[Anthias Labs] - Risk Parameter Recommendations

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[Anthias Labs] Risk Parameter Recommendations (9/29/26)

Anthias Labs proposes the following parameter changes for Moonwell Core markets on Base, OP Mainnet and Ethereum. For more information on current parameters, please refer to our monitoring dashboard.

Base

Summary

Risk Parameters

Parameters Current Value Recommended Value
WELL Collateral Factor 55% 45%
MORPHO Collateral Factor 60% 40%
VIRTUAL Collateral Factor 65% 55%
wrsETH Collateral Factor 46% 42%
cbBTC Reserve Factor 10% 99%
MAMO Collateral Factor 50% 0%

Borrow caps on all 21 Base markets remain at one raw token unit. We don’t recommend reopening borrowing yet (see below).

IR Parameters

cbBTC IR Parameters Current Value Recommended Value
Base 0 0.01
Kink 0.8 0
Multiplier 0.0615 0
Jump Multiplier 5 0

The recommended cbBTC parameters match the existing flat model, which cbETH, VIRTUAL and cbXRP already use.

Estimated borrower impact

Change Newly liquidatable accounts Total debt in those accounts
WELL 55% → 45% 2 $30.57
MORPHO 60% → 40% 0 $0.00
VIRTUAL 65% → 55% 0 $0.00
wrsETH 46% → 42% 0 $0.00

Borrowing restrictions: status update

The conditions we set out on 9/15 for reopening Base borrowing haven’t been met. Liquidity has kept draining from the markets that still had it.

Market Available cash, 9/15 Available cash, 9/29 Change
USDC 0.00005 USDC 0 USDC none left
EURC 0 EURC 0 EURC none left
MORPHO 34.55 MORPHO 1.51 MORPHO −96%
cbBTC 23.09 cbBTC 11.92 cbBTC −48%
AERO 3,742,480 AERO 2,040,783 AERO −45%
cbXRP 1,218,783 cbXRP 839,659 cbXRP −31%
VIRTUAL 230,831 VIRTUAL 177,479 VIRTUAL −23%
WETH 391.24 WETH 351.27 WETH −10%
wstETH 187.83 wstETH 184.84 wstETH −2%
All 21 markets (oracle USD) $13.76 million $11.43 million −17%
  • Bad debt is unresolved. Reconstructing every borrower onchain gives $14.91 million of net shortfall across 111 accounts, compared with $13.73 million across 110 accounts on 9/15. Gross borrows in insolvent accounts, measured in tokens, are almost unchanged (for example, cbBTC 54.11 → 54.33 and WETH 746.74 → 747.11). The USD increase mostly reflects higher prices of the borrowed assets and accrued interest.
  • Liquidations still can’t be relied on. Healthy borrowers have $2.15 million of USDC collateral, $1.79 million of cbETH, $102 thousand of EURC and $58 thousand of MORPHO posted in markets with essentially no cash. A liquidator can seize those receipt tokens but can’t redeem them.

We recommend keeping borrow caps at one raw unit. Before any reopening, supply and borrow caps should be re-derived from current liquidation liquidity.

Rationale

cbBTC

MIP-X66 moved several Base markets to lower-rate models to slow interest accrual on bad debt. cbBTC currently uses a kinked model (80% kink, 0.0615 multiplier, 5.0 jump multiplier). At that point its utilization was about 72% and its borrow APY about 4.4%. Since then, suppliers have withdrawn cbBTC. Supply fell from about 81.5 to 70.0 cbBTC, cash fell from 23.09 to 11.92 cbBTC, and utilization is now 83.1%, above the kink. The borrow APY is 22.6%.

Interest now mostly accrues on debt that can’t be repaid:

cbBTC borrows Tokens USD Accounts
In insolvent accounts (debt exceeds all collateral) 54.33 $4,520,720.89 8
In healthy accounts 3.79 $315,625.57 93
  • Using the same monthly-interest method as our earlier bad-debt reports, Base bad debt is accruing about $128,000 per month, compared with the ~$50,273 per month projected for MIP-X66 at the utilization prevailing then. cbBTC alone contributes $77,451 per month.
  • Healthy cbBTC borrowers owe only 3.79 cbBTC, and their balances fell by roughly 0.5 cbBTC over the two weeks since 9/15. The higher rate is producing little repayment.

