Gauntlet Monthly Updates

January 2023

Summary

Sharing a recap of Gauntlet’s market risk management work with Aave in January 2023. See below for this past month’s work summary and a preview of what’s coming up in February.

Category Work Completed Commmentary
Quantitative Research Interest rate curve framework for the Aave protocol

Published Borrow and Supply cap methodology for Aave V3
Over the last several months, Gauntlet has conducted quantitative research on optimizing interest rate curves and setting borrow/supply caps
Recommendations 2 sets of Aave V2 ETH Recommendations

Avalanche and Optimism Recommendations

Optimism Cap Additions
Daily risk simulations and stress tests
Risk Modeling Risk Analyses on Shanghai Upgrade

cbETH Listing Analysis on V3 ETH

rETH Listing Analysis on V3 ETH

Analysis on Llama CRV Interest Rate Upgrades

wstETH Listing Analysis on V3 OP

jEUR Incident Analysis

Risk modeling to provide insight into the risk/reward tradeoffs of Aave initiatives
Risk Monitoring and Alerting GUSD Utilization

Whale Liquidation

Position Near Liquidation
Gauntlet’s risk monitoring platform alerts the community of risk updates
Other IR Curve Corrections on wETH IR Curves

Community Bug Bounty
Community and contributor support



Highlights

  • Aligned with risk-related service providers and stakeholders on key priorities for the quarter. Setup recurring syncs and shared processes with Chaos and Llama to collaborate more closely on risk-related initiatives, including recommendations on asset listings
  • After conducting quantitative research on interest rate curves, provide framework to the Aave community for optimizing interest rate curves. Published recommendations that were approved by the community on-chain
  • Updated incident response process - completed setup for internal alerts, escalation, investigation, and monitoring processes
  • After conducting quantitative research, published our borrow and supply cap methodology for Aave V3
  • Conducted market risk analysis in preparation for Shanghai update

Upcoming Selected Work

  • Launching updated Risk Simulation Dashboard
  • Publishing Gauntlet holistic risk parameter methodology - guiding principles, overall methodology, etc
  • Aligning with stakeholders on communication channels for sensitive market alerts
  • Launching v3 Polygon integration into our risk simulation platform

We are happy to answer any questions or hear any feedback - please feel free to comment below.

7 Likes

February 2023

Summary

Sharing a recap of Gauntlet’s market risk management work with Aave in February 2023. See below for this past month’s work summary and a preview of what’s coming up in March.

Category Work Completed Commmentary
Quantitative Research Gauntlet risk dashboard launch for V3 ETH, V3 Polygon, and V3 Arbitrum

Interest Rate Curve research for all Aave V3 Markets
After months of simulation battle-testing and integration, we have launched risk dashboards for V3 ETH, V3 Polygon, and V3 Arbitrum

Over the last several months, Gauntlet has conducted quantitative research on optimizing interest rate curves and setting borrow/supply caps
Recommendations 2 sets of Aave V2 ETH Recommendations

Avalanche and Optimism borrow cap recommendations, following Snapshot Vote

2 sets of Aave V3 OP and V3 Avalanche Recommendations

Polygon V3 Recommendations
Daily risk simulations and stress tests
Risk Modeling Update on Shanghai Upgrade Market Risk implications to Aave

CRV Interest Rate Curve Analysis

stMatic Supply Cap Update

wMatic Supply Cap Analysis

cbETH Supply Cap Analysis

Detailed Analysis on sfrxETH Asset Listing

WAVAX Interest Rate Curve Analysis

CRV Asset Listing on V3 ETH Analysis

Recommendation on BUSD

MaticX V3 Polygon Risk Analysis

LUSD Asset Listing on V3 ETH Analysis

USDT Listing on V3 ETH Analysis

MAI Borrow Cap Analysis on V3 Polygon
Risk modeling to provide insight into the risk/reward tradeoffs of Aave initiatives
Risk Monitoring and Alerting Supply concentration alerts

