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I mentioned the Trezor earlier particularly Model T where passphrase and recovery seed can be entered on it directly. It has a different model than a typical HSM since it doesn't store anything other than the seed which is combined with entered passphrases to derive wallets/keys.
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It doesn't include any proprietary software and the whole thing is an open design that other people are able to build (and have successfully done so in practice). The primary purpose is for cryptocurrency wallets but it works well for U2F, GPG, SSH and various other purposes too.
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There are definitely options beyond proprietary ones, including options with much different approaches than a traditional HSM storing the keys with / without encryption (ideally with a passphrase entered onto the device). I really like the approach pioneered for Bitcoin wallets.
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Since that lets you generate keys on the hardware wallet, back up the high entropy recovery seed as a phrase, verify you backed it up correctly and then if you need to recover on a new device you can enter it directly onto a new hardware wallet without exposing it to a computer.
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The traditional approach is good if you have existing SSH and GPG keys that need to be moved onto an HSM. I'll definitely prefer the deterministic wallet approach for new keys though. It's not that bad to migrate to new SSH keys but GPG tends to make rotating keys very painful.
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Signing keys for firmware usually can't be rotated at all since they're burned into fuses so that's another case where a more traditional HSM is the best option since existing keys need to be migrated. Android app signing keys were similar, but they've finally added key rotation.
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I find the recovery model to be the biggest advantage of the approach based on deterministic wallet design. The hardware wallet generates a high entropy seed, displays it as a recovery phrase and you can write it down, store it and recover without exposing it to the computer.
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Entering a passphrase directly on the device is another nice property of the Trezor Model T, but a traditional HSM can support that for encrypting keys and still wouldn't have the solid approach to recovery or the deniability from all passphrases leading to valid wallets/keys.
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I'd really like to see other implementations of the same model they've designed. There are many other cryptocurrency wallets doing it but it's just as applicable to U2F, SSH and GPG which are also provided by a Trezor. I'd like to see alternatives with compatible implementations.
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It's an issue for the initial key generation rather than just recovery since you're forced to do it on a computer and trust that it's generating the keys properly due to needing to back them up onto cold storage. It's very difficult to wipe all state on a general purpose PC too.
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