USDC Mammoth

Product Details & Payoff Scenarios

Deposit USDC and earn a strong fixed yield while waiting to buy ETH at a discount.

Strategic Use Cases

• You’re holding USDC and looking to accumulate ETH

• You want to earn yield in USDC

• You’re comfortable buying ETH for a discount + yield when market conditions are favorable (-25%)

Specifications

• Deposit Asset: USDC

• Conversion Asset: ETH

• Underlying Asset: ETH (pricing uses ETH/USDC feed)

• Strike Level: 75%

• Investment Duration: 27 days

• Payoff Asset Condition:

  • Settlement Price >= Strike Price -> receive USDC

  • Settlement Price < Strike Price -> receive ETH (conversion asset)

Payoff Scenarios

For each scenario below, assume the following:

$100K USDC initial investment

1. APY = 25% (for easy math, this is approx. 2% per vault)

2. ETH price on Day 1 = $3000

3. Strike Price = $2,250 = 75% strike level * $3000

---

Scenario 1: No Currency Conversion - Deposit USDC, Receive USDC

Example Scenario: ETH price movements during 27 day period

What happens in this scenario?

• TLDR: deposit USDC, receive USDC

• ETH price on Day 1 is $3000 and ends on Day 27 at $3020 which is above the strike price of $2250 (75% of Day 1 price). Thus the vault trade expires and no currency conversion occurs.

• The full principal that was deposited by the user is returned ($100K USDC). The user earns 2% yield paid in USDC (same currency as deposit)

• Deposit and yield are automatically reinvested for compounding returns into a new 27-day vault

What is the payoff for the investor?

• Initial deposit = $100K USDC

• Deposit returned = $100K USDC

• Yield earned = $2,000 USDC

  • APY = 25%, single 27-day vault yield = ~2%

• Total payoff = $102K USDC after 27 days (deposit + yield)

---

Scenario 2: Currency Conversion - Deposit USDC, Receive ETH

Example Scenario: ETH price movements during 27 day period

What happens in this scenario?

• TLDR: deposit USDC, receive ETH

• ETH price on Day 1 is $3000, and on Day 27 ends below the strike price of $2250 (75% of Day 1 price). This results in a currency conversion.

• Upon conversion, ETH is purchased at a 25% discount to Day 1 prices at the strike price.

• The user also earns the 2% yield which is paid in ETH, effectively increasing the net discount to 27% for acquiring ETH

What is the payoff for the investor?

• Initial deposit = $100,000 USDC

• Deposit returned = 44.4 ETH

  • $100K USDC buys 44.4 ETH @$2250 (25% discount to Day 1 price)

• Yield earned = 0.89 ETH

  • 2% yield * $100K USDC deposit used to buy more ETH @$2250

• Total payoff = 45.33 ETH in 27 days

  • Net price discount on ETH = 27%

  • Average ETH acquisition price = $2205.88 ($100K USDC ÷ 45.33 ETH) vs. $3000 Day 1 price

Scenario 3: Price Moves Below Strike During Trade

Example Scenario: ETH price movements during 27 day period

What happens in this scenario?

• TLDR: deposit USDC, receive USDC

• ETH price on Day 1 is $3000 and on Day 14 moves below the strike price of $2250 (75% of Day 1 price). However this doesn't matter because currency conversion is only evaluated on Day 27. In this example, ETH rallies by Day 27 to end at $2290 which is above the strike price. Thus the vault trade expires and no currency conversion occurs.

• The full principal that was deposited by the user is returned ($100K USDC). The user earns 2% yield paid in USDC (same currency as deposit)

• Deposit and yield are automatically reinvested for compounding returns into a new 27-day vault

What is the payoff for the investor?

• Initial deposit = $100K USDC

• Deposit returned = $100K USDC

• Yield earned = $2,000 USDC

  • APY = 25%, single 27-day vault yield = ~2%

• Total payoff = $102K USDC after 27 days (deposit + yield)