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

UwU / crvUSD

Utilization 100.0% at stablecoin stress boundary (98.0%). Borrow crvUSD (UwU collateral).

0x7586C58bf6292B3C9DeFC8333fc757d6c5dA0f7E

Updated Sep 25, 2026, 3:24 PM

Utilization100%

Current 100%Kink 90%Stress 98%

0pp headroom to stress boundary (98%)

Soft liq share

100.0%

$3k LLAMMA inventory (mechanical conversion)

Available liquidity

$54k 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

100.0% utilized · $0 available

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

Utilization: 100.0%
Available to borrow: $0
Headroom to kink: -10.0 pp
Headroom to stress: -2.0 pp
Borrow APY: 0.00%
Lend APY: 0.00%

L2Live

LLAMMA soft liquidation

85/100

$3k in LLAMMA · 100.0% converted to crvUSD

LLAMMA holds $3k with 100.0% already converted to the borrowed asset. Soft liquidation depth is present but not dominant.

LLAMMA inventory: $3k
Still collateral: $0
Converted to crvUSD: $3k
Soft liq share: 100.0%
Share of market borrow: 4.9%

L3Unavailable

Collateral / oracle

—

Oracle vs market price not resolved

Market price quotes were incomplete for a deviation check against the Curve-reported collateral price.

Curve collateral price: —
Market VWAP: —
Deviation: —
Price source: —

L4Live

Collateral liquidity

95/100

$1.4m DEX TVL · 26.0× borrowed

External DEX depth for UwU is $1.4m across top pools (26.0× outstanding borrows).

Top DEX TVL: $1.4m
24h DEX volume: $0
Depth / borrowed: 26.01×
Top pool: UwU / DAI 1% ($1.3m)
CEX 24h volume: —

L5Live

Rate / monetary policy

75/100

Semilog · borrow 0.00% (band 0.00% to 0.00%)

Semilog policy rates rise continuously with utilization (no hard kink). Current borrow APY is 0.00% within min 0.00% and max 0.00%.

Policy type: Semilog
Min rate APR: 0.00%
Max rate APR: 0.00%
Position in band: —
Borrow APY: 0.00%

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

P91

100.0% util · higher P = tighter

Soft liq percentile

P96

100.0% converted · peers Q1 0 · med 0 · Q3 0

Free liq percentile

0.0% 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 100.0%

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

100.0%

Implied borrow APR

0.0000%

Headroom to kink

-10.0 pp

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

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 9 DEX pools (shares renormalized within sample)). Index 91 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)

95%

Pool share of sampled DEX TVLTop N index 91 (0 to 100 house scale. Values at or above 70 mean concentrated within the sample)

9 pools in sample · top pool 95% of sample TVL. Not full market HHI.

Structural PD (30d) · Monitoring estimate

—

Asset value V is $106k. Default boundary D is $120k.

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

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

Full borrower MtM unavailable. Fallback uses LLAMMA inventory plus a loan-discount collateral floor for healthy debt (excess collateral ignored → PD biased high). Unreliable under oracle staleness or thin liquidity. 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 100.0%.

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

100.0%

Baseline 100.0% → +0.0 pp

Converted USD

$3k

Residual collateral

Vs market borrows

4.9%

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

Illustrative conversion only. Inventory $3k · already converted $3k (100.0% 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 UwU / crvUSD. Borrowers post UwU as collateral to borrow crvUSD.
Liquidity posture	Utilization 100.0% at stablecoin stress boundary (98.0%). Available to borrow $0 of $54k supplied.
LLAMMA inventory	$3k is held in the LLAMMA AMM. 100.0% is already converted to crvUSD. 0.0% is still UwU.
Binding dimension	L1 Liquidity / utilization (25/100). 100.0% utilized · $0 available
Rates	Borrow APY 0.00% · Lend APY 0.00%.

Main risks

Market utilization is 100.0% 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: 0x7586…0f7E
Controller: 0x09dB…e16B
LLAMMA (AMM): 0x6BE6…07b1
Monetary policy: 0x8B1C…ce19

Deposit on Curve ↗Borrow on Curve ↗