  We consider a liquidity provider's (LP's) exposure to stablecoin and liquid
staking derivative (LSD) depegs on Curve's StableSwap pools. We construct a
suite of metrics designed to detect potential asset depegs based on price and
trading data. Using our metrics, we fine-tune a Bayesian Online Changepoint
Detection (BOCD) algorithm to alert LPs of potential depegs before or as they
occur. We train and test our changepoint detection algorithm against Curve LP
token prices for 13 StableSwap pools throughout 2022 and 2023, focusing on
relevant stablecoin and LSD depegs. We show that our model, trained on 2022 UST
data, is able to detect the USDC depeg in March of 2023 at 9pm UTC on March
10th, approximately 5 hours before USDC dips below 99 cents, with few false
alarms in the 17 months on which it is tested. Finally, we describe how this
research may be used by Curve's liquidity providers, and how it may be extended
to dynamically de-risk Curve pools by modifying parameters in anticipation of
potential depegs. This research underpins an API developed to alert Curve LPs,
in real-time, when their positions might be at risk.
