Scale, Yield, and Run Risk in Yield-bearing Stablecoins

We study the fragility of yield-bearing stablecoins, digital dollar claims that combine transactional convenience with returns generated by an underlying balance-sheet strategy. We develop a model in which investor exits affect not only redemption pressure but also the continuation value of remaining holders through a scale-dependent yield technology. When yield declines with scale, redemptions can relieve crowding and create strategic substitutability; when yield rises with scale, the same feedback amplifies run incentives. Protocol-mandated delays in investor exits further stabilize the system by slowing balance-sheet adjustment and separating exit decisions from their execution. We apply the model to Ethena's USDe, a derivatives-backed stablecoin whose yield is generated by a delta-neutral strategy involving a short perpetual-futures hedge. Using daily data from August 2024 to January 2026, we find decreasing returns to scale, stronger redemptions when carry is weak, little evidence of fire-sale propagation, and a two-stage market response around cooldown initiation and completion.