[Chainrisk] - RON Comet Recommendations on Ronin
Collateral Asset Selection
Proposed Market Details
Base Asset: RON
“Note :- All data referenced in this draft has been sourced from records dated January 29, 2025.”
Collateral Assets under Consideration:
- USDC
- WETH
- AXS
- WBTC
- PIXEL
On-Chain Supply and Market Cap Analysis:
RON is the native token of the Ronin Chain. Other collateral assets are bridged to the Ronin chain primarily from Ethereum and Base, using Chainlink CCIP and the Ronin Bridge. These bridged assets represent the total token supply available within the Ronin Chain ecosystem. Approximately $825M in assets are bridged from the Ethereum chain.
Data Source: https://dune.com/hashed_official/ronin-bridge
| Token | Price(in USD) | Market Cap (in USD) |
|---|---|---|
| RON | $1.5 | $914.67M |
| WETH | $3,150 | $98M |
| AXS | $5.12 | $569M |
| PIXEL | $0.1 | $61M |
| USDC | $1 | $31M |
| WBTC | $102,300 | $514K |
Past Bridged Value:
Liquidity Analysis:
DEX Liquidity Analysis:
Our DEX liquidity analysis focuses on various trading pairs within Katana DEX (which is currently the only DEX in Ronin Chain), particularly on Collateral/RON pair liquidity.
| Token | DEX Liquidity TVL |
|---|---|
| RON | $55.4M |
| WETH | $31.52M |
| USDC | $10.06M |
| AXS | 10.5M |
| PIXEL | $515K |
| WBTC | $185K |
Historical DEX Liquidity:
Token Breakdown:
USDC / RON Pair:
| Pool | TVL | Volume(24 Hour) | Volume(7 days) |
|---|---|---|---|
| USDC - RON V2 | $17.32M | $1.53M | $9.84M |
| USDC - RON V3 | $1.24M | $300.02K | $2.27M |
| USDC - RON V3 | $76.9K | $4.13K | $42.35K |
AXS / RON Pair:
| Pool | TVL | Volume(24 Hour) | Volume(7 days) |
|---|---|---|---|
| AXS - RON V2 | $19.17M | $510.55K | $2.98M |
| AXS - RON V3 | $146.77K | $35.48K | $232.43K |
| AXS - RON V3 | $29.88K | $479.96 | $3.42K |
WETH / RON Pair:
| Pool | TVL | Volume(24 Hour) | Volume(7 days) |
|---|---|---|---|
| WETH - RON V2 | $54.73M | $675.08K | $6.99M |
| WETH - RON V3 | $1.58M | $179.33K | $1.67M |
| WETH - RON V3 | $5.56K | $40.67 | $479.99 |
WBTC / RON Pair:
| Pool | TVL | Volume(24 Hour) | Volume(7 days) |
|---|---|---|---|
| WBTC - RON V2 | $362.61K | $8.45K | $102.69K |
PIXEL / RON Pair:
| Pool | TVL | Volume(24 Hour) | Volume(7 days) |
|---|---|---|---|
| PIXEL - RON V3 | $19.49K | $4.44K | $27.73K |
| PIXEL - RON V2 | $962.79K | $88.16K | $711.10K |
Volatility Analysis:
“The volatility analysis presented below is an annualized analysis specifically focused on RON (Collateral/RON).”
-
WETH
Percentile Close (%) Low (%) 30th -15.35% -15.23% 35th -10.59% -8.39% 40th -7.02% -4.97% For WETH, the 30th percentile shows substantial declines, with -15.35% for Close and -15.23% for Low. Moving to the 35th percentile, the losses moderate to -10.59% for Close and -8.39% for Low. At the 40th percentile, both Close and Low values reflect even smaller declines, reaching -7.02% and -4.97%, respectively. The percentile point is used to understand the probability of the scenario that we might expect the volatility of the asset to overshoot the obtained volatility at that percentile point. This gives us an idea the chance that the price may experience a drop higher than this obtained value. Thus for WETH**,** we can expect that there is a 0.6 probability that the volatility will be within -4.97%.
-
USDC
Percentile Close (%) Low (%) 30th -40.63% -31.27% 35th -27.72% -20.27% 40th -16.57% -15.82% For USDC, the 30th percentile indicates notable declines of -40.63% for Close and -31.27% for Low. At the 35th percentile, the losses decrease to -27.72% for Close and -20.27% for Low. By the 40th percentile, the declines continue to reduce to -16.57% for Close and -15.82% for Low. The percentile point is used to understand the probability of the scenario that we might expect the volatility of the asset to overshoot the obtained volatility at that percentile point. This gives us an idea the chance that the price may experience a drop higher than this obtained value. Thus for USDC, we can tell with 0.6 probability that price drop will be within -15.82%.
