Exposure by collateral
Total supplied USD per collateral asset. Bar color shows the worst posture among markets using that collateral.
Blockworks Advisory illustrative proof of concept for the Curve Risk Assessment and Market Monitoring proposal. Figures and tiers support review discussion.
Scope 2 · LlamaLend
Market risk monitor
LlamaLend markets by utilization, withdrawal headroom, and soft liquidation inventory. Posture labels summarise where each market sits relative to monitoring thresholds. Each market gets L1 to L6 dimension scores and an overall posture (In range / Review / Elevated / Priority). Labels come from simple monitoring thresholds for review triage. Headroom is percentage points to the monitoring stress boundary. Full rules are on the Methodology page.
Updated Sep 25, 2026, 2:41 PM
Outside in range
3
1 on review · 23 markets listed
Supply weighted util
74.7%
Cross section mean 71.9% · σ 17.8 pp
Available liquidity
$22.9m
$67.6m borrowed of $90.5m
LLAMMA soft liq inventory
$82.5m
0.1% of borrows already converted in LLAMMA · 1 elevated
Thin free liquidity
3
Markets ≥$50k with <5% available to borrow
At / above kink
3
Rate acceleration / efficient band zone
Markets ≥ min size
23
Supply ≥ $50k
Cross sectional risk analytics
Universe concentration and binding drivers
Where supplied liquidity sits by collateral and posture, and which L1 to L6 scores are weakest on the largest markets. Scores are monitoring health (higher is better).
Util mean
71.9%
n=23 markets
Util std
17.8 pp
Dispersion of util across markets
Soft liq mean
13.4%
n=23 with LLAMMA
Soft liq std
34.3 pp
Dispersion of converted share
Share of LlamaLend supply by posture tier
Percent of total listed LlamaLend supplied liquidity in each posture band. Shares are easier to compare than dollar amounts when most supply sits In range.
4 markets outside In range. Total supplied is $90.5m.
Priority
0.0%
$0 · 0 markets
Elevated
0.6%
$509k · 3 markets
Review
0.1%
$72k · 1 market
In range
99.4%
$89.9m · 19 markets
In rangeReviewElevatedPriority
Dimension score heatmap (top markets by size)
L1 to L6 health scores run from 0 to 100, with higher scores meaning healthier markets. Lower scores highlight weaker dimensions on large exposures.
| Market | L1 | L2 | L3 | L4 | L5 | L6 |
|---|---|---|---|---|---|---|
| sreUSD / crvUSD $34.0m · In range | 90 | 80 | — | — | 85 | 90 |
| sfrxUSD / crvUSD $15.8m · In range | 90 | 80 | 95 | 65 | 85 | 90 |
| sDOLA / crvUSD $11.1m · In range | 90 | 80 | 95 | 65 | 85 | 90 |
| sUSDe / crvUSD $8.2m · In range | 90 | 80 | 95 | 95 | 85 | 90 |
| sfrxUSD / crvUSD $6.9m · In range | 90 | 80 | 95 | 80 | 85 | 90 |
| syrupUSDC / crvUSD $4.1m · In range | 90 | 80 | 95 | 65 | 85 | 90 |
| wstETH / crvUSD $3.9m · In range | 90 | 80 | 95 | 95 | 90 | 90 |
| WBTC / crvUSD $3.3m · In range | 90 | 80 | 95 | 95 | 90 | 90 |
| WETH / crvUSD $1.3m · In range | 90 | 80 | 95 | 95 | 90 | 90 |
| svZCHF / crvUSD $379k · In range | 90 | 80 | 60 | 25 | 85 | 90 |
| fxSAVE / crvUSD $373k · Elevated | 25 | 80 | 95 | 65 | 40 | 90 |
| CRV / crvUSD $263k · In range | 90 | 80 | 80 | 95 | 90 | 90 |
L3 to L6 need live enrichment feeds. L6 is shared chain gas (identical across markets on the same chain). Partial scores show when only a subset of feeds resolves.
Distribution summary
How key risk metrics spread across the listed universe. The shaded band is the middle 50% of markets. The vertical line is the median.
Utilization
min 30.5%Q1 65.3%med 73.3%Q3 80.9%max 100.0%
n 23
Typical range 65.3% to 80.9% (median 73.3%). Higher utilization means less withdrawal headroom.
