Moonwell Moonbeam Recommendations
Simple Summary
A proposal to adjust 5 total risk parameters, including Collateral Factor across 2 assets and Borrow Cap across 3 assets.
| Parameter | Current Value | Recommended Value |
|---|---|---|
| FRAX Collateral Factor | 59.5 | 59 |
| USDC.wh Borrow Cap | 3,300,000 | 1,900,000 |
| USDC.wh Collateral Factor | 66 | 64 |
| xcDOT Borrow Cap | 918,000 | 850,000 |
| xcUSDT Borrow Cap | 1,400,000 | 1,300,000 |
Rationale:
Our recommendations will maintain the VaR at $0 and will slightly increase LaR by $10k to $326k. The collateral factors for WETH.wh, WGLMR, WBTC.wh, xcUSDT, and xcDOT effectively balance risk with capital efficiency.
FRAX and USDC.wh can be de-risked with relatively small impact in capital efficiency, so we recommend decreasing their collateral factors to reduce insolvency risk. As of now, the recommended decrease in collateral factors should have no liquidation impact to current users.
We recommend to decrease xcDOT, USDC.wh, and xcDOT borrow caps based on the overall on-chain liquidity withdrawal from the Moonbeam ecosystem and lower liquidity depth on Stellaswap DEX.
USDC.wh On-chain Total Circulating Supply
xcDOT and xcUSDT On-chain Total Circulating Supply
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 | 57% | 881 | 22 | $35,926 | 31 |
| USDC.wh | 170% | 1,937,685 | 240,000 | $240,000 | 700,000 |
| WBTC.wh | 69% | 158 | 1.5 | $39,992 | 2.3 |
| xcUSDT | 107% | 1,304,354 | 230,000 | $230,000 | 580,000 |
| xcDOT | 83% | 1,112,460 | 8,500 | $34,510 | 11,000 |
| FRAX | 99% | 5,319,872 | 240,000 | $240,000 | 580,000 |
| WGLMR* | 155% | 14,516,371 | 200,000 | $32,000 | 250,000 |
*WGLMR circulating supply doesn’t include non-wrap tokens.
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
Top 10 Borrowers’ Entire Borrows
Utilization Rate of Assets - Timeseries
Link to chart
Borrow Cap Utilization
FRAX is hovering around 90%. With the borrow amounts representing #%+ of circulating supply of tokens on the Moonbeam ecosystem and the decrease in DEX liquidity conditions, Gauntlet will not recommend increasing the caps.
Moonbeam 2% Market Depth for non-Stables
Cumulative Returns by Asset
Risk Dashboard
The community should use Gauntlet’s Artemis Risk Dashboard to better understand the updated parameter suggestions and general market risk in Artemis.
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.
Moonwell Moonriver Recommendations (2023-09-18)
Simple Summary
A proposal to adjust 2 collateral factor risk parameters across 2 assets:
| Parameter | Current Value | Recommended Value |
|---|---|---|
| FRAX’s Collateral Factor | 58 | 57 |
| xcKSM’s Collateral Factor | 60 | 59 |
Rationale:
VaR is $0 our recommendations will leave it unchanged. LaR is unchanged at $38k.
FRAX and xcKSM can be de-risked with relatively small impact in capital efficiency, so Gauntlet recommends decreasing their collateral factors to reduce insolvency risk. As of now, the recommended decrease of collateral factors should have no liquidation impact on xcKSM positions and should only impact 3 collateralized FRAX positions with less than $100 of total supply balances.
Impacted Liquidation Accounts
| Address | Supply Balance USD | Borrow Balance USD |
|---|---|---|
| 0x7de33c85713f88c9906e9f78c1568a9cf9c028a6 | $0.61 | $0.35 |
| 0x351b5b3f3bacb7bbe9448dcdb5eca89fdfb0851e | $1.28 | $0.74 |
| 0xd1bf5f87c7f04f93e46521988940b5aea30eb7aa | $95.38 | $55.22 |
Collateral Usage and Collateralization Ratios
Collateral Usage is ~$400k for all 3 collateral assets. WAVG Collateralization Ratio is 280% which provides a significant buffer in the event market downturn.
Moonriver On-chain Liquidity
In shaping our recommendations via our risk models, we consistently monitor market liquidity and concentration risks pertaining to the Moonriver protocol. We aim to provide the community with pivotal liquidity metrics for Moonriver assets. Following the Multichain incident, liquidity on the Solarbeam DEX has diminished to levels that are less than optimal.
| 10% Liquidity Depth (#) | 10% Liquidity Depth ($) | 25% Liquidity Depth | 25% Liquidity Depth ($) | |
|---|---|---|---|---|
| WMOVR | 500 | $1,960 | 1500 | $5,880 |
| xcKCM | 300 | $5,778 | 100 | $1,926 |
| FRAX | 2000 | $2,000 | 6000 | $6,000 |
Liquidations on Apollo Protocol
Over the past week, four successful liquidations have occurred within the protocol, indicating an active presence of liquidators in the Moonriver ecosystem, ready to address undercollateralized positions.
| address | Liquidation Amount | Transaction |
|---|---|---|
| 0x76ad20ad6ee3f9996659938c1a45a23e1dfcab7a | $818.96 | 0xa9c29d1152cd0e82ab6b0c7194d14aad98afefc259b369f0d0102ad61812758b |
| 0x01171a9450c5cffd5f851e2c3cb16b819034ed71 | $782.77 | 0x6600bd460aecb851da95f8b827fdaa935512ee87276bc1e6633a8013b7ebfaa9 |
| 0x96074782d9bc4dd53b6bf5e9dcb3f7ff6c4497ff | $1,058.78 | 0x441436bbc0add3957341648f9bc5a5c2fdb42b7fee56bde2fddc2f888463a78d |
| 0xf34e845538cc8a498edd97d7cde16fdfef3d4d99 | $640.46 | 0xd5d78feb4fad3c963f5aa7a7232d9e3db7e892c6f4d95268fa9d746f5481523a |
Link to chart
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
Top 10 Borrowers’ Entire Borrows
First borrower 7767b985 and 8764175b represents the bad debt accounts. We will continue to monitor account 3f5cbb57 with a $81k non-recursive debt position.
Utilization Rate of Assets - Timeseries
Link to chart
Borrow Cap Utilization
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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