USDe Whale

Product Details & Payoff Scenarios

Deposit USDe and earn a high fixed yield.

Strategic Use Cases

• You’re holding USDe and looking to accumulate ETH

• You want to earn yield in USDe

• You’re comfortable buying ETH for a discount + yield when market conditions are favorable (-30%)

Note: The USDe Elephant product tracks the ETH/USDe price.

Payoff Scenarios

For each scenario below, assume the following:

$100K USDe investment in the 'USDe Elephant' Vault

USDe Elephant terms:

1. Investment duration: 27-day

2. Underlying asset = USDe

3. Strike price = 70%

4. APY = 25% (2% per 27-day vault)

5. ETH price on Day 1 = $1980

---

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

Example Scenario: ETH price movements during 27 day period

What happens in this scenario?

• TLDR: deposit USDe, receive USDe

• ETH price on Day 1 is $3000 and ends on Day 27 at $2300 which is above the strike price of $2100 (70% 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 USDe). The user earns 2% yield paid in USDe (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 USDe

• Deposit returned = $100K USDe

• Yield earned = $2,000 USDe

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

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

---

Scenario 2: Currency Conversion - Deposit USDe, Receive ETH

Example Scenario: ETH price movements during 27 day period

What happens in this scenario?

• TLDR: deposit USDe, receive ETH

• ETH price on Day 1 is $3000, and on Day 27 ends below the strike price of $2100 (70% of Day 1 price). This results in a currency conversion.

• Upon conversion, ETH is purchased at a 30% 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 32% for acquiring ETH

What is the payoff for the investor?

• Initial deposit = $100,000 USDe

• Deposit returned = 47.6 ETH

  • $100K USDe buys 47.6 ETH @$2100 (30% discount to Day 1 price)

• Yield earned = 0.95 ETH

  • 2% yield * $100K USDe deposit used to buy more ETH @$2100

• Total payoff = 48.5 ETH in 27 days

  • Net price discount on ETH = 32%

  • Average ETH acquisition price = $2061 ($100K USDe ÷ 48.5 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 USDe receive USDe

• ETH price on Day 1 is $3000 and on Day 10 moves below the strike price of $2100 (70% 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 $2300 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 USDe). The user earns 2% yield paid in USDe (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 USDe

• Deposit returned = $100K USDe

• Yield earned = $2,000 USDe

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

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