L1 utilization score
min 25Q1 90med 90Q3 90max 90
n 23
Typical range 90 to 90 (median 90). Liquidity score from monitoring thresholds (0 to 100, higher is healthier). Shows how tight utilization is relative to those thresholds.
LLAMMA conversion share
min 0.0%Q1 0.0%med 0.0%Q3 0.3%max 100.0%
n 23
Most markets cluster near 0.0%. The upper tail reaches 100.0%. Share of soft liquidation inventory already converted to the borrowed asset. Only markets with active LLAMMA inventory are included.
Withdrawal headroom
min 0.0%Q1 19.2%med 26.7%Q3 34.7%max 69.5%
n 23
Typical range 19.2% to 34.7% (median 26.7%). Available to borrow as a share of total supply. A higher share means more lender exit capacity.
Portfolio tail · single factor portfolio model (ASRF)
Shows a single factor loss rate distribution on outstanding borrows (LGD assumed at 100%). Asset correlation ρ is a collateral return co-movement proxy for the ASRF control, not a fitted default correlation. Prefer hazard PD inputs when a liquidation event model fits. Util→PD is only an interim fallback.
Exposure base is $67.6m borrowed across 23 markets · interim util→PD stress weights (no fitted hazard model yet) · unconditional return ρ is 0.39 · stress return ρ is 0.29 · recommended ASRF ρ is 0.39.
Return co-movement ρ (ASRF input)
Base loss rate (util proxy)
0.78%
$530k on borrowed · LGD at 100%
99% portfolio loss rate
12.20%
ρ 0.45 · 99% loss rate quantile
99% $ loss (LGD at 100%)
$8.2m
+11.41% vs base rate
Central loss mass99% tail regionBase loss rate99% tail threshold
Axis is zoomed to the model loss rate support (here about 0.0% to 17.6%). With small util stress weights the whole distribution can sit well below 30%.
Tail sensitivity across ρ
The lower panel shows how the 99% tail loss rate moves as assumed asset correlation rises.
Average pairwise return ρ is 0.39 unconditional and 0.29 on worst 10% ETH down days. Return co-movement is a proxy for default asset correlation.
Priority review
Review list
Markets on Review, Elevated, or Priority, or with elevated LLAMMA soft liquidation share. Sorted by severity then size.
fxSAVE / crvUSD
Ethereum
Utilization 99.1% at stablecoin stress boundary (98.0%)
- Util
- 99.1%
- L1 / L2
- 25/80
- Available
- $3k
IBTC / crvUSD
Arbitrum
Utilization 100.0% at stablecoin stress boundary (98.0%)
- Util
- 100.0%
- L1 / L2
- 25/85
- Available
- $0
UwU / crvUSD
Ethereum
Utilization 100.0% at stablecoin stress boundary (98.0%)
- Util
- 100.0%
- L1 / L2
- 25/85
- Available
- $0
ARB / crvUSD
Arbitrum
99.9% of LLAMMA inventory ($28k) is converted to crvUSD. Soft liquidation is band saturated and the mechanism is working.
- Util
- 66.7%
- L1 / L2
- 90/20
- Available
- $24k
Ethereum mainnet
Ethereum LlamaLend markets
Markets are sorted by total supplied. Headroom is percentage points to the monitoring stress boundary. L1 is the liquidity and util dimension score.
13 markets
$89.4m
Ethereum mainnet
Ethereum LlamaLend markets
Markets are sorted by total supplied. Headroom is percentage points to the monitoring stress boundary. L1 is the liquidity and util dimension score.
