Explanation:

Risk Free Rate

• The simple average of Compound V1 and Aave V2 USDC lending rate.

Mainstream Rate

• Convex 3CRV, Convex FRAX-USDC (FRAXBP), DAI DSR, and Convex crvUSD-USDC, rates are TVL-weighted average
• Coupled with Risk Free USDC lending pools, Mainstream pools have the least risk in DeFi and allow users to invest more than $10m without material impact on the yield.

Benchmark

• Pools with more than $5m TVL and reasonably safe.
• Benchmark is our core research focus. First, this allows users to invest a portfolio of $1m, allocated in several pools, and achieve the Benchmark yield with risks reasonably diversified.
• Second and more importantly, users can compare the risk exposures of a protocol/pool/portfolio with the Benchmark pools, to assess if the yield is reasonable. We use this methodology in our protocol analysis published as Premium Papers in our Substack. We believe that the DeFi sector is a near efficient market and risk and returns are correlated.
• For each pool, we make arbitrary adjustments to its yield, based on our subject risk assessment. See below Risk Adjustment.

Exotic Strategies

• Pools with more than $1m TVL, or it’s new, or it has a complex design, or its design feature includes risk of principal loss.
• Similarly, this allows a user to diversify a portfolio of a few hundred thousand dollars into several pools and achieve higher yield, whilst taking higher risks. In our Premium Papers, we also provide discussions about these pools, although we might not be able to give a long-term yield projection.
• For each pool, we make arbitrary adjustments to its yield, based on our subject risk assessment. See below Risk Adjustment.

Delta Neutral

• Pools that have about half stablecoin and half non-stablecoin. We hedge the non-stablecoin portion and compute the net yield, after factoring into account the hedging cost (gain), impermanent loss, capital used.
• For example, Uniswap V2 ETH-USDC pool is typical in this category. Similarly, GMX’s GLP fits in as well, although the risk is higher.
• We see this section is a supplement to the above passive strategies under Benchmark and Exotic sections, as they need to be monitored and manually maintained.

Funding Rates

• Binance coin-margined futures for large caps.
• A typical strategy here is buy coin X, deposit into Binance coin-margined futures and short the same amount to harvest the funding rates (the Compounded APY here).

Risk Adjustment

The assessment of risk is subject and anyone can modify these parameters based on his own opinions.

Other Notes

• For more degen and smaller protocol/pools, we will selectively highlight them in the Substack weekly.
• We will not discuss week to week changes, but we will review major events over the week.
• If you are interested in understanding or verifying any information or calculation here, please contact us directly by @serenityfund in Twitter and describe your questions. We try to make the Q&A process public, so that more users could benefit from it.

Thank you all for the support and sincerely hope to see you in our https://serenityresearch.substack.com/ Substack. All the best and may fortune be upon you.

Best,

Kane

Head of Research, Serenity Team

8 Aug 2023

Note: this is NOT a portfolio. This is an average yield calculation of each risk category, to be used as a benchmark for assessing the risk-return of an investment or a portfolio. Yields derived from mining reward tokens are based on the prices of tokens on 31 July. Yields that are cumulative, e.g. Uniswap and Binance funding rates, and are actual yields over last week, compounded weekly to derive the APY.)

Quick analysis on 31 July:

Due to the Curve hack, some of the DeFi basic protocols are affected and this week’s rates might not be a good reference point.

• Curve is hacked for some of its ETH pools as well as its CRV-ETH pool. The root cause is vyperlang, one of the Ethereum programming languages, has errors.
• As a result, there’s currently little liquidity of CRV on Ethereum. Users who use CRV as collaterals to borrow assets are causing some fear. In the event of a massive CRV price fall, vaults will be liquidated and cause cascading effects. Amongst the CRV lenders, Curve founder Michael Egorov has massive borrowings in Aava V2, Abracadabra and Fraxlend.

Risk Free Rate: No Update (last week, 2.86%)

• As Aave is affected, its lending rate is not a good reference point. Liquidity in Aave V2 shrank about $50 or more.

Mainstream Rate (Curve1.5x/Convex): 4.0% (last week, 3.1%)

• The rate increase was due to trading in the market after knowing the Curve hack.

