[Anthias Labs] Risk Parameter Recommendations (10/27/26)
Anthias Labs proposes the following parameter changes for Moonwell Core markets on Base and OP Mainnet, and no changes on Ethereum. For more information on current parameters, please refer to our monitoring dashboard.
Base
Summary
Risk Parameters
| Parameters | Current Value | Recommended Value |
|---|---|---|
| AERO Collateral Factor | 58% | 55% |
| WELL Collateral Factor | 35% | 20% |
| MORPHO Collateral Factor | 40% | 30% |
MAMO Oracle
Chainlink is deprecating the MAMO / USD feed. MAMO is already wound down on
Base: its collateral factor is 0%, its supply and borrow caps are one raw unit. This proposal replaces the feed with a fixed price of $0.01.
| Market | Current | Proposed |
|---|---|---|
| MAMO | Chainlink MAMO / USD | Fixed price $0.01 |
Estimated borrower impact
| Change | Newly liquidatable accounts | Total debt in those accounts |
|---|---|---|
| AERO 58% → 55% | 2 | $1,807.40 |
| WELL 35% → 20% | 6 | $1,518.25 |
| MORPHO 40% → 30% | 0 | $0.00 |
| All changes together | 8 | $2,496.90 |
The AERO and WELL rows overlap: 0xeb27…8c29 ($1,225.53) is crossed by either step. The combined package adds one account beyond the individual changes: 0x7f2d…6b55 ($396.77), which posts AERO, MORPHO and WELL.
Rationale
How we sized these steps: Base borrowing is closed, so these factors no longer govern new borrowing. They now set three things:
- how much existing debt can rest on each collateral asset;
- how much other collateral a borrower can withdraw while leaving that asset behind as backing;
- how wide the cushion is between liquidation eligibility and insolvency when the collateral has to be sold.
Every step stays within two limits:
- it crosses only small accounts, none with more than about $1,250 of debt;
- it leaves no loan above $5,000 materially closer to liquidation than one day’s typical price move (30-day volatility).
Within those limits, each asset’s stopping point is set by its own constraint, explained below. Where the second limit can’t be met, we hold. Where the collateral can’t be redeemed from its own market, we keep a wider margin, because a liquidator could seize that collateral but not turn it into the underlying token.
| Asset | CF: current → proposed | Collateral posted by healthy borrowers (accounts) | Redeemable cash | Share of the market’s own debt in insolvent accounts | ~5% sale depth: 9/29 → 10/26 | 30d / 90d vol | Worst 24h decline (90d) | Lowest CF with no newly liquidatable account | Newly liquidatable at proposed CF (debt) |
|---|---|---|---|---|---|---|---|---|---|
| AERO | 58% → 55% | $1,087,662 (312) | $845,846 | 15.1% | $5.62M → ~$1.2M | 127.9% / 105.6% | 11.90% | 58% | 2 ($1,807.40) |
| WELL | 35% → 20% | $24,124 (94) | $200,572 | 0.1% | $31,623 → $21,662 | 103.7% / 101.1% | 31.95% | 31.5% | 6 ($1,518.25) |
| MORPHO | 40% → 30% | $50,065 (44) | $40 | 92.5% | $562,341 → $685K–$1M | 72.4% / 86.0% | 11.25% | 25.5% | 0 ($0.00) |
AERO
We recommend decreasing AERO’s collateral factor from 58% to 55%.
On 10/15 we said we would follow up with a plan for the legacy AERO market once the migration mechanics were published. They now are. The Aerodrome–Velodrome merger launched on 10/21. Legacy AERO converts 1:1 into the new AERO token. Conversion is manual, one-way and has no deadline, and legacy pools no longer receive emissions. The Moonwell AERO market still lists the legacy token (0x9401…8631), priced by the Chainlink AERO / USD feed. Secondary market liquidity is leaving that token quickly:
| Measure | Legacy AERO | New AERO (0x3f5b…a4ee) |
Source |
|---|---|---|---|
| ~5% price-impact sale into USDC | ~$1.2 million (1.77M AERO at 3.95%; 7.85% at $1.3M) | ~$3.13 million (5.16%) | KyberSwap quotes, 10/26 21:38–21:42 UTC |
| Same measure on 9/29 | $5.62 million (5.35%) | n/a | 9/29 post |
| DEX pool reserves (both sides) | $14.2 million across the top 60 pools (largest: AERO/USDC on Aerodrome, $7.0M) | $8.5 million across 20 pools | GeckoTerminal, 21:41 UTC |
| 24h DEX volume | $4.2 million | $14.5 million | GeckoTerminal |
Legacy AERO’s ~5% sale depth has fallen about 79% in four weeks. Trading has already moved: the new token does 3.5× the legacy token’s daily volume. With emissions switched off, legacy LPs have every reason to keep leaving.
