What Is the Primary Risk Introduced to a Derivatives Exchange When Its Settlement Stablecoin Depegs?

The primary risk is a massive loss of confidence and systemic instability, leading to a liquidity crisis. A depeg means the exchange's core settlement asset is no longer valued as expected, potentially leading to incorrect margin calculations and forced liquidations at erroneous prices.

This introduces significant counterparty risk and can wipe out the capital of the exchange's insurance fund, which is designed to cover unexpected losses. Traders may panic-sell or redeem the depegged asset, exacerbating the crisis.