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

svZCHF / crvUSD

Utilization is 52.8%. It is below the 90% efficient band threshold.. Borrow crvUSD (svZCHF collateral).

0xCb6e2c3d9Dba8fe6245B2c969320F2485dFce2FD

Updated Sep 25, 2026, 3:23 PM

Utilization52.8%

Current 52.8%Kink 90%Stress 98%

45.2pp headroom to stress boundary (98%)

Soft liq share

0.0%

$294k LLAMMA inventory (mechanical conversion)

Available liquidity

$179k

$379k total supplied

Binding dimension

L4 25

Collateral liquidity · 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 L4

L1Live

Liquidity / utilization

90/100

52.8% utilized · $179k available

Utilization is below the 90% efficient band threshold with $179k still available to borrow.

Utilization: 52.8%
Available to borrow: $179k
Headroom to kink: +37.2 pp
Headroom to stress: +45.2 pp
Borrow APY: 2.71%
Lend APY: 1.28%

L2Live

LLAMMA soft liquidation

80/100

$294k in LLAMMA · 0.0% converted to crvUSD

LLAMMA holds $294k with 0.0% already converted to the borrowed asset. Soft liquidation depth is present but not dominant.

LLAMMA inventory: $294k
Still collateral: $294k
Converted to crvUSD: $0
Soft liq share: 0.0%
Share of market borrow: 0.0%

L3Partial

Collateral / oracle

60/100

2.56% vs market · source DEX VWAP

Curve-reported svZCHF price diverges 2.56% from the external DEX VWAP. Large gaps raise soft liquidation and bad debt risk if the oracle lags a crash.

Curve collateral price: $1.24
Market VWAP: $1.2082
Absolute deviation: 2.56%
Price source: DEX VWAP
Top CEX venues: —

L4LiveBinding

Collateral liquidity

25/100

$43k DEX TVL · 0.2× borrowed

Top DEX pools for svZCHF hold less TVL than outstanding market borrows. Soft liquidation exits may move the market.

Top DEX TVL: $43k
24h DEX volume: $467
Depth / borrowed: 0.22×
Top pool: fxSAVE / svZCHF 0.05% ($36k)
CEX 24h volume: —

L5Live

Rate / monetary policy

85/100

Secondary · u_inf 102.0% · 49.2 pp headroom

Secondary (hyperbolic) policy. Rates track the mint market AMM rate and accelerate as utilization approaches u_inf (102.0%).

Policy type: Secondary
u_inf (asymptote): 102.0%
Headroom to u_inf: +49.2 pp
Borrow APY: 2.71%
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

P13

52.8% util · higher P = tighter

Soft liq percentile

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

Free liq percentile

P83

47.2% 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 52.8%

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

52.8%

Implied borrow APR

2522880000.0%

Headroom to u_inf

49.2 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 8 DEX pools (shares renormalized within sample)). Index 70 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)

83%

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

8 pools in sample · top pool 83% of sample TVL. Not full market HHI.

Structural PD (30d) · Monitoring estimate

—

Asset value V is $295k. Default boundary D is $211k.

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 9 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

66.0%

Headroom to stress

32.0 pp

Remaining available

$103k

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 52.8%.

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

$75k

Residual collateral

$219k

Vs market borrows

37.4%

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

Illustrative conversion only. Inventory $294k · 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 svZCHF / crvUSD. Borrowers post svZCHF as collateral to borrow crvUSD.
Liquidity posture	Utilization is 52.8%. It is below the 90% efficient band threshold.. Available to borrow $179k of $379k supplied.
LLAMMA inventory	$294k is held in the LLAMMA AMM. 0.0% is already converted to crvUSD. 100.0% is still svZCHF.
Binding dimension	L4 Collateral liquidity (25/100). $43k DEX TVL · 0.2× borrowed
Rates	Borrow APY 2.71% · Lend APY 1.28%.

Main risks

Utilization 52.8% 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: 0xCb6e…e2FD
Controller: 0xFd85…F043
LLAMMA (AMM): 0xc8C4…40a3
Monetary policy: 0x547D…4921

Deposit on Curve ↗Borrow on Curve ↗