Moonbeam Recommendations
Simple Summary
A proposal to adjust 1 total risk parameter:
| Parameter | Current Value | Recommended Value |
|---|---|---|
| USDC.wh Borrow Cap | 1,900,000 | 2,200,000 |
A proposal to adjust 1 IR parameter for USDC.wh:
| USDC.wh IR Parameters | Current | Recommendation |
|---|---|---|
| BASE | 0 | 0 |
| Multiplier | 0.0625 | 0.0625 |
| Kink | 0.8 | 0.8 |
| Jump Multiplier | 2.5 | 3.5 |
Risk Rationale:
Our recommendations will maintain VaR at $103 and LaR at $355k. The collateral factors for WETH.wh, WGLMR, WBTC.wh, xcUSDT,FRAX, USDC.wh and xcDOT effectively balance risk with capital efficiency.
We recommend to increase USDC.wh borrow caps based on borrow cap usage (~100%) and current USDC.wh’s on-chain liquidity and positions.
USDC.wh On-chain Total Circulating Supply
Circulating supply of USDC.wh experienced a large increase in late September but started to decline to current levels of ~2.8M. The current circulating supply is a 20% increase from our last risk recommendation.
Top 10 Positions ordered by USDC.wh borrows
Top 3 Borrow positions of USDC.wh ($1.3M) are recursive positions. These positions represent 70% of outstanding borrow positions.
As we make recommendations through our risk models, we keep a constant check on the market liquidity and concentration risk to the Moonbeam protocol. In this regard, we would like to present some key liquidity figures for Moonbeam assets to share with the community. Since our last post, liquidity has decreased across all listed assets.
| Asset | Borrow Cap Relative to Supply | Total Circulating Supply | 25% Depth | 25% Depth USD | 25% Depth - Prev Month |
|---|---|---|---|---|---|
| WETH.wh | 25% | 1,986 | 20 | $31,876 | 22 |
| USDC.wh | 78% | 2,437,724 | 260,000 | $260,000 | 240,000 |
| WBTC.wh | 57% | 194 | 2 | $42,431 | 1.5 |
| xcUSDT | 112% | 1,163,129 | 270,000 | $270,000 | 230,000 |
| xcDOT | 81% | 1,046,984 | 12,000 | $45,000 | 8,500 |
| FRAX | 99% | 5,319,872 | 120,000 | $120,000 | 240,000 |
| WGLMR* | 186% | 12,124,613 | 250,000 | $44,703 | 200,000 |
*WGLMR circulating supply doesn’t include non-wrap tokens.
USDC.wh 25% Depth increased 10% to $260k since last month.
IR Recommendation Rationale
Gauntlet recommends to increase the Jump Multiplier based on historical utilization:
Utilization has experienced recent spikes above the kink, we recommend to risk-off the high utilization by increasing the upper end of the IR curve through the Jump Mutliplier to disincentive utilization above 80%.
Updated USDC.wh IR Curves
The increase in Jump Multiplier from 2.5 to 3.5 should increase Max Borrow APR from 55% to 75%.
| USDC.wh Utilization | Current Borrow APR | Recommend Borrow APR |
|---|---|---|
| 0% | 0% | 0% |
| 80% | 5% | 5% |
| 100% | 55% | 75% |
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.
Supporting Data
The below figures show trends on key market statistics regarding borrows and utilization that we will continue to monitor:
Top 10 Borrowers’ Aggregate Positions & Borrow Usages
Top 10 Borrowers’ Entire Supply
Link to chart
Top 10 Borrowers’ Entire Borrows
Link to chart
Utilization Rate of Assets - Timeseries
Link to chart
Borrow Cap Utilization
Moonbeam 2% Market Depth for non-Stables
Cumulative Returns by Asset
Link to chart
WBTC.wh On-chain Total Circulating Supply
DEX liqudity for WBTC.wh has stayed relatively flat, but circulating supply has been improving since early September.
WETH.wh On-chain Total Circulating Supply
There was a large increase in circulating supply of WETH.wh on the Moonbeam chain in late September. This address can be attributed to the large spike. This address opened a large position on Moonwell on Sept 25th and maxed out at $2.8M of WETH.wh supply. Eventually this user closed their position:
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 does not recommend any risk parameters for the Moonriver market at this time.
Rationale:
Gauntlet’s risk model estimates VaR at $0 and LaR at $12.3k based on current user positions and market conditions. FRAX, WMOVR and xcKSM’s collateral factors and borrow caps are effectively balancing risk and capital efficiency.
Collateral Usage and Collateralization Ratios
Collateral Usage has decreased slightly from ~$400k to ~$385k with volatile assets WMOVR and xcKSM showing a steady decline.
WAVG collateralization for WMOVR and xcKSM have steadied increased while FRAX has decreased 20%.
Moonriver On-chain Liquidity
In shaping our recommendations via our risk models, we consistently monitor market liquidity and concentration risks pertaining to the Moonriver protocol. We aim to provide the community with pivotal liquidity metrics for Moonriver assets. Following the Multichain incident, liquidity on the Solarbeam DEX has diminished to levels that are less than optimal.
| 10% Liquidity Depth (#) | 10% Liquidity Depth ($) | 25% Liquidity Depth | 25% Liquidity Depth ($) | |
|---|---|---|---|---|
| WMOVR | 2100 | $8,043 | 6500 | $24,895 |
| xcKCM | 350 | $5,971 | 1000 | $17,060 |
| FRAX | 10000 | $10,000 | 26000 | $26,000 |
Compared to our last update the previous month, Liquidity has improved significantly for WMOVR and FRAX. Even with the increase in 10% depth liquidity for WMOVR (320%+) and FRAX (400%+), liquidity levels are still not sufficient for any risk-on recommendations. We recommend to continue monitoring the Moonriver market and ecosystem.
| Current - 10% Liquidity Depth (#) | Prev - 10% Liquidity Depth (#) | Current - 25% Liquidity Depth | Prev- 25% Liquidity Depth | |
|---|---|---|---|---|
| WMOVR | 2100 | 500 | 6500 | 1500 |
| xcKCM | 350 | 300 | 1000 | 1000 |
| FRAX | 10000 | 2000 | 26000 | 6000 |
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.
Supporting Data
The below figures show trends on key market statistics regarding borrows and utilization that we will continue to monitor:
Top 10 Borrowers’ Aggregate Positions & Borrow Usages
Top 10 Borrowers’ Entire Supply
Link to chart
Top 10 Borrowers’ Entire Borrows
Link to chart
Utilization Rate of Assets - Timeseries
Link to chart
Borrow Cap Utilization
Liquidations on Moonriver
Link to chart
Liquidations are still being processed within the Moonriver ecosystem.
Quick Links
Please click below to learn about our methodologies:
Gauntlet Parameter Recommendation Methodology
Gauntlet Model Methodology
By approving this proposal, you agree that any services provided by Gauntlet shall be governed by the terms of service available at gauntlet.network/tos.