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 LlamaLendOptimismIn range

wstETH / USDC

Utilization is 88.4%. It is below the 90% efficient band threshold.. Borrow USDC (wstETH collateral).

0xaB504518C7B83ED6C67718877C4FFc2B52b29436

Updated Sep 25, 2026, 3:26 PM

Utilization88.4%

Current 88.4%Kink 90%Stress 98%

9.6pp headroom to stress boundary (98%)

Soft liq share

0.0%

$183k LLAMMA inventory (mechanical conversion)

Available liquidity

$12k

$100k 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

88.4% utilized · $12k available

Utilization is below the 90% efficient band threshold with $12k still available to borrow.

Utilization: 88.4%
Available to borrow: $12k
Headroom to kink: +1.6 pp
Headroom to stress: +9.6 pp
Borrow APY: 6.76%
Lend APY: 5.35%

L2LiveBinding

LLAMMA soft liquidation

80/100

$183k in LLAMMA · 0.0% converted to USDC

LLAMMA holds $183k with 0.0% already converted to the borrowed asset. Soft liquidation depth is present but not dominant.

LLAMMA inventory: $183k
Still collateral: $183k
Converted to USDC: $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 wstETH price tracks the external market within 0.10%. Oracle integrity looks healthy on this snapshot.

Curve collateral price: $3,348.58
Market VWAP: $3,351.9027
Absolute deviation: 0.10%
Price source: DEX + CEX blend
Top CEX venues: Velodrome SlipStream (Optimism), Velodrome SlipStream (Optimism), Solidly V3 (Optimism)

L4Live

Collateral liquidity

95/100

$1.3m DEX TVL · 14.6× borrowed

External DEX depth for wstETH is $1.3m across top pools (14.6× outstanding borrows).

Top DEX TVL: $1.3m
24h DEX volume: $1.1m
Depth / borrowed: 14.59×
Top pool: wstETH / WETH 0.01% ($512k)
CEX 24h volume: $1.1m

L5Live

Rate / monetary policy

85/100

Secondary · u_inf 100.3% · 11.8 pp headroom

Secondary (hyperbolic) policy. Rates track the mint market AMM rate and accelerate as utilization approaches u_inf (100.3%).

Policy type: Secondary
u_inf (asymptote): 100.3%
Headroom to u_inf: +11.8 pp
Borrow APY: 6.76%
Calibration kink (fallback): 90.0%

L6Partial

Liquidation execution

90/100

30d fee stress 0.97× hist median · optimism

optimism fee regime is near historical norms (0.97× median). Liquidation execution costs look manageable on this snapshot.

Stress ratio (30d): 0.97×
Mean fee (30d): 0.00000 ETH
Hist median: 0.00000 ETH
Elevated days (30d): 0
Latest fee: 0.00000 ETH (2026-09-25)
Fee source: RPC feeHistory (partial)

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

P83

88.4% util · higher P = tighter

Soft liq percentile

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

Free liq percentile

P13

12.0% 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 88.4%

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

88.4%

Implied borrow APR

2680560000.0%

Headroom to u_inf

11.8 pp

Secondary rate curveKink 90%u_inf 100%Current util (marker)

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

Collateral return distribution · wstETH

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=1787 from 2021-10-07 to 2026-09-25. GARCH is a parametric regime estimate. Treat it cautiously.

CVaR₉₉ hist (1d)

17.65%

Upper tail historical simulation

CVaR₉₉ GARCH (1d)

1515.42%

Theoretically motivated · parametric

VaR₉₅ hist (1d)

6.50%

Ann. vol σ

81.3%

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 22 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)

40%

Pool share of sampled DEX TVLTop N index 22 (0 to 100 house scale. Values at or above 70 mean concentrated within the sample)

20 pools in sample · top pool 40% of sample TVL. Not full market HHI.

Structural PD (30d) · Theoretically motivated

0.16% to 4.71%

Asset value V is $183k. Default boundary D is $108k.

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

Drift sensitivity: μ=0% → 1.55% · μ=3% → 1.51% · μ=5% → 1.48%

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 5 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

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 88.4%.

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

27.6%

Baseline 0.0% → +27.6 pp

Converted USD

$50k

Residual collateral

$132k

Vs market borrows

57.2%

Soft liq share pathSelected (−22%)50% elevated80% priority

Illustrative conversion only. Inventory $183k · already converted $0 (0.0% today).

Market risk recap

What is it?	Curve LlamaLend one way market wstETH / USDC. Borrowers post wstETH as collateral to borrow USDC.
Liquidity posture	Utilization is 88.4%. It is below the 90% efficient band threshold.. Available to borrow $12k of $100k supplied.
LLAMMA inventory	$183k is held in the LLAMMA AMM. 0.0% is already converted to USDC. 100.0% is still wstETH.
Binding dimension	L2 LLAMMA soft liquidation (80/100). $183k in LLAMMA · 0.0% converted to USDC
Rates	Borrow APY 6.76% · Lend APY 5.35%.

Main risks

Utilization 88.4% 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: 0xaB50…9436
Controller: 0xb5EC…BCAA
LLAMMA (AMM): 0x1C60…C9dc
Monetary policy: 0x59D8…47d2

Deposit on Curve ↗Borrow on Curve ↗