Whale Supply Position

Position Near Liquidation

Position Liquidation

WETH Borrow Position

BAL Supply Cap Usage

Borrow and Supply Cap Usage on V3 Polygon and V3 Arbitrum
Gauntlet’s risk monitoring platform alerts the community of risk updates



Highlights

  • After months of simulation battle-testing and integration, we have launched risk dashboards for V3 ETH, V3 Polygon, and V3 Arbitrum
  • After conducting quantitative research on interest rate curves, extended methodology to cover Aave V3 markets
  • After conducting quantitative research, the community has aligned on a risk preference for borrow and supply caps for V3 markets.
  • Conducted continued market risk analysis in preparation for Shanghai update

Upcoming Selected Work

  • V2 of Risk Simulation Dashboard roll-out
  • Aave V3 Migration Analysis
  • Continued support of community initiatives and market alerts

We are happy to answer any questions or hear any feedback - feel free to comment below.

4 Likes

Great Job!

Gauntlet has been providing immense value to Aave, and we are excited to see how this value scales to other Aave Initiatives, such as GHO and its accompanying operational aspects.

2 Likes

@Pauljlei hello.

i am not sure we need updates on the forum // why do we keep on posting these?

it leads to bloat, which my mother suffered from.

@Kene_StableLab is your comment productive, or a mere appetite for desirability?

this sort of “update” was made famous by a team desperate for attention.

why purge our home?

we know you’re whereabouts // it is an issue when we don’t.

to my beloved Aave DAO. speak with your actions, not your words.

carefully, watching.

1 Like

March 2023

Summary

Sharing a recap of Gauntlet’s market risk management work with Aave in March 2023. See below for this past month’s work summary and a preview of what’s coming up in April.

Category Work Completed Commmentary
Quantitative Research Gauntlet E-Mode methodology for Aave V3

Gauntlet Isolation Mode methodology for Aave V3

Initial analysis on GHO launch parameters
Published methodology and community votes to help define the protocol’s approach for E-Mode and Isolation Mode

Support GHO launch with initial analysis and recommendations
Recommendations Risk recommendations to recalibrate all Aave markets following changed market conditions after the USDC volatility

LSD cap updates on V3 ETH

V3 Arbitrum updates

Daily risk simulations and stress tests
Risk Modeling USDC volatility firefighting, including risk modeling, risk recommendation triggers, continuous monitoring, and post-mortem analysis

Implement interest rate curve optimizations covering all V3 markets

Freeze markets on Aave V2 AMM market as a result of low liquidity and usage

Provide risk analysis for potential Aave launch on Celo

Aave community plan for V2 → V3 migration

BUSD offloading risk analysis

Provide risk analysis for potential Aave launch on Metis

GMX asset listing on Aave V3 Arbitrum risk analysis

MaticX on Polygon V3 risk analysis

BAL IR curve update analysis

stMatic analysis

cbETH on V3 ETH analysis

GHST on Polygon V3 analysis

agEUR on Aave V3 risk analysis

Firefighting during unique market stress events. Risk modeling to provide insight into the risk/reward tradeoffs of Aave initiatives
Risk Monitoring and Alerting Launched Aave market alerts Telegram Channel, open to the public, for alert updates from Gauntlet’s monitoring platform

BTC.b supply

MaticX and stMatic cap updates

Position Liquidation on Aave V2

Position near liquidation

stETH liquidation

EURS utilization

SUSHI cap usage

stMatic cap usage

Arbitrum V3 liquidation

wstETH cap usage

wAVAX cap usage
Gauntlet’s risk monitoring platform alerts the community of risk updates



Highlights

  • Firefighting when USDC lost its equivalence to the dollar. Provided risk modeling to inform risk mitigation recommendations and price triggers while communicating closely with Aave Guardian and community. Provided post-mortem analysis to the Aave community.
  • After conducting research on Aave V3 dynamics, published V3 E-Mode and V3 Isolation Mode methodology, with weeks of community discussion for protocol alignment.
  • Provided risk analysis for GHO launch.
  • Implemented interest rate curve optimizations covering all Aave V3 markets. This follows Gauntlet’s interest rate curve changes for Aave V2.
  • Continuous market alerts from Gauntlet’s risk monitoring platform

Upcoming Selected Work

  • Implement E-Mode recommendations per the community’s preference
  • Provide risk analysis on Aave’s cross-chain launches
  • Continued support of community initiatives and market alerts

We are happy to answer any questions or hear any feedback - feel free to comment below.

