Always been leery of this product. Having used clay myself for art purposes, I know first hand what its like. As a substrate my biggest concern was what happens when it dries?
Clay does hold water well but under hot lamps I worried it would dry out fast and form a rather hard crusted mass which would suck any moisture into its core like a sponge. Thus, it would harbor bacteria, providing it a nice home to breed. Not to mention once dry it would produce a huge amount of dust if dug into.
Once its partially dry or completely dry and hard, I would expect it is a nightmare to remove from a cage.
The picture on the bag (I have yet to see any of this stuff locally...none of the petstores here carry it or never had it in stock when I looked.) so I couldn't get a closer look at it, but it seems to be rather coarse, thus making it just as great if not greater an impact risk than crushed walnut or calcium sand.
Another concern is the quality of the clay. Clay and stoneware (which is basically a coarser claw for sculpture work/pottery) are regulated for art use to have little to no silica content. Silica if inhaled causing damage to lungs over time. Even then it is recommended to wear a mask when working with dry clay to stop inhaling the fine dust.
Clay is fine if its fired and glazed to seal it. Unfired or unglazed, its very porous and crumbles easily when dry. It probably be better to use Excavator substrate like you would use stoneware, borrow a kiln and fire it, glaze it then use it in your cage. May be great for using the 'Raku' style of firing/glazing.
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PHLdyPayne