Summary
This proposal is to list a Convex cbBTC/wBTC leveraged vault on Mainnet. This vault will enable users to borrow wBTC and deploy it into the cbBTC/wBTC Curve pool to earn swap fees, CRV incentives, and CVX incentives. This strategy provides opportunities to maximize yield on wBTC through providing liquidity to the Curve pool and staking on Convex.
On-Chain Liquidity
cbBTC has sufficient onchain liquidity across Curve and Balancer to support a meaningful amount of exposure. Across Curve and Uniswap, cbBTC maintains approximately 33.8% liquidity (~$26M at current prices) from non-cbBTC assets, offering good support to cbBTC peg stability.
| Protocol | Pool | Chain | cbBTC liquidity | Non-cbBTC liquidity | % non-cbBTC liquidity |
|---|---|---|---|---|---|
| Curve | cbBTC/wBTC | Mainnet | 115 | 221 | 65.8% |
| Uniswap | cbBTC/wBTC | Mainnet | 373 | 28 | 7.1% |
| Total | 488 | 249 | 33.8% |
Additionally, cbBTC is traded in several pools on Base, albeit in smaller size.
Oracle
The vault will use Chainlink’s cbBTC/USD oracle for pricing. This oracle provides a relatively loose price feed with a 2% divergence threshold. This will call for a significantly wider oraclePriceDeviationLimitPercent, and generally conservative risk parameters.
- Provider: Chainlink
- Address: 0x2665701293fCbEB223D11A08D826563EDcCE423A
- Price pair: cbBTC/USD
- Divergence threshold: 2%
Redemption
cbBTC is redeemable for native BTC via Coinbase with zero fees. This redemption mechanism involves significant counterparty risk and presents the same risk as cbETH. From a market risk standpoint, free and instant redemptions mean that there should be relatively low depeg risk. As this asset will only be held as collateral vs. a wBTC debt, this makes it very safe from a market risk point of view.
Vault Parameters
| Parameter | Proposed Value |
|---|---|
| LiquidationRate | 1.03 (3%) |
| MinCollateralRatioBPS | 0.14 |
| MaxDeleverageCollateralRatioBPS | 0.27 |
| MaxRequiredAccountCollateralRatioBPS | 1.00 |
| Maximum Vault Capacity | 25 wBTC |
| Minimum Borrow Size | 0.5 wBTC |
| feeRate5BPS | 10 (50 Bps) |
| ReserveFeeShare | 80% |
Strategy Parameters
| Parameter | Proposed Value |
|---|---|
| maxPoolShare | 25% |
| oraclePriceDeviationLimitPercent | 2.5% |
Conclusion
The Convex cbBTC/wBTC leveraged vault offers a compelling opportunity for Notional users to earn yield on their wBTC positions. With robust on-chain liquidity, reliable pricing through Chainlink, this vault is a low-risk, high-yield strategy for wBTC holders looking to maximize their returns through leverage.