Summary
Anthias Labs supports initializing a deSPXA market in Moonwell’s Core markets on Base, but does not recommend meaningful supply or borrow caps at this time due to insufficient DEX liquidity. We recommend launching the market with effectively zeroed-out supply and borrow caps. This allows the market to be deployed in advance while preserving the ability to raise caps quickly via Cap Guardian once sufficient, sticky on-chain DEX liquidity has been established.
In this post, we share our analysis and risk parameter recommendations.
Volatility
The Anemoy S&P 500 Index Fund (SPXA) tracks the S&P 500, which has historically been far less volatile than crypto assets such as BTC and ETH. Since its inception in 1990, the VIX, which measures the S&P 500’s 30-day annualized volatility, has never exceeded 90%, peaking at roughly 89% during the 2008 financial crisis and 85% during the 2020 COVID shock.
This suggests that SPXA’s underlying index exposure carries materially lower price volatility than most crypto-native collateral assets. Based on price volatility alone, deSPXA could potentially support a relatively high LTV given the stability of the underlying exposure under normal market conditions. However, price behavior is not the only factor when setting collateral factors. DEX liquidity is also critical, and deSPXA currently lacks sufficient on-chain liquidity to support high collateral factors safely.
Liquidity
DEX liquidity for deSPXA remains thin. On Aerodrome, where liquidity is concentrated, a 700 deSPXA swap, worth roughly $500K, would currently incur more than 25% slippage when swapped into USDC. Total liquidity on Aerodrome is also below $800K. Under the Asset Listing Framework, an asset should support a $500K swap with less than 25% slippage and maintain more than $2M in TVL. Based on current conditions, deSPXA does not meet these liquidity thresholds.
Oracle
We recommend using the deSPXA oracle provided by Chronicle Labs:
Oracle address: 0x97165Ad36D96567a521958cc46914160B968752b
This oracle is already used in production on Morpho in an isolated deSPXA/USDC market, which currently has supply from Steakhouse.
This oracle differs from the typical pricing approach used for more liquid on-chain assets. Standard oracles, such as Chainlink feeds, generally aggregate prices across multiple venues where an asset actively trades, including CEXs and DEXs. Because deSPXA is sparsely traded on-chain, a traditional market-price-based oracle would be more vulnerable to manipulation and less suitable for lending purposes.
Chronicle Labs has instead developed a custom pricing solution for deSPXA. The oracle uses the latest official daily S&P price as the base reference, then applies the intraday price delta derived from the Hyperliquid S&P 500 perpetual market, deployed by xyz, to produce a continuously updated proxy price for deSPXA.
The pricing logic is as follows:
- Centrifuge submits an official daily S&P reference price.
- That daily S&P price becomes the base reference.
- The Hyperliquid S&P 500 perpetual market is used to measure the intraday price delta since the daily reference point.
- The oracle adds the Hyperliquid-derived price delta to the daily S&P price.
- The resulting value is used as the continuously updated proxy price for deSPXA.
In simplified terms:
deSPXA Proxy Price = Daily S&P Price + Price Delta Derived from Hyperliquid
The oracle updates every 30 minutes and includes a circuit breaker. Specifically, price movements are capped at 2.5% between updates, meaning any move beyond that threshold breaks the circuit. In addition, the underlying Hyperliquid perpetual market clamps mark price updates to 50 bps every 3 seconds, a constraint inherited by the oracle.
These controls make the oracle difficult to manipulate over short time horizons. For example, assuming a 70% collateral factor, an attacker would need to dislocate the oracle price by roughly 30% to overcome the collateral buffer. With a maximum 2.5% price movement every 30 minutes, this would require maintaining a manipulated price for more than six hours. In practice, the cost and complexity of sustaining such an attack would likely be prohibitively high.
Risk Parameters
Given the S&P’s low historical volatility, we believe a 70% collateral factor is conservative from a price-risk perspective. However, because current DEX liquidity is low, we recommend using effectively zero, but non-zero, supply and borrow caps until on-chain liquidity improves. (At the contract level, cap of zero = infinity).
| Parameter | Recommended Value |
|---|---|
| Collateral Factor | 70% |
| Reserve Factor | 20% |
| Supply Cap | 1 wei |
| Borrow Cap | 1 wei |
IR Parameters
| Parameter | Recommended Value |
|---|---|
| Base | 0 |
| Multiplier | 0.0615 |
| Kink | 45% |
| Jump Multiplier | 2 |
Projected APYs
With reserve factor of 20%
| Utilization | Borrow APY | Supply APY |
|---|---|---|
| 0% | 0% | 0% |
| 45% (kink) | 2.77% | 0.99% |
| 100% | 112.77% | 90.21% |
Next Steps
We support initializing a deSPXA market with effectively zeroed-out supply and borrow caps. These caps can then be raised quickly via Cap Guardian once DEX liquidity reaches suitable thresholds.