Blockworks Advisory illustrative proof of concept for the Curve Risk Assessment and Market Monitoring proposal. Figures and tiers support review discussion.

Curve Risk

Market monitoring · proof of concept

Market risk monitor

Curve LlamaLendEthereum MainnetIn range

WETH / crvUSD

Utilization is 30.5%. It is below the 90% efficient band threshold.. Borrow crvUSD (WETH collateral).

0x5AE28c9197a4a6570216fC7e53E7e0221D7A0FEF

Updated Sep 25, 2026, 3:24 PM

Utilization30.5%

Current 30.5%Kink 90%Stress 98%

67.5pp headroom to stress boundary (98%)

Soft liq share

0.0%

$45k LLAMMA inventory (mechanical conversion)

Available liquidity

$58k

$83k total supplied

Binding dimension

L2 80

LLAMMA soft liquidation · live data only

Risk dimensions

L1 to L6 decomposed posture

Aggregate tier is a triage summary. Each dimension has its own score and reading notes. Binding uses live status dimensions only.

How to read dimensions

Posture labels are monitoring thresholds for review. Partial enrichment cannot become the binding headline. See Methodology for the full register.

Live binding dimension L2

L1Live

Liquidity / utilization

90/100

30.5% utilized · $58k available

Utilization is below the 90% efficient band threshold with $58k still available to borrow.

Utilization: 30.5%
Available to borrow: $58k
Headroom to kink: +59.5 pp
Headroom to stress: +67.5 pp
Borrow APY: 0.74%
Lend APY: 0.23%

L2LiveBinding

LLAMMA soft liquidation

80/100

$45k in LLAMMA · 0.0% converted to crvUSD

LLAMMA holds $45k with 0.0% already converted to the borrowed asset. Soft liquidation depth is present but not dominant.

LLAMMA inventory: $45k
Still collateral: $45k
Converted to crvUSD: $0
Soft liq share: 0.0%
Share of market borrow: 0.0%

L3Live

Collateral / oracle

95/100

0.10% vs market · source DEX + CEX blend

Curve-reported WETH price tracks the external market within 0.10%. Oracle integrity looks healthy on this snapshot.

Curve collateral price: $2,695.4
Market VWAP: $2,692.5929
Absolute deviation: 0.10%
Price source: DEX + CEX blend
Top CEX venues: Origin ARM, Origin ARM, Uniswap V4 (Ethereum)

L4Live

Collateral liquidity

95/100

$546.6m DEX TVL · 21613.1× borrowed

External DEX depth for WETH is $546.6m across top pools (21613.1× outstanding borrows).

Top DEX TVL: $546.6m
24h DEX volume: $367.7m
Depth / borrowed: 21613.11×
Top pool: WETH / USDT 0.3% ($108.4m)
CEX 24h volume: $58.2m

L5Live

Rate / monetary policy

90/100

Semilog · borrow 0.74% (band 0.10% to 70.00%)

Semilog policy rates rise continuously with utilization (no hard kink). Current borrow APY is 0.74% within min 0.10% and max 70.00%.

Policy type: Semilog
Min rate APR: 0.10%
Max rate APR: 70.00%
Position in band: 1%
Borrow APY: 0.74%

L6Live

Liquidation execution

90/100

30d fee stress 0.09× hist median · Ethereum

Ethereum fee regime is near historical norms (0.09× median). Liquidation execution costs look manageable on this snapshot.

Stress ratio (30d): 0.09×
Mean fee (30d): 0.00009 ETH
Hist median: 0.00100 ETH
Elevated days (30d): 0
Latest fee: 0.00028 ETH (2026-09-24T00:00:00+00:00)
Fee source: Ethereum fee series

Advanced risk analytics

Position today, stress scenarios, and historical regime

Three views. Cross section shows where this market sits versus peers today. Stress shows what a chosen hypothetical shock does to util or soft liq inventory. Gas shows how liquidation execution fees have looked historically. Methodology.

Where this market stands today

Peer distributions, policy curve shape, and DEX exit venue concentration.

Peer distribution context

Where this market sits versus 23 listed LlamaLend markets (today's cross section). Soft liq and free liq sit as quartile text on the tiles. Only utilization keeps a full box plot.

Util percentile

30.5% util · higher P = tighter

Soft liq percentile

0.0% converted · peers Q1 0 · med 0 · Q3 0

Free liq percentile

P96

69.5% free · peers Q1 19 · med 27 · Q3 35

Peer IQR (Q1 to Q3)Peer medianThis market

Utilization % (primary peer distribution)

min 30.5%Q1 65.3%med 73.3%Q3 80.9%max 100.0%

n 23This market 30.5%

Semilog borrow rate curve

How borrow APR rises with utilization under the on chain semilog IRM (rate = min × (max/min)^util). A steeper high util slope means rate pressure accelerates if utilization keeps climbing.

