propeller M3: crash+rebalance deleverTarget queue-priority scenario; M2 harvestThreshold fidelity (0.1% per SubLoop.sol:157)

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>

Author: div

hydradx/apps/propeller/m2_model.py

@@ -107,7 +107,7 @@ def __init__(self,
                  deploy_tranche=5_000.0,
                  unwind_tranche=5_000.0,
                  pokes_per_step=None,       # keeper pokes per step (None = every block)
-                 harvest_threshold=0.005,   # skim once surplus > 0.5% of basis
+                 harvest_threshold=0.001,   # skim once surplus > 0.1% of basis (SubLoop.sol:157 default)
                  slippage_band=0.01,
                  f1_fixed=False,            # True: harvest reserves accrued Main interest
                  ltv=ETH_LTV):

hydradx/apps/propeller/m2_report.txt

@@ -0,0 +1,21 @@
+S1 baseline 1y [as-implemented]:
+  backing gap: day30 $13,003  day180 $81,714  day365 $159,747
+  compounded yield $594,373 (11.89% of deposit)
+  redemption: collateral released 95.64%  STUCK 4.36%  (≈ $243,709 of user value)
+S1 baseline 1y [F1-fixed]:
+  backing gap: day30 $-29,257  day180 $-28,718  day365 $-35,421
+  compounded yield $570,216 (11.40% of deposit)
+  redemption: collateral released 100.00%  STUCK 0.00%  (≈ $0 of user value)
+S2 HOLLAR 7.0% (spread −0.66%): after 180d inverted — gap $125,135 (3.21% of Main debt), HF 1.050, liqs 0
+S2 HOLLAR 10% (spread −3.66%): after 180d inverted — gap $459,824 (11.63% of Main debt), HF 1.050, liqs 0
+S3 1%/day to 5%  : liqs   0  liq-loss $        0  equity Δ $ -1,035,704  final HF 1.050  gap $1,047,160
+S3 5% over 12h   : liqs   0  liq-loss $        0  equity Δ $ -1,018,050  final HF 1.050  gap $1,027,470
+S3 5% over 2h    : liqs   0  liq-loss $        0  equity Δ $ -1,020,810  final HF 1.050  gap $1,030,060
+S3 5% instant    : liqs   1  liq-loss $  677,913  equity Δ $ -1,833,506  final HF 1.050  gap $1,842,700
+S3 8% over 12h   : liqs   0  liq-loss $        0  equity Δ $ -1,508,851  final HF 1.050  gap $1,518,289
+S3 8% instant    : liqs   2  liq-loss $1,016,870  equity Δ $ -2,865,850  final HF 1.050  gap $2,875,082
+S3 12% over 24h  : liqs   0  liq-loss $        0  equity Δ $ -2,046,232  final HF 1.050  gap $2,055,878
+S4 rate 4.4%: synth floor breaks after 42d keeper outage; at outage+30d Main liquidates if collateral falls 99.7%
+S4 rate 10%: synth floor breaks after 19d keeper outage; at outage+30d Main liquidates if collateral falls 99.2%
+S4 rate 20%: synth floor breaks after 10d keeper outage; at outage+30d Main liquidates if collateral falls 98.5%
+S5 exit during 3% PRIME discount: released 82.08% of deposit, stuck 17.92%, liqs 0, gap $654,514

hydradx/apps/propeller/m3_model.py

@@ -40,6 +40,9 @@ def __init__(self, entry_fee=0.0, exit_fee=0.0, arb_capacity_per_hour=None, **kw
         self._arb_budget = 0.0
         self.shares = {}          # depositor -> vault shares
         self.total_shares = 0.0
+        self.collateral_price_mult = 1.0   # collateral price factor (1.0 = entry price)
+        self.vault_delever_target = 0.0    # Main debt to repay from a down-rebalance
+                                           # (settles AHEAD of the redemption queue)
         self.fee_pot = 0.0        # fees retained (accrue to remaining holders via collateral)
         self.queue = []           # FIFO: dicts(owner, shares, coll_owed, debt_share, repaid, coll_settled)
 
@@ -85,11 +88,38 @@ def request_redeem(self, owner, frac=1.0):
         self.queue.append(req)
         return req
 
+    def crash_and_rebalance(self, drop: float):
+        """Collateral price falls by `drop`; permissionless rebalance() fires
+        (CollateralVault.sol:481-496): unwind the loop slice worth the excess
+        debt; its freed HOLLAR repays Main debt AHEAD of the redemption queue."""
+        self.collateral_price_mult *= (1 - drop)
+        self.collateral_usd *= (1 - drop)
+        max_ltv = 0.75
+        if self.collateral_usd <= 0:
+            return 0.0
+        ltv = self.main_debt / self.collateral_usd
+        if ltv <= max_ltv + 0.03:   # +300bp hysteresis band
+            return 0.0
+        repay = self.main_debt - self.collateral_usd * max_ltv
+        equity = max(self.loop_collateral_usd() - self.loop_debt, 0.0)
+        slice_eq = min(repay, equity)
+        self.unwind_target += slice_eq
+        self.principal_equity = max(self.principal_equity - slice_eq, 0.0)
+        self.vault_delever_target += repay
+        return repay
+
     def poke_settle(self):
-        """FIFO settlement from freed HOLLAR (+ interest reserve when F1-fixed)."""
+        """Settlement from freed HOLLAR: down-rebalance deleverTarget FIRST
+        (CollateralVault.sol:334-348), then the FIFO queue."""
         available = self.freed
         if self.f1_fixed and self.interest_reserve > 0:
             available += self.interest_reserve
+        if self.vault_delever_target > 0 and available > 0:
+            r = min(available, self.vault_delever_target)
+            available -= r
+            self.vault_delever_target -= r
+            self.main_debt -= r
+            self.synth = self.main_debt / 0.98 * 1.005
         for req in self.queue:
             if req['done'] or available <= 0:
                 continue

