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 LlamaLendFraxtalIn range

sfrxUSD / crvUSD

Utilization is 68.0%. It is below the 90% efficient band threshold.. Borrow crvUSD (sfrxUSD collateral).

0x0Edf4a3762Deb5329ECdbDEDA98d287aE41fbB7e

Updated Sep 25, 2026, 3:24 PM

Utilization68%

Current 68%Kink 90%Stress 98%

30.0pp headroom to stress boundary (98%)

Soft liq share

0.7%

$42k LLAMMA inventory (mechanical conversion)

Available liquidity

$18k

$57k 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

68.0% utilized · $18k available

Utilization is below the 90% efficient band threshold with $18k still available to borrow.

Utilization: 68.0%
Available to borrow: $18k
Headroom to kink: +22.0 pp
Headroom to stress: +30.0 pp
Borrow APY: 5.18%
Lend APY: 3.49%

L2LiveBinding

LLAMMA soft liquidation

80/100

$42k in LLAMMA · 0.7% converted to crvUSD

LLAMMA holds $42k with 0.7% already converted to the borrowed asset. Soft liquidation depth is present but not dominant.

LLAMMA inventory: $42k
Still collateral: $41k
Converted to crvUSD: $274
Soft liq share: 0.7%
Share of market borrow: 0.7%

L3Live

Collateral / oracle

95/100

0.02% vs market · source DEX + CEX blend

Curve-reported sfrxUSD price tracks the external market within 0.02%. Oracle integrity looks healthy on this snapshot.

Curve collateral price: $1.21
Market VWAP: $1.2103
Absolute deviation: 0.02%
Price source: DEX + CEX blend
Top CEX venues: Curve (Ethereum), Curve (Fraxtal), Balancer V2 (Fraxtal)

L4Live

Collateral liquidity

80/100

$95k DEX TVL · 2.4× borrowed

External DEX depth for sfrxUSD is $95k across top pools (2.4× outstanding borrows).

Top DEX TVL: $95k
24h DEX volume: $1k
Depth / borrowed: 2.43×
Top pool: dUSD / sFRAX ($88k)
CEX 24h volume: $23k

L5Live

Rate / monetary policy

90/100

Semilog · borrow 5.18% (band 0.50% to 15.00%)

Semilog policy rates rise continuously with utilization (no hard kink). Current borrow APY is 5.18% within min 0.50% and max 15.00%.

Policy type: Semilog
Min rate APR: 0.50%
Max rate APR: 15.00%
Position in band: 32%
Borrow APY: 5.18%

L6Partial

Liquidation execution

90/100

30d fee stress 1.00× hist median · fraxtal

fraxtal fee regime is near historical norms (1.00× median). Liquidation execution costs look manageable on this snapshot.

Stress ratio (30d): 1.00×
Mean fee (30d): 0.00000 ETH
Hist median: 0.00000 ETH
Elevated days (30d): 5
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

P30

68.0% util · higher P = tighter

Soft liq percentile

P74

0.7% converted · peers Q1 0 · med 0 · Q3 0

Free liq percentile

P65

32.0% 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 68.0%

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

68.0%

Implied borrow APR

4.97%

Headroom to kink

22.0 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 20 DEX pools (shares renormalized within sample)). Index 86 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 86 (0 to 100 house scale. Values at or above 70 mean concentrated within the sample)

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

Structural PD (30d) · Monitoring estimate

—

Asset value V is $42k. Default boundary D is $40k.

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 12 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

85.0%

Headroom to stress

13.0 pp

Remaining available

$7k

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 68.0%.

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

26.0%

Baseline 0.7% → +25.3 pp

Converted USD

$11k

Residual collateral

$31k

Vs market borrows

27.7%

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

Illustrative conversion only. Inventory $42k · already converted $274 (0.7% today).

Market risk recap

What is it?	Curve LlamaLend one way market sfrxUSD / crvUSD. Borrowers post sfrxUSD as collateral to borrow crvUSD.
Liquidity posture	Utilization is 68.0%. It is below the 90% efficient band threshold.. Available to borrow $18k of $57k supplied.
LLAMMA inventory	$42k is held in the LLAMMA AMM. 0.7% is already converted to crvUSD. 99.3% is still sfrxUSD.
Binding dimension	L2 LLAMMA soft liquidation (80/100). $42k in LLAMMA · 0.7% converted to crvUSD
Rates	Borrow APY 5.18% · Lend APY 3.49%.

Main risks

Utilization 68.0% 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: 0x0Edf…bB7e
Controller: 0xB4Eb…e675
LLAMMA (AMM): 0x1CEe…0940
Monetary policy: 0xcd4f…7205

Deposit on Curve ↗Borrow on Curve ↗