Current util

30.5%

Implied borrow APR

0.71%

Headroom to kink

59.5 pp

Semilog rate curveKink 90%Stress 98%Current util (marker)

Collateral return distribution · WETH

Daily loss distribution (positive equals a down day). Historical VaR and CVaR use the upper (right) tail of losses. Status is from price history. Sample size is n=3109 from 2018-02-13 to 2026-09-25. GARCH is a parametric regime estimate. Treat it cautiously.

CVaR₉₉ hist (1d)

23.57%

Upper tail historical simulation

CVaR₉₉ GARCH (1d)

1686.71%

Theoretically motivated · parametric

VaR₉₅ hist (1d)

7.07%

Ann. vol σ

106.2%

Daily loss countVaR₉₅ (upper tail)CVaR₉₉ (upper tail)

Collateral DEX top N concentration

How concentrated exit liquidity is among sampled DEX pools (top 20 DEX pools (shares renormalized within sample)). Index 11 on house 0 to 100 scale (sum of squared shares × 100).

Top N concentration

0 to 100 house scale within sample

Top pool share (of sample)

20%

Pool share of sampled DEX TVLTop N index 11 (0 to 100 house scale. Values at or above 70 mean concentrated within the sample)

20 pools in sample · top pool 20% of sample TVL. Not full market HHI.

Structural PD (30d) · Theoretically motivated

2.09% to 13.59%

Asset value V is $45k. Default boundary D is $27k.

Base drift μ is 0%. Vol band is shown above.

Drift sensitivity: μ=0% → 7.22% · μ=3% → 7.11% · μ=5% → 7.04%

LlamaLend Merton uses on-chain borrower collateral mark-to-market (sum of user_state residual collateral + converted inventory). Unreliable under oracle staleness or thin liquidity. On-chain sum of user_state across 8 loans (residual collateral + converted inventory).

What could happen under stress

Single hypothetical events. Soft liq conversion under price drops is illustrative only. Shock sizes may use collateral loss quantiles when history exists.

Lender withdrawal shock

If lenders withdraw a share of supply, how high does utilization go? Marks crossings of monitoring kink / stress bands. Accounting identity under a fixed borrow book.

Util after shock

38.2%

Headroom to stress

59.8 pp

Remaining available

$41k

Flags

Clear

Below kinkAt/above kinkAt/above stressSelected shockKink 90%Stress 98%

X is percent of supply withdrawn. Y is utilization after the exit. Current util is 30.5%.

Soft liquidation inventory stress

This view is illustrative only. The conversion path is a convex stress proxy on residual inventory. Shock sizes use collateral loss quantiles when history is available.

Converted share

43.9%

Baseline 0.0% → +43.9 pp

Converted USD

$20k

Residual collateral

$25k

Vs market borrows

77.6%

Soft liq share pathSelected (−38%)50% elevated80% priority

Illustrative conversion only. Inventory $45k · already converted $0 (0.0% today).

Historical execution regime

Realized Ethereum gas fees over the last 90 days (chain gas history for execution context).

Gas regime median and P75 typical range

Historical fee distribution over the last 90 days. Median and P75 are the primary typical range framing because fees are right skewed. Mean±1σ is shown only as a secondary reference.

Hist median

0.00100 ETH

Hist P75

0.00240 ETH

Stress ratio 30d

0.09×

Daily avg feeHist median (primary)Hist P75 (primary)90d mean (secondary)

90 daily observations · latest 2026-09-24T00:00:00+00:00. Mean±σ omitted as primary band because fee distributions are right skewed.

Market risk recap

What is it?	Curve LlamaLend one way market WETH / crvUSD. Borrowers post WETH as collateral to borrow crvUSD.
Liquidity posture	Utilization is 30.5%. It is below the 90% efficient band threshold.. Available to borrow $58k of $83k supplied.
LLAMMA inventory	$45k is held in the LLAMMA AMM. 0.0% is already converted to crvUSD. 100.0% is still WETH.
Binding dimension	L2 LLAMMA soft liquidation (80/100). $45k in LLAMMA · 0.0% converted to crvUSD
Rates	Borrow APY 0.74% · Lend APY 0.23%.

Main risks

Utilization 30.5% is in the normal operating band for this LlamaLend market (below the 90% efficient band threshold), and LLAMMA soft liquidation inventory is not material.

Contracts

Market contract addresses

Vault, controller, and AMM (LLAMMA) addresses for this one way market.

Vault: 0x5AE2…0FEF
Controller: 0xaade…267b
LLAMMA (AMM): 0xb46a…6EdF
Monetary policy: 0xa6c7…cf1F

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