Simple Summary
If the community wishes to initialize sUSDe as collateral on the Mainnet USDS Comet, Gauntlet recommends the following risk parameters, assuming a composed exchange rate oracle to price the collateral.
| Collateral | Supply Cap | Collateral Factor | Liquidation Factor | Liquidation Penalty |
|---|---|---|---|---|
| sUSDe | 50,000,000 | 93% | 95% | 4% |
Analysis
DEX Liquidity (selected pools)
| Pool Type | Pool Name | Pool TVL (USD) | 24H Volume (USD) | URL |
|---|---|---|---|---|
| Curve | sDAI / sUSDe | $41.73M | $15.36M | Link |
| Curve | DOLA / sUSDe | $18.91M | $1.32M | Link |
| Uniswap V3 | sUSDe / USDT 0.05% | $8.77M | $26.55M | Link |
| Curve | scrvUSD / sUSDe | $5.26M | $614K | Link |
| Curve | crvUSD / sUSDe | $2.02M | $415K | Link |
| Curve | USD3 / sUSDe | $0.99M | $0 | Link |
| Balancer | sUSDe / USDC / sUSDe/USDC 0.2% | $0.79M | $36.5K | Link |
Total TVL: $78.47M
DEX Slippage
Swapping about 13M sUSDe for USDS begins to incur ~3% slippage.
Total Supply
We see that USDe supply has more than doubled since the start of October 2024. The proportion staked to sUSDe has also increased from about 45% to 75% over the same period. The present total supply of sUSDe is about 3.85B with a market value of about $4.36B.
Supply Cap and Liquidation Penalty
We recommend a supply cap of 50M initially. An exchange rate oracle for pricing would likely consist of an sUSDe/USDe internal rate composed with a USDe/USD rate. If the USDe/USD rate is market, then a USDe depeg event due to factors like algorithmic stablecoin undercollateralization, prolonged negative short perpetuals funding rate, and mass redemption can lead to liquidation. If the USDe/USD rate is not market, then a market USDe depeg can result in deposits of sUSDe to take advantage of the comet mispricing and lead to eventual bad debt as excess USDS is borrowed.
If we set the supply cap to 50M, in the case of a market USDe/USD rate, if we assume a tail-risk depeg that instantaneously leads to 25% of collateral positions being liquidated, then slippage analysis above shows the DEX price impact would be roughly under 3%. Accounting for the store front price factor and reasonable buffer to entice liquidation, we recommend a liquidation penalty of 4%. Outside of DEX swaps, liquidators would be largely left to redemptions of sUSDe for USDe, which have a 7-day lockup period and are subject to further downward USDe price risk.
Collateral Factor (CF) and Liquidation Factor (LF)
sUSDe/USDe Volatility and Returns
USDe/USDT Volatility and Returns
USDS Price History
USDe/USDS Volatility and Returns
Given volatile price history of USDS around $1, the USDe/USDS rate carries the most risk, though it has been reasonably stable over the past month. Based on the provided metrics and the proposed liquidation penalty, Gauntlet recommends setting a collateral factor (CF) of 93%, with a liquidation factor (LF) of 95% for the USDS comet. These choices aim to balance capital efficiency with risk mitigation.
Next Steps
- We welcome community feedback