Simple Summary
If the community chooses to initialize USDe as collateral on the Mainnet USDC & USDT Comets, Gauntlet recommends the following risk parameters.
| Comet | Collateral | Supply Cap | Collateral Factor | Liquidation Factor | Liquidation Penalty |
|---|---|---|---|---|---|
| Mainnet USDC | USDe | 30,000,000 | 89% | 94% | 4% |
| Mainnet USDT | USDe | 30,000,000 | 89% | 94% | 4% |
Analysis
DEX Liquidity
| Pool Type | Pool Name | Pool URL | TVL ($) | 24H Volume ($) |
|---|---|---|---|---|
| Fluid | USDe / USDT | Link | 46.67M | 14.73M |
| Uniswap | USDe / USDT 0.005% | Link | 15.01M | 30.54M |
| Uniswap | USDe / USDT 0.001% | Link | 2.58M | 2.68M |
| Uniswap | USDe / USDC 0.01% | Link | 2.04M | 657K |
| Curve | USDe / USDC | Link | 1.23M | 313.25K |
Note: The list above is not exhaustive, it is a summary of the largest sources of DEX liquidity at the time of review.
DEX Slippage
USDC
USDT
As seen above, a 30M cap of USDe can be swapped to USDC or USDT with less than 1% slippage.
We also note that the cumulative cap can be swapped if needed, as seen below.
Collateral Factor (CF), Liquidation Factor (LF), and Liquidation Penalty(LP)
Given the above slippage analysis, we recommend a 4% LP, which is typical for correlated assets.
USDe/USDC Volatility and Returns
USDe/USDT Volatility and Returns
As expected, typical volatility is quite low; however, we must also consider moves under a depeg event. Assuming a maximum inter-block price drop of 2% and using the standard 5% buffer between LF and CF, we recommend setting the following risk parameters on both comets to balance capital efficiency with risk mitigation:
Next Steps
- We welcome community feedback.