In our 9/15 post we suggested borrow APYs around 20% as a middle ground for the affected USDC and EURC markets. That approach fits where a meaningful share of the debt is healthy and repayment pressure can return cash, as in USDC (28.9% of debt insolvent) and EURC (46.9%). With 93.5% of cbBTC debt insolvent, cbBTC is closer to cbETH (98.2%), VIRTUAL (99.1%) and cbXRP (96.1%). Those markets already use a flat 1% model with a 99% reserve factor.

We therefore recommend:

  • moving cbBTC to the same flat model: a 1% borrow rate at any utilization; and
  • raising cbBTC’s reserve factor from 10% to 99%, so the small remaining accrual goes to reserves instead of increasing supplier balances that the market can’t pay.

This would cut cbBTC’s bad-debt accrual to about $3,769 per month, and total Base accrual to about $54,316 per month. It would also remove the ~16.5% supply APY the market currently displays, which overstates what a new cbBTC supplier can expect from a market whose supplier balances are only about 22% backed by cash and healthy loans.

Current rates (reserve factor 10%; simple annual rates)

Utilization Borrow APR Supply APR
0% 0% 0%
80% (kink) 4.92% 3.54%
100% 104.92% 94.43%

Projected rates (flat model, reserve factor 99%)

Utilization Borrow APR Supply APR
0% 1.00% 0.00%
80% 1.00% 0.01%
100% 1.00% 0.01%

Collateral-factor reductions

Asset CF: current → proposed Collateral posted by healthy borrowers (accounts) Market cash (redeemable) Share of the market’s own debt in insolvent accounts ~5% sale depth into USDC (impact) 30d / 90d annualized vol Worst 24h decline Max drawdown (90d)
WELL 55% → 45% $71,392 (105) $261,805 0.2% $31,623 (5.26%) 104.4% / 99.0% 31.95% 52.69%
MORPHO 60% → 40% $58,132 (48) $4 85.8% $562,341 (5.37%) 77.5% / 84.5% 11.25% 27.97%
VIRTUAL 65% → 55% $827,773 (152) $142,800 99.1% $1,154,782 (5.08%) 84.9% / 84.1% 14.17% 26.23%

WELL

We recommend decreasing WELL’s collateral factor from 55% to 45%, the second step of the gradual wind-down we began on 9/15.

Liquidity hasn’t improved. Selling 13,851,400 WELL, worth about $31,623, returned 29,929.60 USDC at 5.26% price impact, which is nearly identical to our 9/15 observation. Borrowers hold $71,392 of WELL collateral, 2.3× that sale size. WELL fell 31.95% within 24 hours and 21.29% within a single hour on August 27. Its 90-day maximum drawdown is 52.69%. These reasons, together with the long-attack concern raised on 9/15, support continuing to reduce WELL’s borrowing power.

The same two accounts identified on 9/15 become newly eligible for liquidation, now with $30.57 of combined debt.

MORPHO

We recommend decreasing MORPHO’s collateral factor from 60% to 40%.

  • mMORPHO can’t be redeemed. The market holds 1.51 MORPHO ($3.70) of cash, down from 34.55 MORPHO on 9/15. A liquidator receiving mMORPHO has no cash to redeem it against.
  • The collateral itself is impaired. 85.8% of MORPHO debt is insolvent. Cash and healthy loans back only about 14% of MORPHO supplier balances.
  • Market risk is high. The ~5% sale size into USDC is about $562,000, and 90-day volatility is 84.5%.

The larger step is possible because no account becomes newly liquidatable at 40%. The next account to cross the threshold would do so only at 35%, with $139.11 of debt.

VIRTUAL

We recommend decreasing VIRTUAL’s collateral factor from 65% to 55%.

The VIRTUAL market is already treated as impaired: it has a flat 1% rate model, a 99% reserve factor, and 99.1% of its own debt in insolvent accounts. The token is still accepted as collateral at 65% CF.

Healthy borrowers post $827,773 of VIRTUAL collateral, but the market holds only $142,800 of redeemable cash, down 23% since 9/15. Cash and healthy loans back only about 13% of VIRTUAL supplier balances.

The step is modest relative to VIRTUAL’s 84–85% annualized volatility and 14.17% worst 24-hour decline. This change introduces no new liquidation eligibility.

wrsETH

We recommend decreasing wrsETH’s collateral factor from 46% to 42%, continuing its deprecation. The market’s mint and borrow functions are paused, and seven borrowers hold $67,603 of wrsETH collateral. No account becomes newly liquidatable.

The largest wrsETH borrower, 0x451ff8…73a3, with $4,256 of WETH debt, would move from a health factor of 1.18 to 1.08. We urge it to repay before a further step.

