What question did this study set out to answer?

The central aim is to quantify Credit Valuation Adjustment (CVA) for tokenized securities settled using stablecoins.

April 14, 2026Open Access

CVA under Settlement Currency Risk: Stablecoin-Denominated Atomic Settlement

Key Points

The central aim is to quantify Credit Valuation Adjustment (CVA) for tokenized securities settled using stablecoins.
Developed a framework for calculating CVA in DLT-settled tokenized securities.
Introduced a new adjustment term, SCVA, based on existing financial concepts.
Utilized a two-state Markov depeg model to derive the SCVA expression.
SCVA was found to exceed the settlement-period CVA reduction by a factor of approximately 3.
Analysis of different stablecoins showed that regulatory design influences the net CVA benefit of atomic settlement.

Abstract

We propose a framework for quantifying Credit Valuation Adjustment (CVA) in tokenized securities settled atomically via stablecoins on distributed ledger technology (DLT). We introduce the Settlement Currency Valuation Adjustment (SCVA), a new adjustment term inspired by the Collateral Cost Adjustment (CCA) of Fujii and Takahashi (2013). Using a two-state Markov depeg model, we derive a semi-analytical SCVA expression. Under USDC 2023 parameters, SCVA exceeds the settlement-period CVA reduction by a factor of approximately 3. Cross-stablecoin analysis reveals that the regulatory design of the settlement currency determines whether atomic settlement yields a net CVA benefit.

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Cite This Study

Kenzo Arai (Sun,) studied this question.

synapsesocial.com/papers/69ddd975e195c95cdefd6d7f https://doi.org/https://doi.org/10.5281/zenodo.19543499

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