Incorrect StablePool BPT price calculation

Summary

Incorrect StablePool BPT price calculation as rate's are not considered

Vulnerability Detail

The price of a stable pool BPT is computed as:

minimum price among the pool tokens obtained via feeds * return value of getRate()

This method is used referring to an old documentation of Balancer

    function getStablePoolTokenPrice(
        address,
        uint8 outputDecimals_,
        bytes calldata params_
    ) external view returns (uint256) {
        // Prevent overflow
        if (outputDecimals_ > BASE_10_MAX_EXPONENT)
            revert Balancer_OutputDecimalsOutOfBounds(outputDecimals_, BASE_10_MAX_EXPONENT);

        address[] memory tokens;
        uint256 poolRate; // pool decimals
        uint8 poolDecimals;
        bytes32 poolId;
        {

        ......

            // Get tokens in the pool from vault
            (address[] memory tokens_, , ) = balVault.getPoolTokens(poolId);
            tokens = tokens_;

            // Get rate
            try pool.getRate() returns (uint256 rate_) {
                if (rate_ == 0) {
                    revert Balancer_PoolStableRateInvalid(poolId, 0);
                }

                poolRate = rate_;

        ......

        uint256 minimumPrice; // outputDecimals_
        {
            /**
             * The Balancer docs do not currently state this, but a historical version noted
             * that getRate() should be multiplied by the minimum price of the tokens in the
             * pool in order to get a valuation. This is the same approach as used by Curve stable pools.
             */
            for (uint256 i; i < len; i++) {
                address token = tokens[i];
                if (token == address(0)) revert Balancer_PoolTokenInvalid(poolId, i, token);

                (uint256 price_, ) = _PRICE().getPrice(token, PRICEv2.Variant.CURRENT); // outputDecimals_

                if (minimumPrice == 0) {
                    minimumPrice = price_;
                } else if (price_ < minimumPrice) {
                    minimumPrice = price_;
                }
            }
        }

        uint256 poolValue = poolRate.mulDiv(minimumPrice, 10 ** poolDecimals); // outputDecimals_

The getRate() function returns the exchange rate of a BPT to the underlying base asset of the pool which can be different from the minimum market priced asset for pools with rateProviders. To consider this, the price obtained from feeds must be divided by the rate provided by rateProviders before choosing the minimum as mentioned in the previous version of Balancer's documentation.

https://github.com/balancer/docs/blob/663e2f4f2c3eee6f85805e102434629633af92a2/docs/concepts/advanced/valuing-bpt/bpt-as-collateral.md#metastablepools-eg-wsteth-weth

1. Get market price for each constituent token

Get market price of wstETH and WETH in terms of USD, using chainlink oracles.

2. Get RateProvider price for each constituent token

Since wstETH - WETH pool is a MetaStablePool and not a ComposableStablePool, it does not have getTokenRate() function. Therefore, it`s needed to get the RateProvider price manually for wstETH, using the rate providers of the pool. The rate provider will return the wstETH token in terms of stETH.

Note that WETH does not have a rate provider for this pool. In that case, assume a value of 1e18 (it means, market price of WETH won't be divided by any value, and it's used purely in the minPrice formula).

3. Get minimum price

$$ minPrice = min({P{M{wstETH}} \over P{RP{wstETH}}}, P{M{WETH}}) $$

4. Calculates the BPT price

$$ P{BPT{wstETH-WETH}} = minPrice * rate{pool{wstETH-WETH}} $$

where rate_pool_wstETH-WETH is pool.getRate() of wstETH-WETH pool.

Example

The wstEth-cbEth pool is a MetaStablePool having rate providers for both tokens since neither of them is the base token https://app.balancer.fi/#/ethereum/pool/0x9c6d47ff73e0f5e51be5fd53236e3f595c5793f200020000000000000000042c

At block 18821323: cbeth : 2317.48812 wstEth : 2526.84 pool total supply : 0.273259897168240633 getRate() : 1.022627523581711856 wstRateprovider rate : 1.150725009180224306 cbEthRateProvider rate : 1.058783029570983377 wstEth balance : 0.133842314907166538 cbeth balance : 0.119822100236557012 tvl : (0.133842314907166538 2526.84 + 0.119822100236557012 2317.48812) == 615.884408812

according to current implementation: bpt price = 2317.48812 1.022627523581711856 == 2369.927137086 calculated tvl = bpt price total supply = 647.606045776

correct calculation: rate_provided_adjusted_cbeth = (2317.48812 / 1.058783029570983377) == 2188.822502132 rate_provided_adjusted_wsteth = (2526.84 / 1.150725009180224306) == 2195.867804942 bpt price = 2188.822502132 1.022627523581711856 == 2238.350134915 calculated tvl = bpt price total supply = (2238.350134915 * 0.273259897168240633) == 611.651327693

Impact

Incorrect calculation of bpt price. Has possibility to be over and under valued.

Code Snippet

https://github.com/sherlock-audit/2023-11-olympus/blob/main/bophades/src/modules/PRICE/submodules/feeds/BalancerPoolTokenPrice.sol#L514-L539

Tool used

Manual Review

Recommendation

For pools having rate providers, divide prices by rate before choosing the minimum

0xJem commented 11 months ago

This is a valid issue and highlights problems with Balancer's documentation.

We are likely to drop both the Balancer submodules from the final version, since we no longer have any Balancer pools used for POL and don't have any assets that require price resolution via Balancer pools.

sherlock-admin2 commented 10 months ago

Escalate

This is invalid. Never meant to interact with composable stable pools as shown by this comment here where they explicitly state it will revert if it is a composable stable pool:

https://github.com/sherlock-audit/2023-11-olympus/blob/9c8df76dc9820b4c6605d2e1e6d87dcfa9e50070/bophades/src/modules/PRICE/submodules/feeds/BalancerPoolTokenPrice.sol#L441-L444

You've deleted an escalation for this issue.

sherlock-audit / 2023-11-olympus-judging

hash - Incorrect StablePool BPT price calculation #176