hydradx/apps/propeller/m3_report.txt

@@ -0,0 +1,25 @@
+S1 run, discount persists:
+   queue pos 0: realized $500,000 / $500k  stuck $0  settled in 0.04d
+   queue pos 2: realized $431,457 / $500k  stuck $0  settled in 0.08d
+   queue pos 4: realized $341,869 / $500k  stuck $0  settled in 0.08d
+   queue pos 6: realized $288,175 / $500k  stuck $0  settled in 0.12d
+   queue pos 9: realized $0 / $500k  stuck $226,174  settled in NEVER
+   first-vs-last gap: 100.00pp of deposit
+S1 run, discount reverts at d14:
+   queue pos 0: realized $500,000 / $500k  stuck $0  settled in 0.04d
+   queue pos 2: realized $431,457 / $500k  stuck $0  settled in 0.08d
+   queue pos 4: realized $341,869 / $500k  stuck $0  settled in 0.08d
+   queue pos 6: realized $288,175 / $500k  stuck $0  settled in 0.12d
+   queue pos 9: realized $0 / $500k  stuck $226,174  settled in NEVER
+   first-vs-last gap: 100.00pp of deposit
+S2 fee  0bp: 10 cycles — holders +$12,611, attacker cost $69,827 (1.40% per cycle notional)
+S2 fee 10bp: 10 cycles — holders +$22,136, attacker cost $76,002 (1.52% per cycle notional)
+S2 fee 20bp: 10 cycles — holders +$33,538, attacker cost $89,254 (1.79% per cycle notional)
+S2 fee 30bp: 10 cycles — holders +$42,204, attacker cost $96,637 (1.93% per cycle notional)
+S2 fee 50bp: 10 cycles — holders +$56,931, attacker cost $114,833 (2.30% per cycle notional)
+S3 arb capacity unlimited: settled 4/5; per-request ['0.04d', '0.08d', '0.12d', '0.17d', 'NEVER']
+S3 arb capacity   $500k/h: settled 4/5; per-request ['0.04d', '0.08d', '0.12d', '0.17d', 'NEVER']
+S3 arb capacity   $100k/h: settled 4/5; per-request ['0.88d', '1.79d', '2.75d', '3.71d', 'NEVER']
+S3 arb capacity    $25k/h: settled 4/5; per-request ['0.21d', '1.12d', '2.04d', '2.96d', 'NEVER']
+S4 no rebalance (control): settle times ['0.04d', '0.08d', '0.12d', '0.17d', 'NEVER'], residual deleverTarget $0
+S4 crash+rebalance (deleverTarget $1,309,615): settle times ['0.04d', '0.21d', '0.25d', '0.25d', 'NEVER'], residual deleverTarget $0

hydradx/apps/propeller/run_m3.py

@@ -94,8 +94,30 @@ def s3_exit_latency():
         print(f"S3 arb capacity {label:>9}: settled {done}/5; per-request {times}")
 
 
+def s4_crash_rebalance_vs_queue():
+    """Collateral −40% + permissionless rebalance() while 5 redemptions are queued:
+    the vault's deleverTarget settles AHEAD of the queue (CollateralVault.sol:334).
+    Compare queue settle times with vs without the rebalance call."""
+    for do_rebalance in (False, True):
+        w = setup(n_depositors=10, each=500_000)
+        for _ in range(7 * H):
+            w.step(600)
+        reqs = [w.request_redeem(f'u{i}') for i in range(5)]
+        w.step(600)
+        if do_rebalance:
+            repay = w.crash_and_rebalance(0.40)
+        for _ in range(30 * 24):
+            w.step(600)
+            if all(r['done'] for r in reqs):
+                break
+        times = [f"{(r['done_block']-r['requested_block'])/BLOCKS_PER_DAY:.2f}d" if r['done_block'] else 'NEVER' for r in reqs]
+        label = f"crash+rebalance (deleverTarget ${repay:,.0f})" if do_rebalance else "no rebalance (control)"
+        print(f"S4 {label}: settle times {times}, residual deleverTarget ${w.vault_delever_target:,.0f}")
+
+
 if __name__ == '__main__':
     s1_stress_run(reverts=False)
     s1_stress_run(reverts=True)
     s2_churn_attack()
     s3_exit_latency()
+    s4_crash_rebalance_vs_queue()