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 LlamaLendArbitrumReview

ARB / crvUSD

99.9% of LLAMMA inventory ($28k) is converted to crvUSD. Soft liquidation is band saturated and the mechanism is working.. Borrow crvUSD (ARB collateral).

0xa6C2E6A83D594e862cDB349396856f7FFE9a979B

Updated Sep 25, 2026, 3:26 PM

Utilization66.7%

Current 66.7%Kink 90%Stress 98%

31.3pp headroom to stress boundary (98%)

Soft liq share

99.9%

$28k LLAMMA inventory (mechanical conversion)

Available liquidity

$24k

$72k total supplied

Binding dimension

L2 20

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

66.7% utilized · $24k available

Utilization is below the 90% efficient band threshold with $24k still available to borrow.

Utilization: 66.7%
Available to borrow: $24k
Headroom to kink: +23.3 pp
Headroom to stress: +31.3 pp
Borrow APY: 0.00%
Lend APY: 0.00%

L2LiveBinding

LLAMMA soft liquidation

20/100

$28k in LLAMMA · 99.9% converted to crvUSD

99.9% of LLAMMA inventory is already converted from ARB to crvUSD. That is LLAMMA operating as designed when price has moved through soft liquidation bands. Treat as priority only when paired with thin free liquidity or a wide oracle to AMM gap.

LLAMMA inventory: $28k
Still collateral: $23
Converted to crvUSD: $28k
Soft liq share: 99.9%
Share of market borrow: 59.1%

L3Live

Collateral / oracle

80/100

1.16% vs market · source DEX + CEX blend

Curve-reported ARB price tracks the external market within 1.16%. Oracle integrity looks healthy on this snapshot.

Curve collateral price: $0.22
Market VWAP: $0.2226
Absolute deviation: 1.16%
Price source: DEX + CEX blend
Top CEX venues: FameEX, BitDelta, Binance

L4Live

Collateral liquidity

95/100

$4.3m DEX TVL · 89.3× borrowed

External DEX depth for ARB is $4.3m across top pools (89.3× outstanding borrows).

Top DEX TVL: $4.3m
24h DEX volume: $16.7m
Depth / borrowed: 89.31×
Top pool: ARB / WETH 0.05% ($1.8m)
CEX 24h volume: $228.6m

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%

L6Partial

Liquidation execution

90/100

30d fee stress 0.16× hist median · Arbitrum

Arbitrum fee regime is near historical norms (0.16× median). Liquidation execution costs look manageable on this snapshot.

Stress ratio (30d): 0.16×
Mean fee (30d): 0.00275 ETH
Hist median: 0.01756 ETH
Elevated days (30d): 0
Latest fee: 0.00320 ETH (2026-07-20)
Fee source: Arbitrum 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

P26

66.7% util · higher P = tighter

Soft liq percentile

P91

99.9% converted · peers Q1 0 · med 0 · Q3 0

Free liq percentile

P70

33.3% 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 66.7%

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

66.7%

Implied borrow APR

0.0000%

Headroom to kink

23.3 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 21 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)

43%

Pool share of sampled DEX TVLTop N index 21 (0 to 100 house scale. Values at or above 70 mean concentrated within the sample)

20 pools in sample · top pool 43% of sample TVL. Not full market HHI.

Structural PD (30d) · Theoretically motivated

100.00%

Asset value V is $28k. Default boundary D is $74k.

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

83.4%

Headroom to stress

14.6 pp

Remaining available

$10k

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 66.7%.

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

99.9%

Baseline 99.9% → +0.0 pp

Converted USD

$28k

Residual collateral

$17

Vs market borrows

59.1%

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

Illustrative conversion only. Inventory $28k · already converted $28k (99.9% today).

Market risk recap

What is it?	Curve LlamaLend one way market ARB / crvUSD. Borrowers post ARB as collateral to borrow crvUSD.
Liquidity posture	99.9% of LLAMMA inventory ($28k) is converted to crvUSD. Soft liquidation is band saturated and the mechanism is working.. Available to borrow $24k of $72k supplied.
LLAMMA inventory	$28k is held in the LLAMMA AMM. 99.9% is already converted to crvUSD. 0.1% is still ARB.
Binding dimension	L2 LLAMMA soft liquidation (20/100). $28k in LLAMMA · 99.9% converted to crvUSD
Rates	Borrow APY 0.00% · Lend APY 0.00%.

Main risks

99.9% of the $28k held in LLAMMA has converted from ARB to crvUSD. That is LLAMMA operating as designed when price moves through soft liquidation bands. Treat as priority only with thin free liquidity or a wide oracle gap.

Contracts

Market contract addresses

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

Vault: 0xa6C2…979B
Controller: 0xeCF9…Da8f
LLAMMA (AMM): 0x6E72…dB37
Monetary policy: 0x1eec…6BF0

Deposit on Curve ↗Borrow on Curve ↗