Gauntlet’s BASE/Moonbeam/Moonriver Recommendations (2024-01-30)
BASE Recommendations
Simple Summary
Risk Parameters
A proposal to adjust 5 risk parameters:
| Risk Parameter | Current Value | Recommended Value |
|---|---|---|
| wstETH Collateral Factor | 77% | 78% |
| rETH Collateral Factor | 77% | 78% |
| cbETH Collateral Factor | 77% | 78% |
| wstETH Supply Cap | 800 | 1000 |
| wstETH Borrow Cap | 320 | 350 |
*Cap Recommendations will be implemented via Guardian
IR Parameters
A proposal to adjust cbETH’s IR curve:
| cbETH IR Parameters | Current | Recommended |
|---|---|---|
| Base | 0 | 0 |
| Kink | 0.45 | 0.45 |
| Multiplier | 0.06 | 0.05 |
| Jump Multiplier | 3.15 | 3.00 |
A proposal to adjust USDC’s IR curve:
| USDC IR Parameters | Current | Recommended |
|---|---|---|
| Base | 0 | 0 |
| Kink | 0.8 | 0.8 |
| Multiplier | 0.05 | 0.065 |
| Jump Multiplier | 8.6 | 8.6 |
Rationale:
Risk Parameters
Our recommendations have an estimated VaR at $0 and remains unchanged. Based on simulation results, Gauntlet recommends increasing the collateral factor for staked ETH asssets cbETH, rETH, and wstETH in order to improve capital efficiency.
Top wstETH Supply Accts
The largest 3 out of 5 wstETH suppliers are not incurring any debt.
Top rETH Supply Accts
The top 5 out of 10 rETH suppliers have either no debt or highly correlatet/recursive positions within the BASE market.
Top cbETH Supply Accts
Except for the 4th largest and 10th largest supplier positions, the rest of the suppliers borrow WETH for the large part.
BASE Liquidity
| Asset | Borrow Cap | Supply Cap | Borrow Cap Usage | Supply Cap Usage | DEX 25pct Slippage Token | DEX 25pct Slippage USD |
|---|---|---|---|---|---|---|
| USDC | 10,000,000 | 15,000,000 | 54.96% | 46.56% | 4,910,434 | $4,910,873.93 |
| WSTETH | 320 | 800 | 47.17% | 77.93% | 522 | $1,337,593.94 |
| WETH | 8,000 | 10,500 | 68.98% | 67.39% | 1,268 | $2,814,461.98 |
| rETH | 200 | 600 | 31.60% | 67.42% | 301 | $732,088.37 |
| cbETH | 1,000 | 6,000 | 59.70% | 61.02% | 754 | $1,766,316.83 |
| USDbC | 4,000,000 | 5,000,000 | 13.88% | 20.92% | 4,223,273 | $4,223,651.94 |
| DAI | 4,500,000 | 5,000,000 | 76.95% | 85.15% | 462,924 | $463,018.02 |
BASE Circulating Tokens and Supply Cap
| Asset | Circulating Supply Tokens | Supply Cap | Supply Cap / Circulating Supply Cap | Supply Cap Liquidity |
|---|---|---|---|---|
| cbETH | 18707.68 | 6,000 | 32.07 | $8,592,987.00 |
| WETH | 47198.08 | 10,500 | 22.25 | $16,136,023.00 |
| DAI | 5459439.12 | 5,000,000 | 91.58 | $4,039,262.00 |
| USDC | 204121357.61 | 15,000,000 | 7.35 | $7,213,614.00 |
| rETH | 858.90 | 600 | 69.86 | $10,309,053.00 |
| wstETH | 3061.68 | 800 | 26.13 | $1,841,216.00 |
| USDbC | 74213760.86 | 5,000,000 | 6.74 | $580,879.00 |
IR Parameters
cbETH IR Parameters
Utilization rates for cbETH has although increased post previous IR updates, it has not been sustainable with utilization still staying at or below 20%.
cbETH Utilization
Link to chart
Gauntlet plans to reduce cbETH borrowing rates to encourage borrowing and increase protocol reserves.
Recommended cbETH IR Curve
Projected APRs
| Utilization | Borrow APR | Supply APR |
|---|---|---|
| 0 | 0 | 0 |
| 45 | 2.25 | 0.81 |
| 100 | 167.25 | 133.8 |
Current APRs
| Utilization | Borrow APR | Supply APR |
|---|---|---|
| 0 | 0 | 0 |
| 45 | 2.7 | 0.91125 |
| 100 | 175.95 | 131.9625 |
Gauntlet will monitor the utilization of other LSTs and consider additional actions if their levels remain low.
USDC IR Parameters
USDC Utilization
USDC has stayed at the kink over prolonged periods of time with utilization jumping above kink historically as well. Gauntlet recommends to increase Jump multiplier to gauge market equillibrium and further drive efficiency in this market.
