BTC– – ETH– – SOL– – KRP VaR 1D– BTC funding– Stablecoins– Updated –

Risk Monitor

The full Kintechs dataset, recalculated daily. Hover any chart for exact values.

Data as of –

Market risk · Kintechs Reference Portfolio

Model allocation of 50% BTC, 30% ETH and 20% USD stablecoins, rebalanced daily. VaR at 99%: historical over a 250-day window and EWMA with λ = 0.94.

Historical VaR 1D
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EWMA VaR 1D
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Historical VaR 7D
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EWMA VaR 7D
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Breaches, 365d
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Max drawdown
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Daily returns vs VaR 99%
HistoricalEWMABreachSource: Coinbase; Kintechs calculations
Drawdown from peak 365 days
Running maximum of NAVSource: Coinbase; Kintechs calculations

Volatility and correlation

Realised volatility from daily log returns, annualised with √365. Correlation over the last 90 days.

30-day realised volatility
BTCETHSOLSource: Coinbase; Kintechs calculations
Return correlation
90-day PearsonSource: Coinbase; Kintechs calculations
Asset performance and volatility
AssetPrice7d30d90d1yVol 30dVol 90d
Source: Coinbase; Kintechs calculations

Liquidity · BTC order books

Estimated cost of a market sell, from walking the live bid side of each venue's order book. "Beyond book" means the order is larger than the depth the venue publishes.

Market sell slippage by order size
ConsolidatedCoinbaseKrakenOKXBinanceSource: Coinbase, Kraken, OKX, Binance; Kintechs calculations
Venue liquidity
VenueSpreadBid depth 1%Ask depth 1%Bid share$1m sell$10m sell
Source: Coinbase, Kraken, OKX, Binance; Kintechs calculations

Derivatives · perpetual futures

Funding is the hourly relative rate averaged per day and annualised. Positive funding means longs pay shorts.

Perpetual funding, annualised 7-day average
BTCETHSOLSource: Kraken Futures; Kintechs calculations
Perpetual contracts
ContractMarkBasisFundingOpen interestVolume 24h
Source: Kraken Futures; Kintechs calculations

Stablecoins

USD-pegged stablecoin supply, concentration by issuer, distribution across chains and deviation from the $1 peg.

Total supply
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Issuer HHI
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Largest issuer share
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Largest issuer 30d
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USD stablecoin supply
365 days, $bnSource: DefiLlama; Kintechs calculations
Supply by issuer
Share of USD supplySource: DefiLlama; Kintechs calculations
Supply by chain
Share of USD supplySource: DefiLlama; Kintechs calculations
Issuers and peg
IssuerMechanismSupplyShare30dPricePeg
Source: DefiLlama; Kintechs calculations

Exchanges · reported reserves

Assets held in wallets disclosed by centralised exchanges. Concentration measured by the Herfindahl-Hirschman index across all reporting exchanges.

Reported reserves
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Exchanges reporting
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Concentration HHI
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Largest share
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Reserves by exchange
Share of reported reservesSource: DefiLlama; Kintechs calculations
Largest exchanges
ExchangeReservesShare7d change
Source: DefiLlama; Kintechs calculations