We provide more color to the options presented in the snapshot here. Based on the current loan-book, our simulations show that a 30% drop in WETH price as seen on June 10-13 2022 would yield ~$900k bad debt for 90% Uopt, ~$500k for 85% Uopt, $0k bad debt for 80% Uopt due to lack of liquidation capacity.
At the point in which 80% Uopt starts accumulating bad debt (-37% market drop), 85% Uopt has accrued ~$2.4m bad debt and 90% Uopt has accrued ~$3m bad debt.
In order to adopt a more conservative outlook, the above assumes no WETH repayment. The borrow rate at 100% utilization is ~84%. In times of extreme volatility, it is unclear how quickly WETH repayment would occur.
From a revenue perspective, relative to 80% Uopt, 90% Uopt may facilitate an additional $55m, which equates to ~$290k additional revenue per year. 85% Uopt may facilitate an additional ~$145k per year.