-
AXS
Percentile Close (%) Low (%) 30th -18.52% -13.35% 35th -13.35% -8.60% 40th -8.18% -4.49% For AXS, the 30th percentile indicates significant potential losses, with -15.82% for Close and -13.35% for Low. By the 35th percentile, losses decrease to -13.35% for Close and -8.60% for Low. At the 40th percentile, the declines reduce further to -8.18% for Close and -4.49% for Low. The percentile point is used to understand the probability of the scenario that we might expect the volatility of the asset to overshoot the obtained volatility at that percentile point. This gives us an idea the chance that the price may experience a drop higher than this obtained value. Thus for AXS, we can tell with 0.7 probability that price drop will be within -13.35%.
-
PIXEL
Percentile Close (%) Low (%) 30th -38.66% -33.90% 35th -30.53% -24.85% 40th -23.75% -16.89% For PIXEL, the 30th percentile shows steep declines, with -38.66% for Close and -33.90% for Low, indicating significant volatility. By the 35th percentile, the losses shrink to -30.53% for Close and -24.85% for Low. At the 40th percentile, the risk reduces further to -23.75% for Close and -16.89% for Low. The percentile point is used to understand the probability of the scenario that we might expect the volatility of the asset to overshoot the obtained volatility at that percentile point. This gives us an idea the chance that the price may experience a drop higher than this obtained value. Thus for PIXEL, we can tell with 0.6 probability that price drop will be within -16.89%.
-
WBTC
Percentile Close (%) Low (%) 30th -15.52% -13.10% 35th -7.53% -7.38% 40th -3.18% -4.03% For WBTC, the 30th percentile shows relatively smaller declines, with -15.52% for Close and -13.10% for Low. At the 35th percentile, the losses further reduce to -7.53% for Close and -7.38% for Low. Interestingly, at the 40th percentile, the Close value at -3.18%, indicating a potential for slight gains, while the Low value remains negative at -4.03%. The percentile point is used to understand the probability of the scenario that we might expect the volatility of the asset to overshoot the obtained volatility at that percentile point. This gives us an idea the chance that the price may experience a drop higher than this obtained value. Thus for WBTC, we can tell with 0.7 probability that price drop will be within -13.10%.
Conclusion:
We recommend initially listing USDC, WETH and AXS as collateral assets, in the RON Market. Given the historical volatility associated with collateral assets, we advise implementing conservative parameters for initial listing of these assets.
We do not recommend adding PIXEL and WBTC at this time due to their insufficient on-chain DEX liquidity, which could lead to significant slippage during swaps. However, WBTC may be considered for future inclusion if additional tokens are bridged and liquidity in the DEX improves.
Recommended Market and Asset for Listing:
| Market | Collateral Assets |
|---|---|
| RON | WETH, USDC, AXS |
Risk Parameter Recommendation
Abstract
This post details the preliminary parameter recommendation for the new proposed RON market for the Ronin comet. Chainrisk supports the listing of AXS, WETH, and USDC in this upcoming market, and we present the listing parameter recommendations for the above assets. First, we present an overview of the recommended parameter values and then further deep dive into the market.
| Asset | Collateral Factor (%) | Liquidation Factor (%) | Liquidation Penalty (%) | Supply Cap |
|---|---|---|---|---|
| AXS | 55 | 60 | 20 | 350,000 |
| WETH | 50 | 55 | 15 | 1350 |
| USDC | 56 | 60 | 15 | 1,500,000 |
Detailed Analysis
Volatility Analysis:
The price movement of any asset is one of the best indicators of its market conditions. To understand the market conditions for deciding on the parameter recommendations, it is necessary to analyze the historical price of the assets. We start our analysis with the price graph for each of our suggested collateral assets.
Now, using the above historical price data, we analyze the difference in the log prices of each of the assets, which can give us an idea about the volatility of the asset during the past time period. The graph below shows us the change in the log prices of the collateral assets (AXS, USDC, and WETH) at each of the time points.
The above graph shows that the log returns of WETH and USDC are more volatile than those of AXS when all three are expressed in RON. It can be seen that the highest drop in price observed is around -0.11 and -0.08 for WETH and USDC, respectively, while the highest drop for WETH is also around -0.08. Also, it is to be observed that there are multiple drops near -0.10 for both WETH and USDC, while most of the price drops for AXS are near -0.05.
| Asset | Annualized Log Returns (35th Percentile) (in %) | Minimum Price Change Log |
|---|---|---|
| USDC | -25.64 | -0.0701 |
| WETH | -31.16 | -0.0917 |
| AXS | -17.04 | -0.0711 |
Log returns and volatility are fundamental concepts in financial analysis, particularly in understanding asset price movements and risk. Log returns measure the continuously compounded return of an asset, calculated as the natural logarithm of the ratio of consecutive prices. This approach offers advantages over simple returns, including time-additivity and symmetry for positive and negative price changes, making it more suitable for statistical analysis. The percentile analysis helps us to focus more on the scenarios of price drop, which might lead to liquidation of the position.
DEX Liquidity Analysis:
Our DEX liquidity analysis focuses on various trading pairs within Katana DEX (which is currently the only DEX in Ronin Chain), particularly on Collateral/RON Pair liquidity.