Recommended USDC IR Curve
Projected APRs
| Utilization | Borrow APR | Supply APR |
|---|---|---|
| 0 | 0 | 0 |
| 80 | 5.2 | 3.53 |
| 100 | 177.2 | 150.62 |
Current APRs
| Utilization | Borrow APR | Supply APR |
|---|---|---|
| 0 | 0 | 0 |
| 80 | 3.99 | 2.71 |
| 100 | 175.99 | 149.59 |
Risk Dashboard
The community should use Gauntlet’s Moonwell Base Risk Dashboard to better understand the updated parameter suggestions and general market risk in Moonwell BASE.
Moonbeam Recommendations
Simple Summary
A proposal to adjust 2 total risk parameters:
| Parameter | Current Value | Recommended Value |
|---|---|---|
| xcDOT Collateral Factor | 58% | 56% |
| WGLMR Collateral Factor | 62% | 60% |
A proposal to make a IR curve adjustments for xcUSDT,xcUSDC and USDC.wh:
| xcUSDC IR Parameters | Current | Recommended |
|---|---|---|
| BASE | 0 | 0 |
| Kink | 0.8 | 0.8 |
| Multiplier | 0.075 | 0.0814 |
| Jump Multiplier | 6.0 | 7.0 |
| xcUSDT IR Parameters | Current | Recommended |
|---|---|---|
| BASE | 0 | 0 |
| Kink | 0.8 | 0.8 |
| Multiplier | 0.075 | 0.0814 |
| Jump Multiplier | 6.0 | 7.0 |
| USDC.wh IR Parameters | Current | Recommended |
|---|---|---|
| BASE | 0 | 0 |
| Kink | 0.8 | 0.8 |
| Multiplier | 0.075 | 0.0814 |
| Jump Multiplier | 6.0 | 7.0 |
Rationale:
Risk Parameters
Our recommendations have an estimated VaR at $0 and remains unchanged.Based on simulation results, Gauntlet recommends decreasing the collateral factors for xcDOT and WGLMR in order to mitigate risk to the protocol. The collateral factors for WBTC.wh, xcUSDT, WETH.wh, and USDC.wh effectively balance risk with capital efficiency.
xcDOT Top Supply Positions
3 out 5 of the top suppliers of xcDOT have no borrows and have borrow usage below 56%.
Gauntlet recommends decreasing the collateral factor for xcDOT from 58% to 56%. This decrease to collateral factor should not impact any users or cause any liquidations.
WGLMR Top Supply Positions
Only 2 out of the top 10 Suppliers have any borrow positions. Furthermore, the top 10 have borrow usage lower than 60%.
The reduction of collateral factor from 62% to 60% only liquidates 1 user with less than $1 supplied liquidated. Gauntlet recommends to reduce Collateral Factor to 60%.
| supply_balance_usd | borrow_balance_usd | collateral_usd | borrow_usage | collateralization_ratio | health_factor | adjusted_health_factor | |
|---|---|---|---|---|---|---|---|
| Address | 0.91 | 0.57 | 0.91 | 1.00 | 1.61 | 1.00 | 0.97 |
IR Parameters
USDC.wh and xcUSDT Utilization
USDC.wh and xcUSDT Borrow Rates
Since last reccomendations, borrow rates and utilization for stablecoin assets has been less volatile and closer to kink, however, utilization has still managed to spill over the kink often. In order to further assess market equillibrium/efficiency and further curb high utilization Gauntlet recommends to increase Multiplier and Jump Mulitplier for the USDC.wh, xcUSDT and xcUSDC. The Mulitplier will move borrow APR at kink by almost 50bps. We will monitor the impact of these adjustments and make any further adjustments if necessary to maintain utlization at the kink.
IR Curve for USDC.wh, USDT, and xcUSDC
Recommended Borrow & Supply APR for USDC.wh, xcUSDT and xcUSDC
| Utilization | Borrow APR | Supply APR |
|---|---|---|
| 0 | 0 | 0 |
| 80 | 6.51 | 4.16 |
| 100 | 146 | 117.2 |
Current Borrow and Supply APR for USDC.wh, xcUSDT and xcUSDC
| Utilization | USDC.wh Borrow APR | USDC.wh Supply APR |
|---|---|---|
| 0 | 0 | 0 |
| 80 | 6 | 3.53 |
| 100 | 126 | 100.8 |
The current incentives for USDC.wh and xcUSDT yield approximately 13-15% APY, making recursive positions profitable in the Moonbeam market even with current utilization rates. The top borrow positions across xcUSDT and USDC.wh are mostly recursive or have no borrows except for a few positions. Gauntlet will continue to monitor these positions closely.
USDC.wh
xcUSDT
Supporting Data
Moonbeam 2% Market Depth for non-Stables
xcUSDC Check-in
xcUSDC liquidity on Moonbeam ecosystem has not ramp up since previous reccomendations.
Risk Dashboard
The community should use Gauntlet’s Moonbeam Risk Dashboard to better understand the updated parameter suggestions and general market risk in Moonbeam.
