ARC: Risk Parameter Updates 2021-10-21

Simple Summary

A proposal to adjust four (4) total risk parameters across three (3) Aave V2 assets including LTV, Liquidation Threshold, and Liquidation Bonus.


This proposal is a batch update of three risk parameters to align with the the Moderate risk level chosen by the Aave community. These paramater updates are a continuation of Gauntlet’s regular parameter recommendations, the latest being AIP-42: Risk Parameter Updates 2021-10-14.


This set of parameter updates seeks to maintain the overall risk tolerance of the protocol while making risk trade-offs between specific assets. For more detail on Gauntlet’s first two months of recommendations and their impact, please see our Monthly Risk Report.


No significant changes in volatility or liquidity were observed in most assets. However, we would note that the collateral usage of ZRX on Aave almost doubled, so that is an asset that we are monitoring during the upcoming period.

Parameter Current Value Recommended Value
ENJ Liquidation Threshold 65% 70%
DPI Loan To Value 55% 65%
DPI Liquidation Bonus 10.0% 8.5%
ZRX Loan To Value 65% 60%

See below volatility and exchange volume data from 10/14 to 10/21 that were important drivers for the updated parameter recommendations.

Symbol 10-21 Volatility 10-14 Volatility Volatility Change Weekly Average Daily Volume Change (%)
DPI 0.924661802 1.07082198 -0.146160178 96.2012726
ENJ 1.099162375 1.165823176 -0.518381803 40.9981913
ZRX 1.067526026 1.230865683 -0.163339657 -34.0377076

Risk Dashboard

The community should use Gauntlet’s Risk Dashboard to better understand the updated parameter suggestions and general market risk in Aave V2.

Next Steps

  • Initiate a Snapshot immediately since the community has already weighed in on changes of this nature recently.
  • Targeting an AIP on 2021-10-25
1 Like

Hi @inkyamze
These look like sensible changes to me with an appropriate move in VAR without a visible impact on Borrow usage. I think we should go ahead and accept the recommendation
I love how the report has turned out by the way. Really clear and useful. I’m glad we are receiving it
Is there anyway I could see the borrow usage forecast with a bit more precision (like a number or two after the decimal point) please? Maybe there is meant to be a link where the report says “More details on the computation of this metric can be found here” and this has the higher precision?


Thank you for your feedback, @JeremyKeating . We agree that it would be helpful to show more precision in borrow usage and have adjusted our Dashboard accordingly. For your reference, the day this ARC was posted, the borrow usage was 47.20% both before and after Gauntlet recommendations.

In addition, we have updated the Dashboard with the link with more details on the computation of borrow usage. It can be found here.


Does the team have a publicly available Dashboard for Aave Polygon as well?

Hoping to submit a proposal soon to lift the Max LTV and Liquidation Threshold for MATIC on Aave Polygon and would like to abide by the current procedures!

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Gauntlet’s engagement is currently only scoped for Aave V2 but we look forward to expanding support for Aave Polygon risk parameters and dashboard in the not distant future.

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Thank you for the information! Much appreciated.


Implementation details for the forthcoming AIP:

“DPI”: {
“symbol”: “DPI”,
“address”: “0x1494ca1f11d487c2bbe4543e90080aeba4ba3c2b”,
“ltv”: “6500”,
“liquidationBonus”: “10850”
“ENJ”: {
“symbol”: “ENJ”,
“address”: “0xf629cbd94d3791c9250152bd8dfbdf380e2a3b9c”,
“liquidationThreshold”: “7000"
“ZRX”: {
“symbol”: “ZRX”,
“address”: “0xe41d2489571d322189246dafa5ebde1f4699f498”,
“ltv”: “6000”

1 Like