For the analysis we haven’t considered any liquidity pool with less than $1k TVL.
| WRON | $55.4M |
|---|---|
| WETH | $31.52M |
| AXS | $10.5M |
| USDC | $10.06M |
USDC / RON Pair:
| Pool | TVL | Volume(24 Hour) | Volume(7 days) |
|---|---|---|---|
| USDC - RON V2 | $17.32M | $1.53M | $9.84M |
| USDC - RON V3 | $1.24M | $300.02K | $2.27M |
| USDC - RON V3 | $76.9K | $4.13K | $42.35K |
AXS / RON Pair:
| Pool | TVL | Volume(24 Hour) | Volume(7 days) |
|---|---|---|---|
| AXS - RON V2 | $19.17M | $510.55K | $2.98M |
| AXS - RON V3 | $146.77K | $35.48K | $232.43K |
| AXS - RON V3 | $29.88K | $479.96 | $3.42K |
WETH / RON Pair:
| Pool | TVL | Volume(24 Hour) | Volume(7 days) |
|---|---|---|---|
| WETH - RON V2 | $54.73M | $675.08K | $6.99M |
| WETH - RON V3 | $1.58M | $179.33K | $1.67M |
| WETH - RON V3 | $5.56K | $40.67 | $479.99 |
Slippage Analysis:
In each of the above scenarios, we observe that the current slippage corresponding to each of the collateral assets in the DEX is significantly lower than the set Liquidation Penalty (LP). This helps us to avoid any extreme scenario of a rise in slippage. Chainrisk recommends a supply cap and LP, as the table below reports.
| Asset | Liquidation Penalty (%) | Supply Cap |
|---|---|---|
| AXS | 20 | 350,000 |
| WETH | 15 | 1350 |
| USDC | 15 | 1,500,000 |
AXS:
Trading 350000 AXS (approx. $1.9M) for RON incurs a slippage of around ~-14%.
WETH:
Trading 1350 WETH (approx. $4.4M) for RON incurs a slippage of around ~-10.5%.
USDC:
Trading $1,500,000 USDC (approx. $1.5M) for RON incurs a slippage of around ~-10.4%.
Store Front Price Factor: 70%
The Storefront Price Factor determines the fraction of the liquidation penalty that is allocated to buyers of collateral. The 70% factor is deemed appropriate as it provides a meaningful discount to encourage Liquidation participation while safeguarding the protocol against excessive risk.
Reserve Parameter:-
Target Reserve - 6M RON ($9M)
Target Reserve represents the target amount of reserves of the base token. Target reserves help to determine if the protocol has enough “margin of safety” to not sell absorbed collateral.
Seed Reserve - 30,000 RON ($45K)
Seed reserves are deposited during market creation to mitigate potential bad debt risks. To safeguard against malicious market creation, these reserves should remain locked until the market is deprecated.
IR Curve:
Chainrisk recommends the parameters as given below for the RON Market for increased utilization and value addition.
| Parameter | Recommended Value |
|---|---|
| Annual Borrow Interest Rate Base | 0.01 |
| Annual Borrow Interest Rate Slope Low | 0.054 |
| Borrow Kink | 0.7 |
| Annual Borrow Interest Rate Slope High | 1.125 |
| Annual Supply Interest Rate Base | 0 |
| Annual Supply Interest Rate Slope Low | 0.06 |
| Supply Kink | 0.7 |
| Annual Supply Interest Rate Slope High | 1 |
Incentive Parameters:
Daily COMP Supply Rewards - 0
Daily COMP Borrow Rewards - 1
At Kink Level:
- Borrow APR: 4.78%
- Supply APR: 4.2%
Given the current COMP price of ~$70 (Dated 31st Jan 2025),
- COMP Borrow Rewards: 0.64%
- COMP Supply Rewards: 0%
This results in the below Net APRs:
Net Borrow APY: 4.14%
Net Supply APY: 4.2%
APR at Different Level of Utilisations:
| Utilisation (%) | Net Supply APR (%) | Net Borrow APR (%) |
|---|---|---|
| 10 | 0.6 | 0.9 |
| 20 | 1.2 | 1.44 |
| 30 | 1.8 | 1.98 |
| 40 | 2.4 | 2.52 |
| 50 | 3 | 3.06 |
| 60 | 3.6 | 3.6 |
| 70 | 4.2 | 4.14 |
| 80 | 14.2 | 15.39 |
| 90 | 24.2 | 26.64 |
| 100 | 34.2 | 37.89 |
Analysis of Borrowing Power and Supply Utilisation
As per recent post by RONIN team, there will be two market deployments - RON and WETH market.
Assuming full usage of supply caps and borrowing usage of assets based on recommended collateral factors,
On RON market:
- Total Borrowing Power : $4M
- Base Asset Supply Volume at Optimal Utilisation ( 70% ): $5.7M
On WETH market:
- Total Borrowing Power : $3.7M
- Base Asset Supply Volume at Optimal Utilisation ( 90% ): $4.1M
Based on the analysis of the borrowing power and optimal supply utilization, we recommend an initial seeding of:
- RON Market: $6M
- ETH Market: $4M
Regards
Team Chainrisk