Benchmark Rate (Other Stablecoin Platforms): 7.0% (last week, 7.7%）

• Bella is still doing good whilst other protocols generally saw yields coming down slightly.

Exotic Strategies (non-Ethereum or quasi stablecoin strategies): 3% to 19% (last week, 4% to 20%）

• Velodrome has topped this week, with a rising VELO price and increased TVL/trading volume in the platform.

Delta Neutral Liquidity Providing (Uniswap V2 and GMX):

• GLP’s estimated yield dipped again to 3.9% APR this week (earnings before adjustment for impermant loss, hedging cost and traders’ PnL, 5 days estimate of the current week), in line with its historical trading fee yield range. Gains gDAI (Arbitrum) is at 6.4%.
• Uniswap fees remained low as market was quiet.

Funding Rate (Binance Coin-Margined):

• Funding rates were all positive except for DOT and were very low. BNB turned positive, however, as the criticism of Binance on Twitter has subdued recently.

Business Update:

• We have made a SubStack for premium content, mostly our strategy papers for more complex investments. This is a paid service at $49 per month (free for research clients). You can subscribe to the Free version to get a summary of each strategy paper. However, to support our work, we hope you could subscribe to it for the full article — $49 for four to five papers a month on stablecoin and DeFi strategies. For this, we offer a 70% discount for our Twitter and Medium audience: https://serenityresearch.substack.com/1a082767.

The above summary is a snapshot of what the market looks like over the last week and as of Monday. It is not meant to be a ranking table nor to be exhaustive. There are various other defi protocols and products that can offer different risk and return exposures. Follow our Twitter below to have more timely and detailed information on the DeFi market.

(Serenity Team, 31 July 2023, Twitter: https://twitter.com/SerenityFund )

We provide a weekly update of the platforms we track, based on the strategies discussed in Serenity Fund’s Overview of Stablecoin Investments 2022 and the periodical updates.

Note: this is NOT a portfolio. This is an average yield calculation of each risk category, to be used as a benchmark for assessing the risk-return of an investment or a portfolio. Yields derived from mining reward tokens are based on the prices of tokens on 24 July. Yields that are cumulative, e.g. Uniswap and Binance funding rates, and are actual yields over last week, compounded weekly to derive the APY.)

Quick analysis on 24 July:

Risk Free Rate: 2.86% (last week, 3.01%)

• Risk free rate is down, back to below 3% level. Our long term observation is that the core lending rate of USDC on Ethereum is also a sentiment indicator.

Mainstream Rate (Curve1.5x/Convex): 3.1% (last week, 3.7%)

• Mainstream rate is lower as the prices of CRV and CVX dropped.
• Liquidity in sUSD continued to drop by another 10m, and the peg is firm.

Benchmark Rate (Other Stablecoin Platforms): 7.7% (last week, 9.3%）

• Bella topped this week, as Vesper’s Frax vault had slightly lower yield. Most pools saw yield coming down as market turned a bit down.
• Conic was hacked twice last week, affecting the ETH and crvUSD vaults. We have replaced the Conic crvUSD vault with Yearn’s DAI vault. Yearn DAI vault applies multiple strategies and at this moment, it’s folding DAI to farm in Compound.

Exotic Strategies (non-Ethereum or quasi stablecoin strategies): 4% to 20% (last week, 5% to 20%）

• We are now including Equalizer’s Axelar USDC/USDT vault. The yield is 20% but the TVL is still small. This topped globally this week.
• Mai depegged about 8%, as further bad debt revealed beyond the Multichain incidence (we had an article last week calculating the impact of Multichain hack on Mai). As a result, we have replaced the Mai vault on Quickswap with the Davos DUSD vault. DUSD is a stablecoin on Polygon collateralised by MATIC and liquid staking ETH.
• For Sommelier, we have replaced its stablecoin vault with its Fraximal, a vault that rotates FRAX in different lending pools of Fraxlend, the Frax Finance lending market. It has incentives ending in two weeks.

Delta Neutral Liquidity Providing (Uniswap V2 and GMX):

• GLP’s estimated yield dipped again to 8.3% APR this week (earnings before adjustment for impermant loss, hedging cost and traders’ PnL, 5 days estimate of the current week), in line with its historical trading fee yield range. Over a few weeks period, GLP usually has yield that is about 50% more than the Uniswap V2 ETH-stablecoin yields. Gains gDAI (Arbitrum) is at 3.9%.
• Uniswap fees remained low as market was quiet.

