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 LlamaLendArbitrumElevated

IBTC / crvUSD

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

0xe296eE7F83D1d95B3f7827fF1D08Fe1E4cF09d8d

Updated Sep 25, 2026, 2:42 PM

Utilization100%

Current 100%Kink 90%Stress 98%

0pp headroom to stress boundary (98%)

Soft liq share

99.8%

$179 LLAMMA inventory (mechanical conversion)

Available liquidity

$82k total supplied

Binding dimension

L3 20

Collateral / oracle · 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 L3

L1Live

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

$179 in LLAMMA · 99.8% converted to crvUSD

LLAMMA holds $179 with 99.8% already converted to the borrowed asset. Soft liquidation depth is present but not dominant.

LLAMMA inventory: $179
Still collateral: $0
Converted to crvUSD: $178
Soft liq share: 99.8%
Share of market borrow: 0.2%

L3LiveBinding

Collateral / oracle

20/100

5.11% vs market · source DEX + CEX blend

Curve-reported IBTC price diverges 5.11% from the external DEX + CEX blend. Large gaps raise soft liquidation and bad debt risk if the oracle lags a crash.

Curve collateral price: $46,213.07
Market VWAP: $43,852.4421
Absolute deviation: 5.11%
Price source: DEX + CEX blend
Top CEX venues: Curve (Arbitrum)

L4Live

Collateral liquidity

25/100

$10k DEX TVL · 0.1× borrowed

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

Top DEX TVL: $10k
24h DEX volume: $437
Depth / borrowed: 0.13×
Top pool: DLCBTC / USDT 20% ($2k)
CEX 24h volume: $85

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

P91

100.0% util · higher P = tighter

Soft liq percentile

P87

99.8% 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 16 DEX pools (shares renormalized within sample)). Index 19 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)

30%

Pool share of sampled DEX TVLTop N index 19 (0 to 100 house scale. Values at or above 70 mean concentrated within the sample)

16 pools in sample · top pool 30% of sample TVL. Not full market HHI.

Structural PD (30d) · Theoretically motivated

100.00%

Asset value V is $178. Default boundary D is $116k.

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 16 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

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

99.8%

Baseline 99.8% → +0.1 pp

Converted USD

$178

Residual collateral

Vs market borrows

0.2%

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

Illustrative conversion only. Inventory $179 · already converted $178 (99.8% today).

Market risk recap

What is it?	Curve LlamaLend one way market IBTC / crvUSD. Borrowers post IBTC as collateral to borrow crvUSD.
Liquidity posture	Utilization 100.0% at stablecoin stress boundary (98.0%). Available to borrow $0 of $82k supplied.
LLAMMA inventory	$179 is held in the LLAMMA AMM. 99.8% is already converted to crvUSD. 0.2% is still IBTC.
Binding dimension	L3 Collateral / oracle (20/100). 5.11% vs market · source DEX + CEX blend
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: 0xe296…9d8d
Controller: 0x3e29…eDf7
LLAMMA (AMM): 0x4A69…D54A
Monetary policy: 0x1eec…6BF0

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