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 MainnetElevated

fxSAVE / crvUSD

Utilization 99.1% at stablecoin stress boundary (98.0%). Borrow crvUSD (fxSAVE collateral).

0x7430f11Eeb64a4ce50C8f92177485d34C48DA72c

Updated Sep 25, 2026, 2:43 PM

Utilization99.1%

Current 99.1%Kink 90%Stress 98%

0pp headroom to stress boundary (98%)

Soft liq share

0.0%

$470k LLAMMA inventory (mechanical conversion)

Available liquidity

$3k

$373k total supplied

Binding dimension

L1 25

Liquidity / utilization · 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 L1

L1LiveBinding

Liquidity / utilization

25/100

99.1% utilized · $3k available

Utilization is at the 98.0% stablecoin stress boundary. Lender withdrawal capacity is thin.

Utilization: 99.1%
Available to borrow: $3k
Headroom to kink: -9.1 pp
Headroom to stress: -1.1 pp
Borrow APY: 21.86%
Lend APY: 21.64%

L2Live

LLAMMA soft liquidation

80/100

$470k in LLAMMA · 0.0% converted to crvUSD

LLAMMA holds $470k with 0.0% already converted to the borrowed asset. Soft liquidation depth is present but not dominant.

LLAMMA inventory: $470k
Still collateral: $470k
Converted to crvUSD: $0
Soft liq share: 0.0%
Share of market borrow: 0.0%

L3Live

Collateral / oracle

95/100

0.05% vs market · source DEX + CEX blend

Curve-reported fxSAVE price tracks the external market within 0.05%. Oracle integrity looks healthy on this snapshot.

Curve collateral price: $1.12
Market VWAP: $1.1206
Absolute deviation: 0.05%
Price source: DEX + CEX blend
Top CEX venues: Curve (Ethereum)

L4Live

Collateral liquidity

65/100

$579k DEX TVL · 1.6× borrowed

External DEX depth for fxSAVE is $579k across top pools (1.6× outstanding borrows).

Top DEX TVL: $579k
24h DEX volume: $3k
Depth / borrowed: 1.57×
Top pool: fxSAVE / scrvUSD ($539k)
CEX 24h volume: $3k

L5Live

Rate / monetary policy

40/100

Secondary · u_inf 102.0% · 2.9 pp headroom

Utilization is within 2.9 pp of the Secondary policy asymptote (u_inf). Hyperbolic rates accelerate sharply in this region.

Policy type: Secondary
u_inf (asymptote): 102.0%
Headroom to u_inf: +2.9 pp
Borrow APY: 21.86%
Calibration kink (fallback): 90.0%

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

P87

99.1% util · higher P = tighter

Soft liq percentile

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

Free liq percentile

0.9% 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 99.1%

Secondary borrow rate curve

Policy shaped curve forced through today's observed borrow APY (AMM rate backed out so the path hits current util). Shows how rates would climb toward u_inf under the policy shape.

Current util

99.1%

Implied borrow APR

29.8%

Headroom to u_inf

2.9 pp

Secondary rate curveKink 90%u_inf 102%Current util (marker)

AMM base rate inferred from today's borrow APY at current util.

Collateral return tail (CVaR)

No price id mapping for this collateral symbol.

Collateral DEX top N concentration

How concentrated exit liquidity is among sampled DEX pools (top 11 DEX pools (shares renormalized within sample)). Index 87 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)

93%

Pool share of sampled DEX TVLTop N index 87 (0 to 100 house scale. Values at or above 70 mean concentrated within the sample)

11 pools in sample · top pool 93% of sample TVL. Not full market HHI.

Structural PD (30d) · Monitoring estimate

—

Asset value V is $470k. Default boundary D is $378k.

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

Drift sensitivity: μ=0% → — · μ=3% → — · μ=5% → —

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 11 loans (residual collateral + converted inventory). Volatility input missing.

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

100.0%

Headroom to stress

-2.0 pp

Remaining available

Flags

Priority

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 99.1%.

Soft liquidation inventory stress

This view is illustrative only. The conversion path is a convex stress proxy on residual inventory under price drops.

Converted share

25.5%

Baseline 0.0% → +25.5 pp

Converted USD

$120k

Residual collateral

$350k

Vs market borrows

32.4%

Soft liq share pathSelected (−20%)50% elevated80% priority

Illustrative conversion only. Inventory $470k · 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 fxSAVE / crvUSD. Borrowers post fxSAVE as collateral to borrow crvUSD.
Liquidity posture	Utilization 99.1% at stablecoin stress boundary (98.0%). Available to borrow $3k of $373k supplied.
LLAMMA inventory	$470k is held in the LLAMMA AMM. 0.0% is already converted to crvUSD. 100.0% is still fxSAVE.
Binding dimension	L1 Liquidity / utilization (25/100). 99.1% utilized · $3k available
Rates	Borrow APY 21.86% · Lend APY 21.64%.

Main risks

Market utilization is 99.1% at the 98.0% stablecoin stress boundary. Lender withdrawal capacity is thin. Monitor available liquidity closely.

Contracts

Market contract addresses

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

Vault: 0x7430…A72c
Controller: 0x8035…1E05
LLAMMA (AMM): 0x9D52…F99b
Monetary policy: 0x1072…86Ac

Deposit on Curve ↗Borrow on Curve ↗