Funding Rate (Binance Coin-Margined):

• Funding rates were all positive except for DOT and were very low. BNB turned positive, however, as the criticism of Binance on Twitter has subdued recently.

Serenity Premium:

• New article on Pendle LP Staking Services, Penpie and Equilibria, and this our third article on Pendle Finance.

Business Update:

• We have made a SubStack for premium content, mostly our strategy papers for more complex investments. This is a paid service at $49 per month (free for research clients). You can subscribe to the Free version to get a summary of each strategy paper. However, to support our work, we hope you could subscribe to it for the full article — $49 for four to five papers a month on stablecoin and DeFi strategies. For this, we offer a 70% discount for our Twitter and Medium audience: https://serenityresearch.substack.com/1a082767.

The above summary is a snapshot of what the market looks like over the last week and as of Monday. It is not meant to be a ranking table nor to be exhaustive. There are various other defi protocols and products that can offer different risk and return exposures. Follow our Twitter below to have more timely and detailed information on the DeFi market.

(Serenity Team, 24 July 2023, Twitter: https://twitter.com/SerenityFund )

Note: this is NOT a portfolio. This is an average yield calculation of each risk category, to be used as a benchmark for assessing the risk-return of an investment or a portfolio. Yields derived from mining reward tokens are based on the prices of tokens on 17 July. Yields that are cumulative, e.g. Uniswap and Binance funding rates, and are actual yields over last week, compounded weekly to derive the APY.)

Quick analysis on 17 July:

Risk Free Rate: 3.01% (last week, 2.99%)

• Risk free rate is up marginally, surpassing 3%. This indicates the market is bullish again and spurs borrowing.
• Multichain announced that it will cease operation, due to the hack and management being uncontactable.

Mainstream Rate (Curve1.5x/Convex): 3.7% (last week, 5.4%)

• Mainstream rate is lower as TUSD and LUSD pools both dropped fairly a bit this week.
• Liquidity in sUSD dropped about 20m; but the pool remains balanced and sUSD pegged.

Benchmark Rate (Other Stablecoin Platforms): 9.3% (last week, 9.1%）

• Vesper’s FRAX Aggressive Vault continued to top this week. Vesper’s Frax vault is an aggregator of other Frax pools like Fraxlend CRV (yield 7%), Convex DOLA-FRAXBP (yield 20%) and EUSD-FRAXBP (yield 8%).
• crvUSD related pools (Curve, Convex pools and Conic) have improved yields this week, as the demand for crvUSD gets stronger. The borrowing rate for crvUSD fluctuates largely between the band of 1% t0 10%.

Exotic Strategies (non-Ethereum or quasi stablecoin strategies): 5% to 20% (last week, 5% to 15%）

• Velodrome had a short squeeze and its price rocketed, causing most of its pools to have a higher APY. Velodrome’s USD+ USDC pool topped globally this week, and there are other more risky pools in Velodrome that offer much higher yield now.
• Mai is still depegged about 2% to 3%, due to the looming Multichain hack (and the incapacity of management). alUSD and a few other tokens are similarly affected to different extent. We had a short thread on this to discuss briefly the depegging rational.
• Fantom has some decent pools using axlUSDC now and we are monitoring this. The yields are higher but risky as well.
• Platypus had a small hack last week but recovered very fast from it, and all users affected compensated.

Delta Neutral Liquidity Providing (Uniswap V2 and GMX):

• GLP’s estimated yield returned to a normal level of 14.4% APR this week (earnings before adjustment for impermant loss, hedging cost and traders’ PnL, 5 days estimate of the current week), in line with its historical trading fee yield range. Gains gDAI (Arbitrum) is at 10.3%.
• Uniswap fees remained low — it’s more due to the tradings are moving gradually to other markets like V3 or L2s.