2 Likes

April 2023

Summary

Sharing a recap of Gauntlet’s market risk management work with Aave in April 2023. See below for this past month’s work summary and a preview of what’s coming up.

Category Work Completed Commmentary
Quantitative Research Updated Value at Risk (VaR) Methodology from Gauntlet

Additional research and recommendations on GHO launch parameters

Aligned with community on Aave V3 Stablecoin E-mode methodology

Conducted research and provide methodology for Aave V3 LST E-Mode methodology

Implement Aave Isolation Mode recommendations following Gauntlet’s methodology
Published updated, improved Value at Risk methodology after months of research and development

Provided methodology for LST E-Mode and Stablecoin E-Mode

Continuous support for GHO launch with additional analysis and recommendations
Recommendations Freeze G-UNI DAI/USDC and G-UNI USDC/USDT in Aave V2 AMM Market

Deprecate Aave V2 AMM Market

Aave V2 Interest Rate Curve Recommendations

Implement V3 AVAX and V3 ETH parameter changes following changed market conditions after USDC non-parity

V3 Polygon and V3 Arbitrum parameter updates

EURS Cap Update

Implement V3 Arbitrum updates

V3 Interest Rate Curve recommendations

Implement wstETH on V3 Arbitrum updates

Daily risk simulations and stress tests
Risk Modeling Risk analysis and recommendations for Aave launch on BNB

Risk analysis and recommendations for Aave launch on zkSync Era

Add support for wstETH on Polygon V3

stMatic Supply Cap on Polygon V3

MaticX Supply Cap on Polygon V3

Safety Module

wMatic Supply Cap

BAL Borrow Cap

Enable USDT as collateral on V3 AVAX

Discussion to initiate ETH Correlated E-Mode on Optimism

Firefighting during unique market stress events. Risk modeling to provide insight into the risk/reward tradeoffs of Aave initiatives
Risk Monitoring and Alerting Continuous Aave market updates in Telegram Channel, open to the public, for alerts from Gauntlet’s monitoring platform

Gauntlet’s risk monitoring platform alerts the community of risk updates
Feature Upgrades Launched Aave Avalanche V2 on Gauntlet’s Risk Dashboard Gauntlet continuously upgrades its product offering



Highlights

  • After months of research and development, published Updated Value at Risk (VaR). The new methodology is more consistent, reliable, and explainable.
  • Published LST E-mode methodology and aligned with the community on methodology for Stablecoin E-mode.
  • Additional analysis for GHO initial parameterization and path to scale.
  • To derisk the protocol, froze assets on Aave V2 AMM market, and aligned with the community to deprecate the market, given the risk/reward tradeoffs.
  • Provided analysis and recommendations for Aave’s launch on BNB and zkSync Era. Gauntlet will continue to support Aave’s deployments across chains.
  • Launched Aave V2 Risk Dashboard. At this point, Gauntlet has launched risk dashboards for all (undeprecated) Aave markets, other than Metis that just recently launched.

Upcoming Selected Work

  • Implement Stablecoin E-Mode recommendations on-chain
  • Deprecate V2 AMM market via on-chain proposal
  • Implement V2 and V3 Interest Rate Curve changes
  • Provide risk analysis on Aave’s cross-chain launches
  • Continued support of community initiatives and market alerts

We are happy to answer any questions or hear any feedback - feel free to comment below.

1 Like