Simple Summary
Gauntlet recommends the following updates to risk parameters for RLP on Euler Arbitrum Yield:
Max LTV & LLTV
Gauntlet recommends reducing Borrow LTV and LLTV by 1.5% for all vaults where RLP is a collateral.
| Vault | Borrow LTV | LLTV |
|---|---|---|
| USDC | 86%→ 84.5% | 88%→ 86.5% |
| USD₮0 | 86%→ 84.5% | 88%→ 86.5% |
| USDS | 85%→83.5% | 87%→85.5% |
| sUSDS | 85%→83.5% | 87%→85.5% |
| sUSDC | 85%→83.5% | 87%→85.5% |
| USDe | 83%→81.5% | 85%→83.5% |
Supply Cap
Gauntlet also recommends a 25% reduction in the supply cap to prevent any additional exposure.
| Vault | Supply Cap |
|---|---|
| RLP | 7,500,000→5,625,000 |
Rationale
Gauntlet observes that a substantial number of supplied positions in RLP are at relatively low health factors(as seen below).
| Health Factor | Borrow Balance (in $) |
|---|---|
| 1.038 | 4,446,885 |
| 1.045 | 332,510 |
| 1.045 | 1,038,591 |
| 1.057 | 1,447,398 |
| 1.100 | 21,978 |
| 1.120 | 414,846 |
| 1.172 | 11,369 |
| 14.134 | 1,114 |
To derisk RLP, we recommend 1.5% reductions in Max LTVs and LLTVs across the board. Note that the lowest health factor in the vault is currently 1.038 so these changes should NOT incur any liquidations due to the 1.5% reduction in LLTV. We also recommend a 25% cut to the supply cap to reduce overall exposure.
Next Steps
- We welcome community feedback.