Funding Rate (Binance Coin-Margined):

• Funding rates were all positive, except for BNB, which is severely negative of more than 50% — this is about an absolute 1% for a week’s funding cost of shorting. There’s a launchpad going on, and traditionally launchpad always increases demand for BNB and also corresponding shorting activities to hedge. However, the magnitude this time was much higher, also double from previous launch pad periods. The market has it that operationally Binance might have some issues. Let’s remain vigilent and curious about the case of BNB.

Serenity Premium:

• New article on Lybra Finance and $eUSD. Lybra Finance is a LSDfi protocol that allows users to collateralise stETH to mint stablecoin eUSD. The protocol retains the stETH yield from these collaterals and splits it amongst the protocol and eUSD borrowers.

Business Update:

• We have made a SubStack for premium content, mostly our strategy papers for more complex investments. This is a paid service at $49 per month (free for research clients). You can subscribe to the Free version to get a summary of each strategy paper. However, to support our work, we hope you could subscribe to it for the full article — $49 for four to five papers a month on stablecoin and DeFi strategies. For this, we offer a 70% discount for our Twitter and Medium audience: https://serenityresearch.substack.com/1a082767.

The above summary is a snapshot of what the market looks like over the last week and as of Monday. It is not meant to be a ranking table nor to be exhaustive. There are various other defi protocols and products that can offer different risk and return exposures. Follow our Twitter below to have more timely and detailed information on the DeFi market.

(Serenity Team, 17 July 2023, Twitter: https://twitter.com/SerenityFund )

Note: this is NOT a portfolio. This is an average yield calculation of each risk category, to be used as a benchmark for assessing the risk-return of an investment or a portfolio. Yields derived from mining reward tokens are based on the prices of tokens on 10 July. Yields that are cumulative, e.g. Uniswap and Binance funding rates, and are actual yields over last week, compounded weekly to derive the APY.)

Quick analysis on 10 July:

Risk Free Rate: 2.99% (last week, 2.96%)

• Risk free rate is up marginally as the market was quiet in general.
• Multichain was hacked last week for over $163m and its bridging services were paused.

Mainstream Rate (Curve1.5x/Convex): 5.4% (last week, 4.7%)

• Mainstream rate is higher due to higher earnings from LUSD and Compound pool, offset by a small decline in the TUSD pool.

Benchmark Rate (Other Stablecoin Platforms): 9.1% (last week, 7.7%）

• Vesper’s FRAX Aggressive Vault topped this week, as the vault rebalances from last week’s positions. Vesper pools FRAX and invests into FRAXLend, and a few aggressive stablecoin-FRAX pools in Convex such as DOLA and eUSD. The yield fluctuates from time to time due to the prices of those aggressive stablecoins.
• We have replaced StakeDAO’s FRAX-USDC pool with USDT lending vault from Paraspace, the lending market for NFTs.

Exotic Strategies (non-Ethereum or quasi stablecoin strategies): 5% to 15% (last week, 5% to 27%）

• Velodrome V2’s migration was almost to an end and the yields are back to normal.
• This week’s top went to the new Mai-USDC pool on Quickswap. Having said this, we would like to remind readers that there’s a small depeg concern on MAI, due to Multichian hack. About 3% of the MAI were minted by collaterals on Fantom, and the hack of Multichain made these assets depreciate greatly. Due to the invisibility of the Multichain hack aftermath, the market has concerns over bad debt in the qiDAO system, and thus Mai is trading at a discount of 2% to 3%.
• Due to the same reason above, we have temporarily removed Fantom from this category.
• For Arbitrum, we have replaced Compound Finance’s USDC pool with Yama Finance’s USDT lending pool, a lending protocol dedicated to GLP leveragers.

Delta Neutral Liquidity Providing (Uniswap V2 and GMX):

• GLP’s estimated yield dropped significantly to 7.5% APR this week (earnings before adjustment for impermant loss, hedging cost and traders’ PnL, 5 days estimate of the current week), in line with its historical trading fee yield range.
• Uniswap fees were low in the middle of a quiet market.

Funding Rate (Binance Coin-Margined):

• Funding rates were all positive, except for BNB, in line with a quiet market. Funding rates were also low compared to 2 weeks ago when ETH was on the rise.