The next constraint is 0xc48b…5b6c ($6,005 of debt, almost all USDC, against WETH and AERO). At 55% it sits at HF 1.019, 7.3% of AERO decline from liquidation. That is just over one day of AERO’s 30-day volatility (6.7%). We will measure legacy depth and collateral each week, and step below 55% next round if secondary market liquidity keeps falling.
Other AERO market data: 2.31 million AERO ($1.56M) supplied, 1.25 million AERO ($846K) of redeemable cash, 46.4% utilization against a 60% kink, and 15.1% of AERO debt in insolvent accounts.
WELL
We recommend decreasing WELL’s collateral factor from 35% to 20%.
WELL is the clearest case for moving fast. Its ~5% sale depth fell from $31,623 on 9/29 to $21,662, now below the $24,124 of WELL that healthy borrowers post. WELL’s worst 24-hour decline in the last 90 days was 31.95%, its 90-day maximum drawdown was 53.4%, and the long-attack concern noted in our 9/29 post still applies to a governance token used as collateral. Unlike MORPHO and VIRTUAL, the WELL market holds $200,572 of redeemable cash, so liquidators can redeem and sell what they seize. That lets us take a large step without creating positions that can’t be liquidated.
The cost is small. Six accounts with $1,518.25 of debt become newly liquidatable. One of them, 0xeb27…8c29 ($1,226), is crossed by the AERO step anyway; the other five hold $293 of debt between them. We will keep stepping WELL down as other positions unwind.
MORPHO
We recommend decreasing MORPHO’s collateral factor from 40% to 30%. No account becomes newly liquidatable from this change alone.
- mMORPHO effectively can’t be redeemed. The market holds 18.68 MORPHO ($40) of cash at 101.7% utilization. A liquidator seizing mMORPHO can’t turn it into MORPHO, however deep MORPHO’s own DEX liquidity is.
- It stops collateral substitution. At 40%, a borrower can withdraw liquid collateral and leave mMORPHO behind as backing. A lower factor limits how much debt can end up resting on collateral that liquidators can’t realize.
MAMO
Because MAMO’s collateral factor is 0%, the price only affects accounts that borrowed MAMO. Only one of those is an active position: 0x81f6…1b3f, which supplies $38.9K of USDC and borrows 1.39M MAMO. The other MAMO borrowers are already in shortfall and hold about $1 of collateral between them, so the price doesn’t change anything that could be liquidated in those accounts.
We aim to set the price between the current price ($0.0067) and $0.0247, the price at which 0x81f6…1b3f would become liquidatable. At $0.01 it sits at a health factor of about 2.5, and no healthy account becomes liquidatable.
Setting the price slightly above the last market price leaves a buffer:
- Liquidations stay profitable. A liquidator repaying MAMO debt buys MAMO at market and seizes collateral worth 1.1× the repaid amount at the oracle price. At $0.01, that stays profitable until MAMO trades about 65% above its last price. If 0x81f6…1b3f later withdraws collateral down to the liquidation threshold, or drifts there through accrued interest, liquidators still have an incentive to act even if MAMO rises. If MAMO trades higher than 65% above its current value, a future governance proposal can change the fixed price accordingly in needed.
- MAMO debt is not undervalued. A price below market would understate the position’s MAMO debt and let it withdraw more USDC than that debt supports.
Borrower impact
The accounts below become newly eligible for liquidation under the combined Base package.