Borrower impact

The accounts below become newly eligible for liquidation

User address Collateral Borrows Health factor: current → proposed
0x525c49bf83ce3a1aaf425ac1a463537db68c8bd7 15,012.37 WELL ($34.27) 2,399.27 WELL ($5.48); 11.63 USDC ($11.63) ($17.10 total) 1.1020 → 0.9017
0x89b552ca032601dc60c0c2e67278b6f4bf18d069 11,886.1 WELL ($27.14) 13.46 USDC ($13.46 total) 1.1086 → 0.9071

A health factor below 1 permits liquidation.

MAMO

Chainlink plans to deprecate the price oracle which the MAMO market uses. Therefore. we recommend sunsetting the MAMO market by setting Collateral Factor to 0.

OP Mainnet

Summary

Risk Parameters

Parameters Current Value Recommended Value
VELO Collateral Factor 60% 55%
OP Collateral Factor 65% 60%
wrsETH Collateral Factor 37% 30%
cbETH Collateral Factor 1% 0%
WBTC Collateral Factor 0.1% 0%

Estimated borrower impact

Change Newly liquidatable accounts Total debt in those accounts
VELO 60% → 55% 1 $922.28
OP 65% → 60% 1 $12.45
wrsETH 37% → 30% 2 $238.73
cbETH 1% → 0% 0 $0.00
WBTC 0.1% → 0% 0 $0.00

Rationale

VELO

We recommend decreasing VELO’s collateral factor from 60% to 55%, the next step of the gradual reduction begun on 9/15. The VELO market is closed to new supply and borrowing and carries a 99% reserve factor.

  • Liquidity. Selling 5,080,140 VELO (about $177,828) returned 168,975 USDC at 4.98% impact. Borrowers post $593,521 of VELO collateral, 3.3× that amount.
  • Price moves. VELO has risen 47.9% since 9/15. Its 30-day annualized volatility is 116.4%, and its 90-day maximum drawdown is 33.8%.

One account becomes newly eligible for liquidation: 0xcb6586874cc04b01cc4fdb777de502cea7b3d6c1, the same borrower flagged on 9/15.

The largest VELO-collateralized loan, 0x771549…6f3f, with $73,420 of USDC and WETH debt, has benefited from VELO’s rally. Its health factor is 1.49 today and remains well above 1 at 55%.

OP

We recommend decreasing OP’s collateral factor from 65% to 60%, in line with the 60% now applied to AERO and VELO.

  • Liquidity: OP’s own market is closed to new supply and borrowing. OP Mainnet liquidity for the token is thin: 1,883,000 OP (about $245,824) sold into USDC at 5.28% impact.
  • Volatility: Its 30-day volatility is 114.1%.

One account holding $12.45 of OP debt, against OP collateral, becomes newly eligible for liquidation.

wrsETH, cbETH and WBTC

These are deprecation steps:

  • wrsETH, 37% → 30%. This affects two small accounts with $238.73 of combined debt.
  • cbETH, 1% → 0%. This completes the change we recommended on 8/20. The only two accounts holding cbETH collateral are already liquidatable, so no account is newly affected.
  • WBTC, 0.1% → 0%. No account is newly affected.

Borrower impact

User address Collateral Borrows Health factor: current → proposed Repayment to HF 1.05 (USD)
0xcb6586874cc04b01cc4fdb777de502cea7b3d6c1 41,853.77 VELO ($1,465.07); 1,048.75 OP ($136.91) 26,347.53 VELO ($922.28 total) 1.0496 → 0.9628 $76.63
0xc56b6d7d14de9a38a51ff2029e8a6b1ee4ff1d68 0.141 wrsETH ($406.39) 0.0503 WETH ($134.40 total) 1.1187 → 0.9071 $18.29
0xe80fc2700ec6faf5f0347a2e7e7798faf548e1c3 0.100 wrsETH ($288.85); 0.00000646 weETH ($0.02) 0.0350 weETH ($103.26); 1.06 USD₮0 ($1.06) ($104.32 total) 1.0246 → 0.8308 $21.78
0x97ac41f951b6eb32f302d919fb7e44274e06ca57 147.71 OP ($19.28) 95.35 OP ($12.45 total) 1.0069 → 0.9294 $1.43

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Anthias Labs has not been compensated by any third party for any statements made. All opinions and suggestions provided are based solely on our independent analysis and are not influenced by external entities.