Business Update:

• We have made a SubStack for premium content, mostly our strategy papers for more complex investments. This is a paid service at $49 per month (free for research clients). You can subscribe to the Free version to get a summary of each strategy paper. However, to support our work, we hope you could subscribe to it for the full article — $49 for four to five papers a month on stablecoin and DeFi strategies. For this, we offer a 70% discount for our Twitter and Medium audience: https://serenityresearch.substack.com/1a082767.

The above summary is a snapshot of what the market looks like over the last week and as of Monday. It is not meant to be a ranking table nor to be exhaustive. There are various other defi protocols and products that can offer different risk and return exposures. Follow our Twitter below to have more timely and detailed information on the DeFi market.

(Serenity Team, 10 July 2023, Twitter: https://twitter.com/SerenityFund )

Note: this is NOT a portfolio. This is an average yield calculation of each risk category, to be used as a benchmark for assessing the risk-return of an investment or a portfolio. Yields derived from mining reward tokens are based on the prices of tokens on 3 July. Yields that are cumulative, e.g. Uniswap and Binance funding rates, and are actual yields over last week, compounded weekly to derive the APY.)

Quick analysis on 3 July:

Risk Free Rate: 2.96% (last week, 2.73%)

• Risk free rate continued to climb up as Compound lending rate went up, partially due to COMP price went up over 75% over the course of last week.

Mainstream Rate (Curve1.5x/Convex): 4.7% (last week, 4.4%)

• CRV and CVX continued the rising trend in line with the market rebound, pushing Curve and Convex yields higher. The FUD on TUSD due to Prime Trust’s bankrupcy had caused TUSD to depeg slightly last week and also liquidity to drop.

Benchmark Rate (Other Stablecoin Platforms): 7.7% (last week, 7.6%）

• Conic’s crvUSD pool continued to top this week, as crvUSD continued to expand.
• Bella maintained good yield over the past few weeks consistently. Most protocols saw small increases in yields, in line with the market rally last week.

Exotic Strategies (non-Ethereum or quasi stablecoin strategies): 5% to 27% (last week, 5% to 25%）

• USD+ (by Overnight) pool in Velodrome continued to top this week and globally. Last week, Velodrome launched its V2 and all LPs have to migrate from V1 to V2. This caused a temparory spike in APRs in most Velodrome V2 pools, and there’s still a premium now as the migration is still in progress.

Delta Neutral Liquidity Providing (Uniswap V2 and GMX):

• GLP’s estimated yield dropped slightly to at 13.2% APR this week (earnings before adjustment for impermant loss, hedging cost and traders’ PnL, 5 days estimate of the current week), in line with its historical trading fee yield range. This is only 3% higher than Gains Network’s gDai yield over last week.
• Uniswap V2 ETH-stablecoin trading pairs remained low yield for a long time.

Funding Rate (Binance Coin-Margined):

• Funding rates were all positive, as the market continued to look bullish with ETH almost hitting 2000 again.

Business Update:

• We have made a SubStack for premium content, mostly our strategy papers for more complex investments. This is a paid service at $49 per month (free for research clients). You can subscribe to the Free version to get a summary of each strategy paper. However, to support our work, we hope you could subscribe to it for the full article — $49 for four to five papers a month on stablecoin and DeFi strategies. For this, we offer a 70% discount for our Twitter and Medium audience: https://serenityresearch.substack.com/1a082767.

The above summary is a snapshot of what the market looks like over the last week and as of Monday. It is not meant to be a ranking table nor to be exhaustive. There are various other defi protocols and products that can offer different risk and return exposures. Follow our Twitter below to have more timely and detailed information on the DeFi market.

(Serenity Team, 3 July 2023, Twitter: https://twitter.com/SerenityFund )

Note: this is NOT a portfolio. This is an average yield calculation of each risk category, to be used as a benchmark for assessing the risk-return of an investment or a portfolio. Yields derived from mining reward tokens are based on the prices of tokens on 26 June. Yields that are cumulative, e.g. Uniswap and Binance funding rates, and are actual yields over last week, compounded weekly to derive the APY.)

Quick analysis on 26 June:

Risk Free Rate: 2.73% (last week, 2.65%)

• Risk free rate continued to climb up as the lending rates on Aave was still above 3% and utilisation rate over 80%. Liquidity remained largely unchanged, collectivelly there’s approximately $1 billion USDC in Aave v2 and Compound V2.

