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

WETH / crvUSD

Utilization is 58.9%. It is below the 90% efficient band threshold.. Borrow crvUSD (WETH collateral).

0xd3cA9BEc3e681b0f578FD87f20eBCf2B7e0bb739

Updated Sep 25, 2026, 3:23 PM

Utilization58.9%

Current 58.9%Kink 90%Stress 98%

39.1pp headroom to stress boundary (98%)

Soft liq share

0.0%

$372k LLAMMA inventory (mechanical conversion)

Available liquidity

$95k

$232k 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

58.9% utilized · $95k available

Utilization is below the 90% efficient band threshold with $95k still available to borrow.

Utilization: 58.9%
Available to borrow: $95k
Headroom to kink: +31.1 pp
Headroom to stress: +39.1 pp
Borrow APY: 3.95%
Lend APY: 2.31%

L2LiveBinding

LLAMMA soft liquidation

80/100

$372k in LLAMMA · 0.0% converted to crvUSD

LLAMMA holds $372k with 0.0% already converted to the borrowed asset. Soft liquidation depth is present but not dominant.

LLAMMA inventory: $372k
Still collateral: $372k
Converted to crvUSD: $2
Soft liq share: 0.0%
Share of market borrow: 0.0%

L3Live

Collateral / oracle

95/100

0.03% vs market · source DEX + CEX blend

Curve-reported WETH price tracks the external market within 0.03%. Oracle integrity looks healthy on this snapshot.

Curve collateral price: $2,694.76
Market VWAP: $2,694.0105
Absolute deviation: 0.03%
Price source: DEX + CEX blend
Top CEX venues: Uniswap V3 (Arbitrum One), Uniswap V3 (Arbitrum One), Uniswap V3 (Arbitrum One)

L4Live

Collateral liquidity

95/100

$101.4m DEX TVL · 743.6× borrowed

External DEX depth for WETH is $101.4m across top pools (743.6× outstanding borrows).

Top DEX TVL: $101.4m
24h DEX volume: $198.2m
Depth / borrowed: 743.59×
Top pool: USDC / WETH 0.05% ($36.1m)
CEX 24h volume: $189.5m

L5Live

Rate / monetary policy

90/100

Semilog · borrow 3.95% (band 0.10% to 50.00%)

Semilog policy rates rise continuously with utilization (no hard kink). Current borrow APY is 3.95% within min 0.10% and max 50.00%.

Policy type: Semilog
Min rate APR: 0.10%
Max rate APR: 50.00%
Position in band: 8%
Borrow APY: 3.95%

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

P17

58.9% util · higher P = tighter

Soft liq percentile

P65

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

Free liq percentile

P78

41.1% 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 58.9%

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

58.9%

Implied borrow APR

4.16%

Headroom to kink

31.1 pp

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

Collateral return distribution · WETH

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=3109 from 2018-02-13 to 2026-09-25. GARCH is a parametric regime estimate. Treat it cautiously.

CVaR₉₉ hist (1d)

23.57%

Upper tail historical simulation

CVaR₉₉ GARCH (1d)

1686.71%

Theoretically motivated · parametric

VaR₉₅ hist (1d)

7.07%

Ann. vol σ

106.2%

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 28 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)

38%

Pool share of sampled DEX TVLTop N index 28 (0 to 100 house scale. Values at or above 70 mean concentrated within the sample)

20 pools in sample · top pool 38% of sample TVL. Not full market HHI.

Structural PD (30d) · Theoretically motivated

0.00% to 1.24%

Asset value V is $372k. Default boundary D is $147k.

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

Drift sensitivity: μ=0% → 0.19% · μ=3% → 0.19% · μ=5% → 0.18%

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 32 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

73.6%

Headroom to stress

24.4 pp

Remaining available

$49k

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 58.9%.

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

43.9%

Baseline 0.0% → +43.9 pp

Converted USD

$164k

Residual collateral

$209k

Vs market borrows

119.9%

Soft liq share pathSelected (−38%)50% elevated80% priority

Illustrative conversion only. Inventory $372k · already converted $2 (0.0% today).

Market risk recap

What is it?	Curve LlamaLend one way market WETH / crvUSD. Borrowers post WETH as collateral to borrow crvUSD.
Liquidity posture	Utilization is 58.9%. It is below the 90% efficient band threshold.. Available to borrow $95k of $232k supplied.
LLAMMA inventory	$372k is held in the LLAMMA AMM. 0.0% is already converted to crvUSD. 100.0% is still WETH.
Binding dimension	L2 LLAMMA soft liquidation (80/100). $372k in LLAMMA · 0.0% converted to crvUSD
Rates	Borrow APY 3.95% · Lend APY 2.31%.

Main risks

Utilization 58.9% 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: 0xd3cA…b739
Controller: 0xB5c6…365d
LLAMMA (AMM): 0x5712…282f
Monetary policy: 0xec48…5901

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