Protocol Parameters

All of the below parameters can be updated using governance which initially would default to team multisig. These updates are timelocked to ensure time for market participants to react accordingly.

Risk-On Vault

AAVE Settings

1. Target Health Factor: Health factor to be targeted on AAVE on rebalance (Default: 1.5)

Fee Settings

1. Fee Bps: Fraction of ETH rewards and esGMX rewards that goes to protocol. (18.5%)
2. Fee Recipient: Address of the fee receipient

Rebalance Settings

1. Rebalance Time Threshold: Time threshold between two rebalances (48 hours)
2. Rebalance Health Factor Threshold: Threshold on AAVE health factor (1.2)
3. Rebalance Delta Threshold: Threshold on BTC and ETH optimal and current hedge amounts (5%)
4. Rebalance Profit Threshold: Threshold on rebalance between AAVE USDC supply and GMX glp (2%)

Slippage Settings

1. Slippage Threshold GMX: Slippage threshold on token to GLP conversion and vice versa (0.3%)
2. Slippage Threshold Swap BTC: Slippage threshold for BTC to USDC swaps and vice versa (0.40%)
3. Slippage Threshold Swap ETH: Slippage threshold for ETH to USDC swaps and vice versa (0.20%)

Hedge Settings

1. Hedge USDC Threshold: Threshold on notional value of BTC/ETH swaps, below which hedge is not taken ($10)
2. Partial BTC Hedge USDC Threshold: Maximum threshold on notional value BTC Hedge, above which a partial hedge is done over multiple rebalances ($100K)
3. Partial ETH Hedge USDC Threshold: Maximum threshold on notional value BTC Hedge, above which a partial hedge is done over multiple rebalances ($150K)
4. WETH Conversion Threshold: Minimum required weth rewards to compound ($10)
5. USDC Conversion Threshold: Minimum required usdc amount to convert into sGLP ($10)

Fee Split Strategy

1. Optimal Utilization: Utilization at which the fee split ratio is optimal split (80%)
2. Base Rate: Share of eth rewards that will go to Risk-Off vault at 0% utilization (6%)
3. Slope1: Amount by which eth rewards will go up as utilization of Risk-Off vault goes from 0% to optimal utilization (7.5%)
4. Slope2 = Amount by which eth rewards will go up as utilization of Risk-Off vault goes from optimal utilization to 100% utilization (50%)

Other Settings

1. Deposit Cap: Maximum amount of assets that can be deposited to the vault
2. Keeper Address: Address of the permissioned keeper responsible for rebalancing

Risk-Off Vault

1. Deposit Cap: Maximum amount of assets that can be deposited to the vault
2. Borrow Cap: Cap on the amount that can be borrowed by Risk-On Vault
3. Max Utilization: Max utilization that is allowed to reach on a withdraw

Hedge Strategy

1. Trader OI Hedge BPS: Percentage of trader OI to hedge (60%)
2. Trader OI Thresholds for Rebalancing : If the deviation between the current trader OI hedge amount and the optimal OI hedge amount exceeds 5% and persists for more than 2 hours, a rebalance will be executed.
   1. Trader OI Delta Trigger : 5%
   2. Trader OI Time Trigger : 2hrs

Batching Manager

1. Deposit Cap: Maximum amount of assets that can be deposited to the batching manager
   1. GLP Batching Manager
   2. USDC Batching Manager
2. Minimum Usdc Conversion Amount: Minimum amount of usdc to be deposited ($1)