| User address | Collateral | Borrows | Health factor: current → proposed | Repayment to HF 1.05 (USD) |
|---|---|---|---|---|
| 0xeb2751d509f2b04d748b2e32e6a7a307a51e8c29 | 0.3253 cbETH ($859.61); 641.5 AERO ($433.82); 702.6 VIRTUAL ($431.54); 95,240 WELL ($200.36) | 1,226 USDC ($1,225.53 total) | 1.0067 → 0.9716 | $91.50 |
| 0xcc90cc4f53e0d10d3bb3db1e29dd1da84945b955 | 1,485 AERO ($1,004.36) | 860.4 AERO ($581.87 total) | 1.0011 → 0.9493 | $55.78 |
| 0x7f2da2134ed45cd96c38163df4413e6f2a236b55 | 744.9 AERO ($503.81); 144.9 MORPHO ($307.63); 37,750 WELL ($79.41) | 396.9 USDC ($396.77 total) | 1.1167 → 0.9710 | $29.85 |
| 0xa3bee2ed451bb2f64fa4e0b862a9846de50c7325 | 338,700 WELL ($712.51) | 191.6 USDC ($191.50 total) | 1.3022 → 0.7441 | $55.79 |
| 0x733034d9bf322ad7eb1789d7c0de1eedd5892bf6 | 96,850 WELL ($203.76) | 61.66 USDC ($61.65 total) | 1.1568 → 0.6610 | $22.84 |
| 0x78ce89c19f562f2090739015ec61da12ec26a460 | 78.79 VIRTUAL ($48.39); 8,798 WELL ($18.51) | 27.92 USDC ($27.91 total) | 1.0991 → 0.9996 | $1.34 |
| 0x5d190f34a2ce4b0241286f15b4b2ea148ba9ec7c | 18,070 WELL ($38.02) | 4,647 WELL ($9.78 total) | 1.3611 → 0.7778 | $2.53 |
| 0x2bad0dbbb05aeed29e7c40030e563c72707d837d | Dust in 7 markets ($2.49) | Dust in 7 markets ($1.89 total) | 1.0034 → 0.9898 | $0.11 |
A health factor below 1 permits liquidation. The repayment column shows the approximate USD value of debt that would need to be repaid from outside funds to reach a health factor of 1.05 under the proposed factors, holding prices and collateral constant.
The accounts below are not made liquidatable but would move materially closer to the threshold (ending below HF 1.10, with a decline of more than 0.005). We list those with more than $100 of debt.
| User address | Debt (USD) | Main collateral | HF current → proposed |
|---|---|---|---|
| 0xc48b8e56d0cc0334a9a9d532b3da3471455d5b6c | $6,005.33 | WETH, AERO | 1.0333 → 1.0191 |
| 0xb193d0518dac016e958c8e06c84b0b7c48d63bb9 | $3,688.20 | cbXRP, VIRTUAL, AERO, MORPHO, WELL, WETH | 1.1110 → 1.0974 |
| 0x8ce2668579b68d774625ff76380291228ba6154d | $1,761.89 | AERO, VIRTUAL, WELL | 1.1369 → 1.0577 |
| 0xa85b36954e7d694e30a1344194522b681eac39d6 | $1,097.46 | USDC, AERO, USDS, cbXRP, VIRTUAL | 1.0977 → 1.0840 |
| 0x0efb3150b0626041fd06f636cd27911b87d1b95a | $1,096.78 | MORPHO, VIRTUAL, WETH, WELL | 1.1494 → 1.0347 |
| 0x9e59edf20d62acbc689d5e72b8f72fedd7a3d282 | $929.00 | VIRTUAL, WETH, MORPHO, MAMO, cbXRP | 1.1532 → 1.0963 |
| 0xb32ec80ce6b96495a823a01dd5c33a331cfd76f2 | $784.34 | USDC, MORPHO | 1.0503 → 1.0437 |
| 0xfaa51f965e84ebdca0a18514fe960eefb40b2abe | $663.47 | AERO | 1.1118 → 1.0543 |
| 0x9c78372396228326b68524f4015fa3160d1d9ac1 | $579.11 | AERO, WELL, cbBTC | 1.0988 → 1.0018 |
| 0xc75cd88e4e20078595a92adbd2c35aa9dffc14d1 | $320.81 | WELL | 1.9186 → 1.0963 |
| 0x5c07c82bc7e836c3620b62efb56f131da1a70aa4 | $305.44 | VIRTUAL, MORPHO, WETH | 1.0356 → 1.0220 |
| 0x553383d5fa876ac758e7e26ce910264de6a17298 | $246.32 | AERO | 1.1404 → 1.0814 |
OP Mainnet
Summary
Risk Parameters
| Parameters | Current Value | Recommended Value |
|---|---|---|
| VELO Collateral Factor | 50% | 48% |
| OP Collateral Factor | 55% | 50% |
| wrsETH Collateral Factor | 20% | 0% |
Estimated borrower impact
| Change | Newly liquidatable accounts | Total debt in those accounts |
|---|---|---|
| VELO 50% → 48% | 0 | $0.00 |
| OP 55% → 50% | 1 | $6.80 |
| wrsETH 20% → 0% | 2 | $778.59 |
| All changes together | 3 | $785.39 |
Rationale
VELO
We recommend decreasing VELO’s collateral factor from 50% to 48%, the next step in the VELO wind-down. Under the merger, VELO converts into new AERO at 0.044 AERO per VELO. VELO’s price ($0.02969 at the oracle) currently sits at that conversion value (0.044 × $0.673 ≈ $0.0296). The legacy token’s own liquidity on OP Mainnet has collapsed:
| VELO | 9/29 | 10/26 |
|---|---|---|
| ~5% price-impact sale into USDC | $177,828 (4.98%) | $11,710 (5.00%) |
| DEX pool reserves (both sides) | n/a | $749,211 across the top 60 pools |
| 30-day annualized volatility | 116.4% | 116.9% |
Sale depth is down 93% in four weeks. Healthy borrowers post $106,921 of VELO collateral (3.60 million VELO) across 17 accounts, about nine times the measured ~5% sale depth. The VELO market itself has 3.62 million VELO ($107,399) of cash, and its supply and borrow caps are one raw unit. Nearly all of the exposure is one loan, 0x7715…6f3f: $43,740 of USDC debt against 3.26 million VELO ($96,866).