13 markets
$89.4m
| Market | Posture | Supplied | Available | Utilization | Headroom | Soft liq share | L1 score | Borrow APY |
|---|---|---|---|---|---|---|---|---|
| sreUSD / crvUSD Borrow crvUSD (sreUSD collateral) | In range | $34.0m | $10.2m | 69.9% | +28.1 pp | 0.0% | 90 | 0.79% |
| sfrxUSD / crvUSD Borrow crvUSD (sfrxUSD collateral) | In range | $15.8m | $2.8m | 81.9% | +16.1 pp | 0.0% | 90 | 3.89% |
| sDOLA / crvUSD Borrow crvUSD (sDOLA collateral) | In range | $11.1m | $3.0m | 73.3% | +24.7 pp | 0.0% | 90 | 3.82% |
| sUSDe / crvUSD Borrow crvUSD (sUSDe collateral) | In range | $8.2m | $1.7m | 79.4% | +18.6 pp | 0.0% | 90 | 3.60% |
| sfrxUSD / crvUSD Borrow crvUSD (sfrxUSD collateral) | In range | $6.9m | $1.4m | 79.8% | +18.2 pp | 0.0% | 90 | 3.71% |
| syrupUSDC / crvUSD Borrow crvUSD (syrupUSDC collateral) | In range | $4.1m | $1.3m | 69.4% | +28.6 pp | 0.0% | 90 | 3.28% |
| wstETH / crvUSD Borrow crvUSD (wstETH collateral) | In range | $3.9m | $901k | 76.7% | +21.3 pp | 0.0% | 90 | 2.58% |
| WBTC / crvUSD Borrow crvUSD (WBTC collateral) | In range | $3.3m | $518k | 84.1% | +13.9 pp | 0.0% | 90 | 6.25% |
| WETH / crvUSD Borrow crvUSD (WETH collateral) | In range | $1.3m | $478k | 63.9% | +34.1 pp | 0.0% | 90 | 1.83% |
| svZCHF / crvUSD Borrow crvUSD (svZCHF collateral) | In range | $379k | $179k | 52.8% | +45.2 pp | 0.0% | 90 | 2.71% |
| fxSAVE / crvUSD Borrow crvUSD (fxSAVE collateral) | Elevated | $373k | $3k | 99.1% | -1.1 pp | 0.0% | 25 | 21.86% |
| WETH / crvUSD Borrow crvUSD (WETH collateral) | In range | $83k | $58k | 30.5% | +67.5 pp | 0.0% | 90 | 0.74% |
| UwU / crvUSD Borrow crvUSD (UwU collateral) | Elevated | $54k | $0 | 100.0% | -2.0 pp | 100.0% | 25 | 0.00% |
Other chains
Arbitrum, Optimism, Fraxtal, Sonic
LlamaLend deployments outside Ethereum mainnet, sorted by total supplied liquidity.
10 markets
$1.1m
Other chains
Arbitrum, Optimism, Fraxtal, Sonic
LlamaLend deployments outside Ethereum mainnet, sorted by total supplied liquidity.
10 markets
$1.1m
| Market | Chain | Posture | Supplied | Available | Utilization | Headroom | Soft liq share | L1 score | Borrow APY |
|---|---|---|---|---|---|---|---|---|---|
| CRV / crvUSD Borrow crvUSD (CRV collateral) | Arbitrum | In range | $263k | $133k | 49.4% | +48.6 pp | 0.0% | 90 | 18.59% |
| WETH / crvUSD Borrow crvUSD (WETH collateral) | Arbitrum | In range | $232k | $95k | 58.9% | +39.1 pp | 0.0% | 90 | 3.95% |
| wstETH / USDC Borrow USDC (wstETH collateral) | Optimism | In range | $100k | $12k | 87.9% | +10.1 pp | 0.0% | 90 | 6.47% |
| WBTC / USDC Borrow USDC (WBTC collateral) | Optimism | In range | $90k | $21k | 77.9% | +20.1 pp | 0.0% | 90 | 3.37% |
| WETH / crvUSD Borrow crvUSD (WETH collateral) | Arbitrum | In range | $86k | $52k | 39.3% | +58.7 pp | 1.6% | 90 | 3.10% |
| IBTC / crvUSD Borrow crvUSD (IBTC collateral) | Arbitrum | Elevated | $82k | $0 | 100.0% | -2.0 pp | 99.8% | 25 | 0.00% |
| WBTC / crvUSD Borrow crvUSD (WBTC collateral) | Arbitrum | In range | $79k | $23k | 70.6% | +27.4 pp | 5.8% | 90 | 8.38% |
| wstETH / WETH Borrow WETH (wstETH collateral) | Optimism | In range | $77k | $20k | 74.3% | +13.7 pp | 0.0% | 90 | 1.77% |
| ARB / crvUSD Borrow crvUSD (ARB collateral) | Arbitrum | Review | $72k | $24k | 66.7% | +31.3 pp | 99.9% | 90 | 0.00% |
| sfrxUSD / crvUSD Borrow crvUSD (sfrxUSD collateral) | Fraxtal | In range | $57k | $18k | 68.0% | +30.0 pp | 0.7% | 90 | 5.18% |