Mainstream Rate (Curve1.5x/Convex): 4.4% (last week, 3.7%)

• Last week, the CRV price rebounded suddenly, in light with the news of Blackrock ETF being approved and the market again had confidence in DeFi. UNI and CRV led the rebound over the weekend. Regulated ETF would mean new institutional funds at a much larger scale, which has much anticipated over the last few years.
• On the other hand, some CT influencers had started to watch out the development of crvUSD, the most innovative stablecoin developed by Curve. The mechanism of crvUSD could make the liquidation process into a smooth process and at the same time, generate revenue for the protocol. Riding on the boom of ETH liquid staking, crvUSD is expected to grow exponentially and have impacts in many aspects of DeFi.
• Uniswap is also comtemplating a much more versatile V4 version, which transforms itself into a service provider and buidling on Uniswap easier. There are a lot of big undercurrents going on recently, and these will have a long term impact on the DeFi industry.

Benchmark Rate (Other Stablecoin Platforms): 7.6% (last week, 8.3%）

• Conic’s new crvUSD pool topped this week, as the demand for crvUSD is strong.
• Bella maintained good yield over the past few weeks consistently. Most protocols saw small increases in yields, in line with the market rally last week.

Exotic Strategies (non-Ethereum or quasi stablecoin strategies): 5% to 25% (last week, 3% to 19%）

• USD+ (by Overnight) pool in Velodrome topped this week. We have been monitoring Overnight Finance for a few month and the protocol has demonstrated consistancy in generating yield and resilient to market volatility.
• We have adjusted IPOR’s yield from what’s disclosed as Base Yield to the yield where no staking of platform token $IPOR is required. This reduces the yield by a few percent; this would have an impact on earlier reports from 26 Apr onwards.

Delta Neutral Liquidity Providing (Uniswap V2 and GMX):

• GLP’s estimated yield is back to normal at 15.1% APR this week (earnings before adjustment for impermant loss, hedging cost and traders’ PnL, 5 days estimate of the current week), in line with its historical trading fee yield range.
• Uniswap V2 ETH-Stable pools saw its volume declining and consequently the liquidity dropping. As we are expecting more innovations in DeFi to come, maybe V2 will become history soon.

Funding Rate (Binance Coin-Margined):

• Funding rates were all positive, except for DOT, as the market rallied last week and buy-side demand is back.

Business Update:

• We have made a SubStack for premium content, mostly our strategy papers for more complex investments. This is a paid service at $49 per month (free for research clients). You can subscribe to the Free version to get a summary of each strategy paper. However, to support our work, we hope you could subscribe to it for the full article — $49 for four to five papers a month on stablecoin and DeFi strategies. For this, we offer a 70% discount for our Twitter and Medium audience: https://serenityresearch.substack.com/1a082767.

The above summary is a snapshot of what the market looks like over the last week and as of Monday. It is not meant to be a ranking table nor to be exhaustive. There are various other defi protocols and products that can offer different risk and return exposures. Follow our Twitter below to have more timely and detailed information on the DeFi market.

(Serenity Team, 26 June 2023, Twitter: https://twitter.com/SerenityFund )

Note: this is NOT a portfolio. This is an average yield calculation of each risk category, to be used as a benchmark for assessing the risk-return of an investment or a portfolio. Yields derived from mining reward tokens are based on the prices of tokens on 19 June. Yields that are cumulative, e.g. Uniswap and Binance funding rates, and are actual yields over last week, compounded weekly to derive the APY.)

Quick analysis on 19 June:

Risk Free Rate: 2.65% (last week, 2.34%)

• Risk free rate bounced back as the lending rates on Aave went up, probably due to concern on USDT. At the time of writing, Aave V2’s USDC utilisation is over 80%, second time crossing the 80% line in a week’s time. Liquidity increased marginally.

Mainstream Rate (Curve1.5x/Convex): 3.7% (last week, 4.1%)

• The mainstream yield decreased slightly and TUSD restored to its peg, but its Curve pool saw 30% less liquidity. In a bearish market, any fear or concern has a prolonged impact on the price or liquidity.