No account becomes newly liquidatable at 48%. At 48%, 0x7715…6f3f sits 5.9% from liquidation, just under one day’s typical VELO move (6.1%). That is the deepest step we consider acceptable given its size. A forced sale of this collateral would be several times the depth that liquidators can reach on OP Mainnet. Converting to new AERO first may offer a better exit, but we haven’t verified that liquidators support it. The safer outcome is a voluntary repayment.
OP
We recommend decreasing OP’s collateral factor from 55% to 50%. OP’s own market is closed to new supply and borrowing. Healthy borrowers post only $5,454 of OP collateral across 31 accounts, against ~5% sale depth of about $217,504 (5.21%) and $44,912 of redeemable cash. OP’s 30-day volatility is 130.5%, and its worst 24-hour decline in the last 90 days was 15.55% (10/14).
The 5-point step crosses one account, 0x8a60…8d12: $6.80 of OP debt against OP collateral.
wrsETH
We recommend setting wrsETH’s collateral factor to 0%, completing its deprecation on OP Mainnet.
- The cost is two small positions. 0xe346…75bb ($709 of stablecoin debt, also holding wstETH and WETH). 0x770b…0fca ($69) holds only wrsETH and would need to repay its debt or add other collateral. 0xe346…75bb has been on our watch list since 10/15.
- Liquidations are executable. The market holds 0.97 wrsETH ($2,429) of redeemable cash, more than all posted collateral, and each liquidation would seize less than measured depth.
With seven days’ notice, both borrowers can exit without being liquidated.
Borrower impact
| User address | Collateral | Borrows | Health factor: current → proposed | Repayment to HF 1.05 (USD) |
|---|---|---|---|---|
| 0xe34634f9fb4287547f6e05469bb84077c57075bb | 0.5515 wrsETH ($1,379.58); 0.1266 wstETH ($364.75); 0.08344 WETH ($193.07) | 424.8 USDT ($424.10); 206.8 USDC ($206.75); 78.29 DAI ($78.27) ($709.13 total) | 1.0317 → 0.6426 | $275.14 |
| 0x770b9ad59cf92a0967dc47ab083d8b798a240fca | 0.149 wrsETH ($372.64) | 69.48 USDC ($69.46 total) | 1.0730 → 0 (no other collateral) | $69.46 |
| 0x8a605c52948d9b1ec463dd15bec0e451b7758d12 | 112.9 OP ($12.47) | 61.55 OP ($6.80 total) | 1.0091 → 0.9173 | $0.86 |
The accounts below would move materially closer to the threshold.
| User address | Debt (USD) | Main collateral | HF current → proposed |
|---|---|---|---|
| 0x771549e33de961567e50b17e6282679bbe4f6f3f | $43,740.33 | VELO | 1.1073 → 1.0630 |
| 0x88dd694eb900a670734892ca2e89f20defe2ac8c | $140.91 | VELO | 1.0704 → 1.0276 |
| 0x545c1527618bd42071b60e2c4ffab702e150242b | $73.46 | OP | 1.1321 → 1.0292 |
| 0x5ba9811dff37ca8639272d509dcadfe5bec4bff7 | $24.05 | OP | 1.1918 → 1.0834 |
| 0x77c63861e5efe1e230c9626c6c197ab6adef5707 | $13.74 | OP | 1.1883 → 1.0803 |
| 0x1623241a04947a3bd13cbf48f35d233ac35c1593 | $12.10 | OP | 1.1438 → 1.0398 |
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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.