Blockworks Advisory illustrative proof of concept for the Curve Risk Assessment and Market Monitoring proposal. Figures and tiers support review discussion.
Leading indicators
External collateral
Price path, tail loss, factor beta, and exit liquidity for assets used as mint or LlamaLend collateral. Advanced metrics run on the largest Curve exposures.
Updated Sep 21, 2026, 8:41 PM
Collaterals tracked
24
Union of mint + LlamaLend collateral addresses
Flagged
9
Review or Elevated on price / liquidity / tail
Largest exposure
$32.6m
wstETH
Worst 1d CVaR 99%
23.6%
Among 10 enriched exposures
Estimations
Collateral risk estimations
These are standard desk metrics on the largest exposures. They cover historical 1 day CVaR 99%, realized annualized vol, path max drawdown, beta to ETH, DEX venue concentration on the house 0 to 100 HHI scale, and CEX 24h volume versus Curve exposure.
| Asset | Exposure | CVaR 99% 1d | Annualized vol | Max DD | β ETH | DEX HHI | Top pool | CEX / exp | Sample |
|---|---|---|---|---|---|---|---|---|---|
wstETH 0x7f39…2Ca0 | $32.6m | 17.7% | 81.4% | 80% | 0.97 | 500 to 100 | 69.3% | 24.8%$8.1m 24h | 1783d |
WBTC 0x2260…C599 | $25.0m | 16.2% | 70.5% | 77% | 0.23 | 80 to 100 | 15.3% | 418.6%$104.6m 24h | 2791d |
sfrxUSD 0xcf62…c5b6 | $18.4m | — | — | — | — | —0 to 100 | — | 1.0%$182k 24h | — |
cbBTC 0xcbB7…33Bf | $10.1m | 7.8% | 44.0% | 53% | 0.48 | —0 to 100 | — | 3337.7%$337.8m 24h | 740d |
sDOLA 0xb45a…7305 | $7.6m | — | — | — | — | —0 to 100 | — | 1.3%$103k 24h | — |
sUSDe 0x9d39…3497 | $6.5m | 4.0% | 14.6% | 8% | 0.00 | —0 to 100 | — | 110.0%$7.1m 24h | 916d |
tBTC 0x1808…3a88 | $6.1m | 21.9% | 108.6% | 94% | 0.31 | —0 to 100 | — | 200.7%$12.2m 24h | 2190d |
weETH 0xCd5f…b7ee | $3.2m | 12.1% | 68.0% | 67% | 0.93 | —0 to 100 | — | 46.6%$1.5m 24h | 992d |
WETH 0xC02a…6Cc2 | $3.2m | 23.6% | 106.2% | 92% | 1.00 | —0 to 100 | — | 3299.9%$105.1m 24h | 3105d |
CVaR comes from historical simulation on daily log returns and is shown as a loss. Max drawdown is peak to trough on the available path. Beta is the OLS sensitivity to WETH daily returns. DEX HHI uses the house 0 to 100 scale on the sampled top pools. CEX coverage is top venue 24h volume divided by Curve exposure.
Watchlist
Collateral assets
Exposure is the sum of mint debt and LlamaLend borrows against the asset. DEX coverage is top DEX pool TVL divided by that exposure.