Benchmark Rate (Other Stablecoin Platforms): 8.3% (last week, 7.7%）

• Convex’s Ironbank pool topped this week, due to the unusual trading volume in USDT last week and as it’s a small pool, some transactions routed through this pool and generated good fees for the LPs.
• Conic’s new crvUSD pool has good yield as week, despite declining from last week’s peak. It seems to us the Conic pools are not very differentiated at this moment in terms of risks of the underlying stablecoins, as they are all relatively safe, so we expect crvUSD pool’s earnings to come down to a level close to other pools.

Exotic Strategies (non-Ethereum or quasi stablecoin strategies): 3% to 19% (last week, 4% to 20%）

• Ipor’s Dai pool continued to top this week, with a strong IPOR price.
• The yields on EVM chain continued to decline, in line with the general market correction. At this moment, yields are not only low, but new projects are scarce as well. A long winter might be.

Delta Neutral Liquidity Providing (Uniswap V2 and GMX):

• GLP’s estimated yield bounced back significantly to 43.5% APR this week (earnings before adjustment for impermant loss, hedging cost and traders’ PnL, 5 days estimate of the current week), probably due to the USDT FUD induced trading volume.
• Uniswap V2 ETH-Stable pools had very low trading volume last week, contrary to market volatility.

Funding Rate (Binance Coin-Margined):

• Funding rates were all positive, except for BNB, indicating the the market has mixed views for the outlook going forward.

Business Update:

• We have made a SubStack for premium content, mostly our strategy papers for more complex investments. This is a paid service at $49 per month (free for research clients). You can subscribe to the Free version to get a summary of each strategy paper. However, to support our work, we hope you could subscribe to it for the full article — $49 for four to five papers a month on stablecoin and DeFi strategies. For this, we offer a 70% discount for our Twitter and Medium audience: https://serenityresearch.substack.com/1a082767.

The above summary is a snapshot of what the market looks like over the last week and as of Monday. It is not meant to be a ranking table nor to be exhaustive. There are various other defi protocols and products that can offer different risk and return exposures. Follow our Twitter below to have more timely and detailed information on the DeFi market.

(Serenity Team, 19 June 2023, Twitter: https://twitter.com/SerenityFund )

Note: this is NOT a portfolio. This is an average yield calculation of each risk category, to be used as a benchmark for assessing the risk-return of an investment or a portfolio. Yields derived from mining reward tokens are based on the prices of tokens on 12 June. Yields that are cumulative, e.g. Uniswap and Binance funding rates, and are actual yields over last week, compounded weekly to derive the APY.)

Quick analysis on 12 June:

Risk Free Rate: 2.34% (last week, 2.63%)

• Risk free rate declined in line with the market correction happening over the weekend. Liquidity dropped slightly as well.

Mainstream Rate (Curve1.5x/Convex): 4.1% (last week, 3.8%)

• The mainstream yield increased, but this was mainly due to the abnormal trading volume in the TUSD pool. Trusttoken has stopped one of its banking lines and caused some panic selling.

Benchmark Rate (Other Stablecoin Platforms): 7.7% (last week, 8.1%）

• Conic’s new crvUSD pool topped this category, as it’s new and the TVL is yet small.
• Most other pools saw yields dropping, as the market correction cause most rewards tokens to drop 10% to 20%, bringing down the yields altogether.

Exotic Strategies (non-Ethereum or quasi stablecoin strategies): 4% to 20% (last week, 5% to 17%）

• Ipor’s Dai pool continued to top this week.
• The yields on EVM chain continued to decline, in line with the general market correction.

Delta Neutral Liquidity Providing (Uniswap V2 and GMX):

• GLP’s estimated yield declined again to 11.5% APR this week (earnings before adjustment for impermant loss, hedging cost and traders’ PnL, 5 days estimate of the current week), a big came back from last two weeks’ 6% range.
• There was no Uniswap update this week, as its subgraph is out of sync again.

Funding Rate (Binance Coin-Margined):

• Funding rates were all positive, except for DOT, but remained single digit. Market correct had cause some fear and the sentiment turned into more shorting.

Business Update:

• We have made a SubStack for premium content, mostly our strategy papers for more complex investments. This is a paid service at $49 per month (free for research clients). You can subscribe to the Free version to get a summary of each strategy paper. However, to support our work, we hope you could subscribe to it for the full article — $49 for four to five papers a month on stablecoin and DeFi strategies. For this, we offer a 70% discount for our Twitter and Medium audience: https://serenityresearch.substack.com/1a082767.

