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 LlamaLendArbitrumIn range

CRV / crvUSD

Utilization is 49.4%. It is below the 90% efficient band threshold.. Borrow crvUSD (CRV collateral).

0xeEaF2ccB73A01deb38Eca2947d963D64CfDe6A32

Updated Sep 25, 2026, 3:22 PM

Utilization49.4%

Current 49.4%Kink 90%Stress 98%

48.6pp headroom to stress boundary (98%)

Soft liq share

0.0%

$319k LLAMMA inventory (mechanical conversion)

Available liquidity

$133k

$263k total supplied

Binding dimension

L3 60

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

90/100

49.4% utilized · $133k available

Utilization is below the 90% efficient band threshold with $133k still available to borrow.

Utilization: 49.4%
Available to borrow: $133k
Headroom to kink: +40.6 pp
Headroom to stress: +48.6 pp
Borrow APY: 18.59%
Lend APY: 8.78%

L2Live

LLAMMA soft liquidation

80/100

$319k in LLAMMA · 0.0% converted to crvUSD

LLAMMA holds $319k with 0.0% already converted to the borrowed asset. Soft liquidation depth is present but not dominant.

LLAMMA inventory: $319k
Still collateral: $319k
Converted to crvUSD: $0
Soft liq share: 0.0%
Share of market borrow: 0.0%

L3LiveBinding

Collateral / oracle

60/100

1.53% vs market · source DEX + CEX blend

Curve-reported CRV price diverges 1.53% from the external DEX + CEX blend. Large gaps raise soft liquidation and bad debt risk if the oracle lags a crash.

Curve collateral price: $0.35
Market VWAP: $0.3446
Absolute deviation: 1.53%
Price source: DEX + CEX blend
Top CEX venues: BitDelta, OKX, Binance

L4Live

Collateral liquidity

80/100

$648k DEX TVL · 5.0× borrowed

External DEX depth for CRV is $648k across top pools (5.0× outstanding borrows).

Top DEX TVL: $648k
24h DEX volume: $256k
Depth / borrowed: 4.99×
Top pool: CRV / WETH 0.3% ($520k)
CEX 24h volume: $45.4m

L5Live

Rate / monetary policy

90/100

Semilog · borrow 18.59% (band 5.00% to 60.00%)

Semilog policy rates rise continuously with utilization (no hard kink). Current borrow APY is 18.59% within min 5.00% and max 60.00%.

Policy type: Semilog
Min rate APR: 5.00%
Max rate APR: 60.00%
Position in band: 25%
Borrow APY: 18.59%

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

49.4% util · higher P = tighter

Soft liq percentile

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

Free liq percentile

P87

50.6% 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 49.4%

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

49.4%

Implied borrow APR

17.3%

Headroom to kink

40.6 pp

Semilog rate curveKink 90%Stress 98%Current util (marker)

Collateral return distribution · CRV

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=2234 from 2020-08-14 to 2026-09-25. GARCH is a parametric regime estimate. Treat it cautiously.

CVaR₉₉ hist (1d)

29.53%

Upper tail historical simulation

CVaR₉₉ GARCH (1d)

3071.71%

Theoretically motivated · parametric

VaR₉₅ hist (1d)

10.88%

Ann. vol σ

136.0%

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 65 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)

80%

Pool share of sampled DEX TVLTop N index 65 (0 to 100 house scale. Values at or above 70 mean concentrated within the sample)

20 pools in sample · top pool 80% of sample TVL. Not full market HHI.

Structural PD (30d) · Theoretically motivated

1.10% to 11.14%

Asset value V is $323k. Default boundary D is $158k.

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

Drift sensitivity: μ=0% → 5.12% · μ=3% → 5.05% · μ=5% → 5.01%

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 23 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

61.7%

Headroom to stress

36.3 pp

Remaining available

$81k

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 49.4%.

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

47.8%

Baseline 0.0% → +47.8 pp

Converted USD

$153k

Residual collateral

$166k

Vs market borrows

117.5%

Soft liq share pathSelected (−42%)50% elevated80% priority

Illustrative conversion only. Inventory $319k · already converted $0 (0.0% today).

Market risk recap

What is it?	Curve LlamaLend one way market CRV / crvUSD. Borrowers post CRV as collateral to borrow crvUSD.
Liquidity posture	Utilization is 49.4%. It is below the 90% efficient band threshold.. Available to borrow $133k of $263k supplied.
LLAMMA inventory	$319k is held in the LLAMMA AMM. 0.0% is already converted to crvUSD. 100.0% is still CRV.
Binding dimension	L3 Collateral / oracle (60/100). 1.53% vs market · source DEX + CEX blend
Rates	Borrow APY 18.59% · Lend APY 8.78%.

Main risks

Utilization 49.4% 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: 0xeEaF…6A32
Controller: 0x88f8…47Ab
LLAMMA (AMM): 0x7420…9424
Monetary policy: 0x1F56…7B21

Deposit on Curve ↗Borrow on Curve ↗