Executive Summary

• During the recent market volatility, Maple’s risk management process and active collateral management were able to prevent any losses for lenders and to resolve all margin calls within a few hours; average collateralisation across Maple pools remains above 160%.
• Since the crash, Maple received 14.3M in lender deposits as lenders view the protocol as a safe haven in an unpredictable market environment.
• The gap between yields in Maple and Syrup pools compared to other DeFi protocols continues to widen. Lenders currently earn up to 17% net APY on Maple Secured lending pools and ~14% on Syrup, despite market volatility.

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Introduction

This past weekend, the crypto market experienced one of its most significant drawdowns in recent memory, rivalling the selloffs of March 2020, May 2022, and November 2022. The drawdown was primarily driven by a variety of macro factors converging at the end of last week - most notably the unwind of the Yen carry trade - which caught many investors by surprise.

Unlike traditional markets, crypto markets trade 24/7, positioning the emerging asset class as a bellwether and risk proxy ahead of Monday's market open. As the weekend progressed, crypto markets faced exceptionally volatile conditions due to low August liquidity and heightened attention on digital assets, leading to significant price declines and cascading liquidations. Despite the severe stress test, DeFi and crypto more broadly functioned as expected without breaking. The legacy financial system, on the other hand, saw circuit breakers repeatedly halt stock trading and many retail users unable to access their brokerage accounts.

Maple was no exception to this demonstration of DeFi resilience. Throughout the turbulence, our risk management systems operated as advertised to protect lender principal, with all loans remaining overcollateralised throughout and materialising zero losses. This performance underscores the strength and reliability of the Maple protocol, team and tech stack, even in the face of extreme market volatility.‍

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Maple’s Risk Management Process in Action

Amidst the market volatility, lender principal was protected through a combination of rigorous internal process and real-time proactivity from the Maple capital markets and operations teams.

As a standard practice, Maple has implemented a continuous monitoring and advanced alert system that notifies the Maple team as soon as the value of loan collateral is reaching liquidation territory. This proprietary system utilises three separate price feeds to ensure accuracy and enables the Maple team to issue margin calls to borrowers in a swift manner. In the event borrowers are not able to top up collateral to the Initial Collateral Level with 24 hours, collateral is liquidated to protect user funds.

Over the weekend, more than 25 margin calls were issued, resulting in $23M in collateral received; on average, resolution took 3.2 hours. This rapid response time reflects the quality of Maple’s borrower network as well as the responsiveness of the team.

Further, in order to protect lenders, one loan was partially liquidated through an OTC desk, with the proceeds being injected into the loan subsequently to protect lenders.

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Pool Performances

Notably, there were no losses for lenders during the period of extended volatility, and multiple new loans were issued in the following days as the team returned to normal business operations. In fact, there has been a net inflow of lender deposits across all products since August 1: $14.3M in inflows and $4.4M in outflows. Withdrawal requests were processed in less than 8 hours on average, and even $1.2M of withdrawals were redeposited back into Maple shortly after the markets had calmed down.

The health of the loan book stems from multiple factors, including intensive borrower underwriting and collateral analysis as well as from the overcollateralisation of the loan book. Read more about Maple’s approach to risk management in detail here.

Current average collateralisation levels for Maple pools is currently above 160%, while that for Syrup remains over 170%.
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Yield Comparison

Further, the gap between yields in Maple and Syrup pools compared to other DeFi protocols has continued to widen.

Maple High Yield Secured and Maple Blue Chip Secured are currently offering lenders 17% and 10% net APY to qualified lenders, respectively, while Syrup is offering 14%.

Meanwhile, yield in Aave’s v3 USDC pool on Ethereum has fallen to 4.7%, as deleveraging has contributed to low utilisation in its lending pools; scenarios such as this highlight the relationship between demand for short-term leverage and yield on Aave.

Maple’s resilience to market volatility highlights the unique value proposition of fixed rate, overcollateralised lending to institutions, as it has proven to generate consistent, high yield.
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Potential Improvements

From the past week’s events, the team will incorporate several learnings as it continues to strengthen the risk management and monitoring infrastructure for both Maple and Syrup. We are working on design improvements to increase transparency available to lenders (e.g. monitoring incoming collateral in real-time).

Further, we are actively working on improvements to our fully automated margin call system for borrowers, and will continue uncovering new ways to improve the customer experience.
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Conclusion

Despite the various macroeconomic factors to unfold this year, Maple’s risk and collateral management processes are well positioned to preempt market turbulence in the coming weeks and months.

In particularly volatile market conditions, the systems of the capital markets and loan operations teams, as well as the structure of the credit underwriting, have underpinned why lenders view Maple as a safe haven in times of uncertainty.

Further, Maple’s lending strategy has a unique advantage - providing fixed-rate, overcollateralised loans to institutions - that enables consistent high yield compared to protocols that are more reliant on the swings in demand for short-term leverage and market price action.

We’re excited to continue to provide this differentiated yield to qualified lenders through Maple and more broadly across DeFi through Syrup.

Explore the opportunities on app.maple.finance and syrup.fi

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