Value at Risk represents the 95th percentile insolvency value that occurs from simulations we run over a range of volatilities to approximate a tail event.
Liquidations at Risk represents the 95th percentile liquidation volume that occurs from simulations we run over a range of volatilities to approximate a tail event.
Moonriver Recommendations
Simple Summary
Gauntlet suggest no changes in risk parameters for Moonwell Moonriver.
Rationale:
Gauntlet doesn’t suggest any adjustments to current risk parameters. The current parameter for FRAX, KSM and MOVR are effectively balancing risk and capital efficiency.
Supply & Borrow Balance USD
Link to Chart
Moonriver On-chain Liquidity
In shaping our recommendations via our risk models, we consistently monitor market liquidity and concentration risks pertaining to the Moonriver protocol. We aim to provide the community with pivotal liquidity metrics for Moonriver assets. The liquidity on Moonriver has improved since our last reccomendation cycle, however we believe the curret caps are in-tune with the on-chain liquidity available and further risk-on measures are not warrented. We recommend to continue monitoring the Moonriver market and ecosystem.
Previous Liquidity for Rec
| Asset | 10% Liquidity Depth (#) | 10% Liquidity Depth ($) | 25% Liquidity Depth | 25% Liquidity Depth ($) |
|---|---|---|---|---|
| WMOVR | 1000 | $22,910 | 3500 | $80,185 |
| xcKSM | 320 | $16,221 | 1000 | $50,690 |
| FRAX | 25000 | $25,000 | 75000 | $75,000 |
Current Liquidity for Rec
| Asset | 10% Liquidity Depth (#) | 10% Liquidity Depth ($) | 25% Liquidity Depth | 25% Liquidity Depth ($) |
|---|---|---|---|---|
| WMOVR | 1650 | $39,072 | 5150 | $121,952 |
| xcKSM | 620 | $24,800 | 1800 | $72,000 |
| FRAX | 37900 | $37,900 | 95620 | $95,620 |
Previous Rec Cycle Metrics
| Asset | Circulating Supply | Supply Balance | Supply Balance / Circulating Supply | Borrow Cap | Borrow Cap / Circulating Supply |
|---|---|---|---|---|---|
| WMOVR | 197,575 | 153,570 | 77.73% | 76,000 | 38.47% |
| xcKSM | 68,047 | 49,050 | 72.08% | 11,000 | 16.17% |
| FRAX | 5,450,958 | 1,277,087 | 23.43% | 300,000 | 5.50% |
Current Rec Cycle Metrics
| Asset | Circulating Supply | Supply Balance | Supply Balance / Circulating Supply | Borrow Cap | Borrow Balance / Circulating Supply |
|---|---|---|---|---|---|
| WMOVR | 242,067 | 156922.95 | 64.83% | 40000 | 25.49% |
| xcKSM | 50,875 | 48024.29 | 94.40% | 14000 | 29.15% |
| FRAX | 5,450,958 | 870308.41 | 15.97% | 420000 | 48.26% |
The circulating supply on the Moonriver market appears to be well-balanced in relation to borrowing caps. Hence, Gauntlet doesn’t recommend any cap changes for the above assets.
IR Parameters
When Gauntlet analyzes interest rate parameters, we prioritize two main objectives:
- Mitigating the risk of reaching 100% utilization in a pool.
- Maximizing the growth of the protocol reserve to provide coverage for potential insolvencies or future expenses.
For this recommendation, Gauntlet advises against making any adjustments to the interest rate curves, as they are already optimized to achieve these objectives.
Methodology
This set of parameter updates seeks to maintain the overall risk tolerance of the protocol while making risk trade-offs between specific assets.
Gauntlet’s parameter recommendations are driven by an optimization function that balances 3 core metrics: insolvencies, liquidations, and borrow usage. Parameter recommendations seek to optimize for this objective function. Our agent-based simulations use a wide array of varied input data that changes on a daily basis (including but not limited to asset volatility, asset correlation, asset collateral usage, DEX / CEX liquidity, trading volume, expected market impact of trades, and liquidator behavior). Gauntlet’s simulations tease out complex relationships between these inputs that cannot be simply expressed as heuristics. As such, the input metrics we show below can help understand why some of the param recs have been made but should not be taken as the only reason for recommendation. To learn more about our methodologies, please see the Helpful Links section at the bottom.
Risk Dashboard
The community should use Gauntlet’s Moonriver Risk Dashboard to understand better the updated parameter suggestions and general market risk.
Value at Risk represents the 95th percentile insolvency value that occurs from simulations we run over a range of volatilities to approximate a tail event.
Liquidations at Risk represents the 95th percentile liquidation volume that occurs from simulations we run over a range of volatilities to approximate a tail event.
Quick Links
Please click below to learn about our methodologies:
Gauntlet Parameter Recommendation Methodology
Gauntlet Model Methodology
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