsurance Credit
Paid by insurance underwriting. Both legs lock at entry.
Investment objective
Capture a fixed discount to par on an institutional credit instrument paid by
regulated reinsurance premia originated by OnRe. PT-ONyc is the principal component of that claim, stripped by Exponent, bought at
0.9901 and redeeming at 1.0000 into ONyc on 10 September. Loopscale writes fixed-rate,
fixed-term loans matched on an order book. Both legs are fixed at entry: the PT redeems at par on 10 September, and the loan is written
at a fixed rate for a fixed term. The 610bp entry spread — 14.60% simple-annualised
accretion against 8.50% financing — is therefore set before the position opens.
Key features
- The asset leg is fixed at entry. Collateral yield is set by the discount to par; financing is
fixed for the loan term. Loopscale replaces pooled liquidity and algorithmic rates with order-book matching
at a fixed borrow rate.
- Atomic construction. The loop flash-borrows, swaps into the yield token, deposits it
as collateral, borrows against it and repays the flash loan in one transaction that reverts if
any step fails.
- Leverage capped by book depth. At 1.50x the $500,000 loan is 30.3% of a $1,649,727
order book. Depth moves daily: it ranged $1.05M to $2.29M over
17–19 August.
- Partial liquidation. Only the minimum collateral needed to restore a healthy LTV is
sold; the excess returns to the borrower.
- Priced to the venue. Modelled net APY, health and liquidation price reconcile to
Loopscale's own figures.
Risk indicator
1 · safest5 · riskiest
The overall score from the accompanying memo, on its 1-to-5 scale. Price risk is structurally absent: the instrument redeems at par
and financing is fixed. The rating reflects one concentrated credit exposure whose NAV is not
market-observable, leverage on a shallow order book where entry and exit contend for the same
liquidity, and a redemption path that does not end at maturity. Every risk in the memo scores 4.
Strategy information
Proposed size$1,000,000
Capacity ceiling$1.65M
Return driverInsurance underwriting
CollateralPT-ONyc-10SEP26
Loan assetUSDC
Entry price0.9901
Redemption1.0000 into ONyc
Tenor25 days
Leverage1.50x
Loan drawn$500,000
Borrow rate, per term8.50%
Order-book depth$1,649,727
Key risks
- Redemption impairment. A 0.71% reduction in ONyc's redemption value erases the gain.
The underlying NAV is not market-observable.
- Maturity timing. 10 September is the statistical peak of the Atlantic hurricane
season, on a reinsurance underlying.
- Three-layer counterparty stack. OnRe originates, Exponent strips, Loopscale levers.
Collateral is priced through Exponent's protocol-native feed rather than a general oracle.
- Reserve overlap with Strategy 03. ONyc's reserve spreads across several unallocated
sleeves — USDG, short-term US T-bills, sUSDS and syrupUSDC among them — with sUSDe now
a small share. A severe Ethena impairment would still reach this position through that sleeve.
- Settlement is not the exit. The PT redeems into ONyc, which must then be sold or
redeemed with OnRe. Issuer redemption is gated by KYC and accredited-investor checks, queues when
redemption liquidity is short, and is unavailable in excluded jurisdictions including the US.
Strategy characteristics · $1,000,000 at 1.50x
15.68%
Net APY, simple-annualised from the holding-period result
1.07%
Net return over the 25-day holding period, after all costs
19.20%
Venue net APY, Loopscale convention, gross of entry cost
0.71%
Break-even impairment of ONyc redemption value
30.3%
Loan as a share of order-book depth at pricing
10.97%
Return on total capital, equity plus loan
Return decomposition · 25 days
| Component | Amount | On equity |
|---|
| PT accretion to par | $14,998 | +1.500% |
| Financing cost | −$2,911 | −0.291% |
| Execution impact and fees | −$1,355 | −0.136% |
| Net over holding period | $10,733 | 1.073% |
Equity $1,000,000
Loan $500,000
Leverage against capacity
| Leverage | Net APY | % of book | Max equity |
|---|
| 1.00x | 13.28% | — | Unbounded |
| 1.25x | 14.48% | 15.2% | $3.30M |
| 1.50x | 15.68% | 30.3% | $1.65M |
| 1.75x | 16.87% | 45.5% | $1.10M |
| 2.00x | 18.07% | 60.6% | $0.82M |
Maximum equity stated at a 50%-of-book discipline against the 16–17 August book of $1,649,727.
Net APY scales the 25-day return to 365 days; the 25-day
holding-period return of 1.07% is the primary figure. 1.75x still clears the $1M proposed
size, but 1.50x is proposed to hold the draw near 30% of the book.
How the position works
| Mechanic | Behaviour | What it means for the position |
|---|
| Rate formation | Order-book matching, non-algorithmic market rates. | No utilisation curve. Borrowing does not move the rate the position pays. |
| Loan terms | Fixed rate, fixed duration, matched at entry. | Financing cost is known before the position opens. |
| Loop execution | Flash loan, swap, deposit, borrow, repay — atomic in one transaction. | No sequential leg risk; gas paid once. |
| Liquidation | Partial. Only the minimum collateral needed to restore a healthy LTV is sold. | Excess collateral returned; softer failure mode than a full close-out. |
| Collateral pricing | Exponent's protocol-native feed for PT collateral rather than a general oracle. | Appropriate for an instrument with no deep secondary market; concentrates mark and issuer. |
Prepared by Simone Taravelli for Veris. Confidential. Not investment advice. Venue data captured
18 August 2026 from the Loopscale interface and order book. Swap and protocol fees of 5bp and an
early-exit haircut of 100bp are modelled assumptions, not itemised by the venue. Liquidation LTV of
91.16% is derived from the displayed liquidation price. The 1.07% holding-period return is what is
earned over the 25 days to maturity; annualised figures assume reinvestment at comparable terms.
Full risk register and open items in the accompanying due diligence memo.