[Gauntlet] - tBTC Recommendations
Summary
We recommend onboarding tBTC as collateral on Moonwell’s Core lending markets on Base.
tBTC
Risk Parameter Recommendations
| Parameters | Values |
|---|---|
| CF | 81% |
| Supply Cap | 45 |
| Borrow Cap | 18 |
| Protocol Seize Share | 30% |
IR Recommendations
| IR Parameters | Recommended |
|---|---|
| Base | 0 |
| Kink | 0.35 |
| Multiplier | 0.07 |
| Jump Multiplier | 2.00 |
| Reserve Factor | 0.1 |
Supporting Data
Volatility & Max DD
The maximum and minimum daily log returns for tBTC are 0.51% and -0.6% respectively over the past 180 days. The annualized 30D log volatility stands at 1.47% indicating high parity with its underlying. Given this we recommend aligning tBTC’s initial CF to that of cbBTC, however, we will continue to monitor the distribution of borrow assets against tBTC to further fine-tune this parameter.
Supply and Borrow Caps
Borrow and supply caps are the primary parameter recommendations we can make to mitigate protocol risk when listing new assets. Gauntlet recommends setting the borrow and supply caps strategically with available liquidity on-chain. On Base, there is sufficient liquidity to trade upto 45 tBTC tokens with a slippage of 15% signaling decent liquidity to warrant further cap increases based on prevailing demand and sticky DEX TVL. We recommend setting the borrow cap at 18 tBTC to adjust for kink level.
IR Parameter Specifications
tBTC IR Curves
| Utilization | Borrow APR | Supply APR |
|---|---|---|
| 0% | 0 | 0 |
| 35% | 2.45% | 0.77% |
| 100% | 131.5% | 118.4% |
We recommend an IR curve with a kink at 35% and borrow APR of 2.45% at kink.