Thread by @DarrenCamas

What are we seeing in the DeFi #IPORates market?

In a situation like this we can't expect anything but outsized volatility

Both AAVE and Compound maxxed out with both at 99% utilization for USDT borrows

IPOR USDT currently sits at 59.29%

IPOR Index: app.ipor.io/ipor-index-sta…

The actual borrow rate is above 100% annualized, remember IPOR is a mid-market rate

From the IPOR Index screener we can see little change in the USDT pool compositions, only the borrow rate has increased.

There are several whales playing the USDC re-peg

https://twitter.com/ipor_rates/status/1634449079546650624?s=20

Borrow USDT buy discounted USDC betting on a re-pegging event, payoff loan

How do the IPOR USDT swaps look? First leverage was capped at 100x for USDT market, and spreads by the AMM blow up in extreme volatility conditions meaning market is effectively closed unless someone wants to open a Pay Fixed swap at 61.4331%

Both USDC and DAI rates have strong intraday volatility, but nothing compared to the USDT magnitude

On thing that's important to note is that the current issues with both banks is related to duration mismatches on the assets and liabilities which is exacerbated by the bank run scenarios.

The actual book losses are much lower and likely offset by interest rate swaps, however the liquidation of the underlying assets at discount to repay liabilities forces the hand.

So it turns out, Interest Rate Derivatives are a big fucking deal...

https://twitter.com/MacroAlf/status/1634299687027998722?s=20