This report builds upon Gauntlet’s Market Downturn Risk Review to keep the community informed of market risks pertaining to Aave. Over the past 3 months, Gauntlet has executed 4 sets of recommendations and has implemented twenty-six (26) parameter suggestions across thirteen (13) assets as part of our Dynamic Risk Parameters engagement.
|Parameter||Prior Value||Current Value|
|CRV Loan To Value||45%||55%|
|CRV Liquidation Threshold||60%||65%|
|FEI Loan To Value***||0%||65%|
|FEI Liquidation Threshold***||0%||75%|
|FEI Liquidation Bonus||0%||6.5%|
|LINK Liquidation Bonus**||7.5%||6.3%|
|LINK Liquidation Threshold||75%||78%|
|MKR Liquidation Bonus||8.0%||7.5%|
|SNX Loan To Value||40%||45%|
|SNX Liquidation Threshold||60%||65%|
|xSUSHI Loan To Value||45%||50%|
|xSUSHI Liquidation Threshold||60%||65%|
|UNI Liquidation Bonus||8.0%||7.5%|
|AAVE Loan To Value||60%||62.5%|
|DPI Liquidation Bonus||8.5%||7.5%|
|ENJ Liquidation Bonus||7.5%||6.5%|
|MANA Loan To Value||65%||61.5%|
|DAI Loan To Value||75%||77%|
|USDC Loan To Value||82.5%||85.5%|
|USDC Liquidation Threshold||85%||86%|
|USDC Liquidation Bonus||4%||4.5%|
**Represents parameters where Gauntlet has changed parameters several times.
Gauntlet’s parameter updates align with the Moderate risk level that the Community has collectively voted for.
In addition to managing market risk for Aave, Gauntlet has also invested in creating educational resources to help the Aave community and the broader DeFi community better understand market risk. Gauntlet has recently published the following educational documentation and advises that the community review these resources:
- Gauntlet Announces Collaboration with Moody’s on Risk Management in DeFi
- Gauntlet Parameter Recommendation Methodology
- Gauntlet Model Methodology
- Deep Dive on Value at Risk
Gauntlet has launched the Aave Risk Dashboard and has invested in improvements to its infrastructure to enable daily updates. The community should use the dashboard linked above to understand better the updated parameter suggestions and general market risk in Aave. Gauntlet is keen on continuously bettering its dashboards and has been conducting user studies with members of this community and others to inform future iterations.
Supply changes of key collateral assets from 01/01/2022 to 03/31/2022
Borrow changes of key collateral assets from 01/01/2022 to 03/31/2022
Price changes of key collateral assets from 01/01/2022 to 03/31/2022
Liquidations breakdown by collateral from 01/01/2022 to 03/31/2022
Liquidations breakdown by account from 01/01/2022 to 03/31/2022
Top 10 liquidations breakdown by account from 01/01/2022 to 03/31/2022
New insolvent accounts from 01/01/2022 to 03/31/2022
Note that the only insolvencies are from negligible dust accounts, the largest of which has $1,975 supplied and the largest insolvent amount of $3,043.
Time series of collateral-specific volatility from 01/01/2022 to 03/31/2022
Using the 28-day trailing data and the Garman Klass volatility estimator, which utilizes both daily high H_i and low L_i prices, as well as daily opening O_i and closing C_i prices, the annualized volatility for each asset can be calculated as follows:
If you are unfamiliar with the concept of volatility, please reference this writeup from Gauntlet.
Time series of collateral-specific protocol collateralization ratios from 01/01/2022 to 03/31/2022
The average collateralization ratio for an asset is a valuable indicator of how risky suppliers behave.
Time series of liquidation volume from 01/01/2022 to 03/31/2022