The above summary is a snapshot of what the market looks like over the last week and as of Monday. It is not meant to be a ranking table nor to be exhaustive. There are various other defi protocols and products that can offer different risk and return exposures. Follow our Twitter below to have more timely and detailed information on the DeFi market.

(Serenity Team, 12 June 2023, Twitter: https://twitter.com/SerenityFund )

Note: this is NOT a portfolio. This is an average yield calculation of each risk category, to be used as a benchmark for assessing the risk-return of an investment or a portfolio. Yields derived from mining reward tokens are based on the prices of tokens on 5 June. Yields that are cumulative, e.g. Uniswap and Binance funding rates, and are actual yields over last week, compounded weekly to derive the APY.)

Quick analysis on 5 June:

Risk Free Rate: 2.63% (last week, 2.55%)

• Risk free rate inched up marginally and liquidity remained unchanged for both Aave and Compound.

Mainstream Rate (Curve1.5x/Convex): 3.8% (last week, 3.5%)

• The mainstream yield increased, due to surge in Compound pool’s yield, as the pool’s liquidity on Convex dropped from $10m to $7m.

Benchmark Rate (Other Stablecoin Platforms): 8.1% (last week, 7.5%）

• Belle’s USDT pool topped this category, as its TVL dropped and pushed reward yields higher.
• Conic’s DAI pool and Pendle’s Stargate USDT pool followed closely.
• This week’s yield improved was largely due to the shrinking TVL of pools, pushing reward APY higher cross board. This is probably due to more funds flowing into EVMs like Arbitrum. The general investment sentiment was still weak.

Exotic Strategies (non-Ethereum or quasi stablecoin strategies):5% to 17% (last week, 4% to 16%）

• Ipor’s Dai pool came back to top this week, as IPOR price rebounded last week.
• The yields on EVM chain continued to decline, as trading volumes are shrinking and few innovative protocols are launched.

Delta Neutral Liquidity Providing (Uniswap V2 and GMX):

• The yields for Uniswap V2 half-ETH, half-stablecoin pairs are single-digit. We have been tracking these pairs for more than 2 years. It seems that in a bearish market, the raw yield (before adjusting for potential impermanent loss and hedging costs) are usually high single digits, e.g. 7% to 9%. These are collectively (ETH-USDC, ETH-USDT, ETH-DAI) $132m liquidity here. This range of yields serve as the bottom line for such investments, i.e. risk free yield for ETH-Stablecoin.
• GLP’s estimated yield declined again to 6.7% APR this week (earnings before adjustment for impermant loss, hedging cost and traders’ PnL, 5 days estimate of the current week). Taking into account the risk free yield range above, GLP should have a risk premium of trader’s PnL exposure (it’s volatile, empirically positive, theoretically zero-sum) and being on Arbitrum instead of Ethereum (to a lesser extent). So we expect the long-term yield of GLP to be 1% to 2% on top of the risk free yield range above, e.g. 8% to 11%.

Funding Rate (Binance Coin-Margined):

• Funding rates were all positive, and are either over or close to 10%, meaning that if you purchase the token, use it as collateral and short the same amount in Binance, the net yield is a delta neutral 10%. A systematically higher funding rate probably suggests that there’s no innovation going on and funds are back to trading.

Business Update:

• We have made a SubStack for premium content, mostly our strategy papers for more complex investments. This is a paid service at $49 per month (free for research clients). You can subscribe to the Free version to get a summary of each strategy paper. However, to support our work, we hope you could subscribe to it for the full article — $49 for four to five papers a month on stablecoin and DeFi strategies. For this, we offer a 70% discount for our Twitter and Medium audience: https://serenityresearch.substack.com/1a082767.

The above summary is a snapshot of what the market looks like over the last week and as of Monday. It is not meant to be a ranking table nor to be exhaustive. There are various other defi protocols and products that can offer different risk and return exposures. Follow our Twitter below to have more timely and detailed information on the DeFi market.

(Serenity Team, 5 June 2023, Twitter: https://twitter.com/SerenityFund )