Summary
This proposal updates the liq_discount and loan_discount in the WETH-Mint LLAMMA market.
| Borrowing Discounts | Current Params | Proposed Params |
|---|---|---|
| Loan Discount | 9% | 14.29% |
| Liquidation Discount | 6% | 9.21% |
Abstract
The updated values are derived from Curve’s LlammaSimulator Framework (four-year ETH/USDT price series from Binance, 1-day horizon, 150k Monte-Carlo samples). Current parameters underestimate tail losses relative to the observed profile.
The execution of this vote will not make immediate changes to existing borrower positions. Individual positions only adopt the new parameters when the borrower interacts with their position by repaying/borrowing debt, add/withdraw collateral, etc.
Rationale
- Aligns WETH-Mint with Curve’s ES-based methodology used across other LLAMMA markets.
- Reduces insolvency probability under 99%–99.75% tail scenarios.
- Uses the same experimental configuration as recent governance-approved parameter updates.
Methodology
The simulation uses:
- Data:
archive/ethusdt.json(4 year ETH/USDT price history from Binance) - Parameters:
- A=100
- fee=0.006
- range=4
- Texp=600s
- Sampling: 150,000 paths
- Loan duration: fixed 1 day
- ES thresholds:
- 99.00% → liquidation buffer
- 99.75% → loan buffer
- Outputs: ES-based loss estimates for both thresholds
Results
=== One-shot check ===
Data=archive/ethusdt.json
A=100, N=4, fee=0.006, Texp=600s, samples=150000, window=1.0–1.0 d, add_reverse=False
[email protected]% (tail 0.0100) → loss=0.0921
Required discount (orange, @ES_liq) = 1-(1-loss)*bc = 0.1101
Margin uplift (pp) = [email protected]% - [email protected]% = 5.08 pp
→ Proposed liquidation_discount (blue@A) = 0.0921
→ Proposed loan_discount (blue@A + margin) = 0.1429
— Current vs Proposed —
liquidation_discount: current=0.0600 → proposed=0.0921
loan_discount: current=0.9000 → proposed=0.1429
These values represent the model-implied losses under the respective ES tails.
User Impact Assessment of Updating liq_discount
We fetch all current user positions from the Curve Prices API, reconstruct their effective collateral ratios using on-chain-consistent formulas, and recompute health under the new liq_discount. Soft-liquidation rules are respected, health is evaluated in true decimals, and only today’s snapshots are used. Dust positions below $10 are excluded.
For the WETH-Mint controller (Ethereum), increasing liq_discount from 0.06 → 0.0921 resulted in:
- 261 active users with a current snapshot (2025-11-20)
- 1 user already in shortfall before changes
- 0 users newly falling into shortfall after applying the updated parameter
Note: This assessment assumes the current observed state of the market (positions, oracle uplift, debt, collateral, prices). If market conditions shift - especially collateral valuations or soft-liquidation transitions - the impact may differ. We advise, therefore, borrowers with low health to exercise caution and encourage adding collateral and/or repaying debt.
Specification
Update the WETH-Mint controller on mainnet via the new owner proxy:
PROXY_OWNER = "0xb7400D2EA0f6DC1d7b153aA430B9E572F28afB79"
WETH_CONTROLLER = "0xA920De414eA4Ab66b97dA1bFE9e6EcA7d4219635"
loan_disc = 142900000000000000
liq_disc = 92100000000000000
ACTIONS = [
# Set CRV-long Params
(PROXY_OWNER , "set_borrowing_discounts", WETH_CONTROLLER, loan_disc, liq_disc),
]
No changes to A, fees, or other configuration.