| Asset | Status | Exposure | 24h | 7d | 30d | Vol 24h | DEX TVL | Coverage |
|---|---|---|---|---|---|---|---|---|
wstETH mint · lend $3,469.56 · 0x7f39…2Ca0 1d CVaR 99% 17.7% on material Curve exposure. | Elevated | $32.6mmint $29.7m · lend $2.8m | 5.9% | 8.8% | 14.0% | $12.3m | $142.1m | 436.4% |
WBTC mint · lend $86,969 · 0x2260…C599 1d CVaR 99% 16.2% on material Curve exposure. | Elevated | $25.0mmint $22.3m · lend $2.6m | 7.3% | 9.3% | 12.2% | $390.6m | $453.4m | 1814.0% |
sfrxUSD lend — · 0xcf62…c5b6 DEX TVL covers only 0% of Curve exposure. | Elevated | $18.4mmint $0 · lend $18.4m | — | — | — | — | $0 | 0.0% |
cbBTC mint $87,031 · 0xcbB7…33Bf DEX TVL covers only 0% of Curve exposure. | Elevated | $10.1mmint $10.1m · lend $0 | 7.3% | 9.3% | 12.2% | $567.2m | $0 | 0.0% |
sDOLA lend — · 0xb45a…7305 DEX TVL covers only 0% of Curve exposure. | Elevated | $7.6mmint $0 · lend $7.6m | — | — | — | — | $0 | 0.0% |
sUSDe lend $1.25 · 0x9d39…3497 DEX TVL covers only 0% of Curve exposure. | Elevated | $6.5mmint $0 · lend $6.5m | 0.0% | 0.0% | 0.4% | $7.6m | $0 | 0.0% |
tBTC mint $86,960 · 0x1808…3a88 DEX TVL covers only 0% of Curve exposure. | Elevated | $6.1mmint $6.1m · lend $0 | 7.3% | 9.3% | 12.2% | $17.5m | $0 | 0.0% |
weETH mint $3,077.28 · 0xCd5f…b7ee DEX TVL covers only 0% of Curve exposure. | Elevated | $3.2mmint $3.2m · lend $0 | 5.9% | 8.8% | 14.0% | $2.2m | $0 | 0.0% |
WETH mint · lend $2,788.16 · 0xC02a…6Cc2 DEX TVL covers only 0% of Curve exposure. | Elevated | $3.2mmint $2.3m · lend $887k | 6.0% | 8.7% | 13.8% | $659.8m | $0 | 0.0% |
sreUSD lend — · 0x557a…3c35 Price and liquidity within watch bands. | In range | $23.7mmint $0 · lend $23.7m | — | — | — | — | — | — |
syrupUSDC lend — · 0x80ac…cc0b Price and liquidity within watch bands. | In range | $2.7mmint $0 · lend $2.7m | — | — | — | — | — | — |
sfrxETH mint $3,238.07 · 0xac3E…e38F Price and liquidity within watch bands. | In range | $2.0mmint $2.0m · lend $0 | 5.6% | 8.5% | 13.7% | $4k | — | — |
fxSAVE lend — · 0x7743…fc39 Price and liquidity within watch bands. | In range | $368kmint $0 · lend $368k | — | — | — | — | — | — |
svZCHF lend — · 0xe5f1…f6b0 Price and liquidity within watch bands. | In range | $200kmint $0 · lend $200k | — | — | — | — | — | — |
WETH lend $2,788.16 · 0x82af…bab1 Price and liquidity within watch bands. | In range | $166kmint $0 · lend $166k | 6.0% | 8.7% | 13.8% | $659.8m | — | — |
wstETH lend $3,469.56 · 0x1f32…4ebb Price and liquidity within watch bands. | In range | $146kmint $0 · lend $146k | 5.9% | 8.8% | 14.0% | $12.3m | — | — |
CRV lend $0.365 · 0x11cd…4978 Price and liquidity within watch bands. | In range | $129kmint $0 · lend $129k | 4.5% | 1.7% | 6.1% | $103.8m | — | — |
WBTC lend $86,969 · 0x68f1…2095 Price and liquidity within watch bands. | In range | $106kmint $0 · lend $106k | 7.3% | 9.3% | 12.2% | $390.6m | — | — |
IBTC lend — · 0x050c…c77a Price and liquidity within watch bands. | In range | $82kmint $0 · lend $82k | — | — | — | — | — | — |
WBTC lend $86,969 · 0x2f2a…5b0f Price and liquidity within watch bands. | In range | $57kmint $0 · lend $57k | 7.3% | 9.3% | 12.2% | $390.6m | — | — |
UwU lend — · 0x55c0…5257 Price and liquidity within watch bands. | In range | $54kmint $0 · lend $54k | — | — | — | — | — | — |
ARB lend — · 0x912c…6548 Price and liquidity within watch bands. | In range | $48kmint $0 · lend $48k | — | — | — | — | — | — |
sfrxUSD lend — · 0xfc00…0008 Price and liquidity within watch bands. | In range | $39kmint $0 · lend $39k | — | — | — | — | — | — |
LBTC mint $87,216 · 0x8236…4494 Price and liquidity within watch bands. | In range | $1mint $1 · lend $0 | 7.3% | 9.2% | 12.0% | $2.7m | — | — |