Blockworks Advisory: Proposal for Risk Assessment and Market Monitoring

Grants
1

Blockworks Advisory proposes to provide risk assessment and ongoing monitoring across:

  1. crvUSD mint markets, PegKeepers, and related credit exposure
  2. Llamalend isolated markets and LLAMMA infrastructure

The mandate would focus on the immediate needs identified by Curve:

  • Assessing new collateral and material market changes
  • Recommending risk parameters including debt ceilings, LLAMA settings and monetary policy
  • Monitoring active markets
  • Identifying deteriorating conditions
  • Escalating material risks
  • Publishing concise, decision focused reports
  • Maintaining reusable monitoring infrastructure

Besides, we plan to support the DAO in resolving any outstanding pending issue with priority (e.g. impaired market resolution).

We have a relevant track record in risk management engagements, including the risk council of Ethena (4 consecutive terms) and Spark. The team has years of experience spanning traditional finance, academics, DeFi and data science.

As for the economics, we propose:

  • Annual contract for $240k crvUSD: $192k in crvUSD, $48k in veCRV locked for a year.

As for the core deliverables, which will be fully handovered to the DAO:

  • Complete monitoring set up in one month from the start of the engagement. We have already built a proof of concept.
  • In depth proposal review and assessments (100% review coverage, with deep dive on 1-2 material proposals per week).
  • Quarterly risk reports published on X to leverage Blockworks institutional audience and facilitate Curve development efforts ([example].(Blockworks Advisory on X: "https://t.co/m5RmlQvQKq" / X))

The Blockworks Advisory team will support in its totality, with Jojo as main POC and the support of team members for specialized work (Silvio for monitoring and alerting productization, Anastasiia for quantitative modeling and simulation, Carolina for oversight and quality assurance), and the whole Blockworks team to support and data and development.

Risk team

Risk team Relevant experience
Jojo (X) Computer engineer, previously cybersecurity, he has built automated LP and leveraged LP products for DeFi protocols, as well as consulted for key DEXes on liquidity provisioning strategies. Very keen in DeFi risk analysis and protocol assessment as well as product development..
Silvio (X) Experienced in credit risk in TradFi (3 years across asset managers, commercial and central banking), quantitative background, DeFi builder and founder, Spark risk council lead, developed Solana lending market monitoring app. Silvio can support the monitoring infra set up and proposal analysis.
Carolina (X) Carolina is the head of Blockworks Advisory team quantitative risk and economic modeling work at Blockworks Advisory, bringing 4+ years of specialized experience in crypto and DeFi risk assessment. She holds a background in mathematics applied to economics. Carolina has led Blockworks Advisory’s work on Ethena’s Risk Committee for three consecutive terms.
Anastasiia (X) PhD in Financial Economics (option pricing theory, credit risk modeling, financial engineering), former TradFi option analyst, crypto researcher since 2017 experienced in statistical arbitrage, time series modelling, onchain option pricing and stablecoin DEX protocol design, built DEX/CEX arbitrage systems executing two point and triangular arbitrage, derived crypto native risk rating for DeFi lending vaults, engaging in Ethena risk council

Relevant Experience

Blockworks Advisory provides risk research and advisory services to DeFi protocols, including current work for Ethena, Spark, and Reflect Protocol. We have experience navigating delicate and complex governance and risk issues. This mandate would extend that same risk research and advisory experience to Curve’s crvUSD and Llamalend markets.

Risk and governance

Our work helps team manage risk and grow by onboarding new assets, formalizing risk framework, defining liquidity buffers and taking critical protocol choices. We do that with a mix of data, market knowledge and methodological excellence.

Examples:

Data for DeFi

Blockworks tracks dozens of protocols. Our Ethena dashboard combines protocol level data with backing assets, issuance, redemptions, liquidity, financial performance, and broader market activity. Additionally, we maintain a separate dashboard for all risk related estimations and update it bespoke with incoming market and protocol changes, e.g. stress endurance coverage and recommended cooldown from our dynamic cooldown framework. We would apply the same approach to Curve including monitoring both activity inside Curve and external conditions that affect Curve’s risk.

Monitoring

Our monitoring product recently acquired from Messari can track governance events and hacks across 1000+ assets. Blockworks monitoring is agentic surveillance for material crypto events. Always-on agents apply Blockworks editorial standards plus your intent, with no taxonomy or keyword rules required. Every event carries a clear Action Required flag and Importance score, so you can triage in seconds rather than parsing five severity levels.

Risk tooling

We also have built a proof of concept dashboard and monitoring for Curve finance.

Research records

Scope 1: crvUSD and Mint Market Risk

Blockworks Advisory would assess and monitor crvUSD mint markets, PegKeepers, and relevant DAO credit exposure.

New collateral and market assessments

For new collateral, mint markets, PegKeeper pools, and material credit proposals, we would do comprehensive due diligence on the assets including primary and secondary liquidity, governance setups, dependencies and venues, cross chain risk, lindiness, and oracle execution risk under stress. Our credit risk framework explicitly highlights that standard linear price impact models understate tail risk under concentrated liquidity AMM conditions which is directly relevant to PegKeeper and LLAMMA mechanics.

Each assessment would provide a concise summary of the main risks, scenario simulations and a clear recommendation where recommendations may cover parameters (e.g. caps), exposure limits and risk management activity.

Active monitoring

For active crvUSD markets and PegKeepers, we would monitor:

  • Direct risk signals: large withdrawals in Pegkeepers, liquidations on crvUSD. For LLAMMA, the system should track the relationship between oracle price, quoted price, active liquidation bands, loan health and eventual bad debt.
  • Indirect risk signals: tracking issuance and redemption of collateral at the asset level, secondary liquidity, governance changes, public comms from the team
  • Market regimes signals: shifts in broader market volatility, liquidity depth and cross asset correlation that can change the risk profile of active crvUSD markets

Where risk conditions change, we may recommend increasing or reducing debt ceilings.

Scope 2: Llamalend and Isolated Market Risk

Blockworks Advisory would support the Llamalend landscape through proposal reviews, market assessments, and ongoing market monitoring. We would also build related simulation tools for LLAMA if they are not already available from LlamaRisk. Llamalend markets are structured as ERC-4626 vaults which is the object our published credit risk framework was built to assess and score including decomposed credit risk live metrics.

Active monitoring

Our monitoring would not be limited to activity inside Curve. For relevant collateral and stablecoin assets, we would also monitor external events that may affect Curve’s exposure (e.g., governance changes in related protocols, mint and redemption activity in collateral assets).

Our monitoring tracks key risk signals for collateral and stablecoin assets, including issuance trends, liquidity depth, reserve quality, and counterparty concentration, to identify potential threats to Curve’s exposure before they manifest onchain.

This is important because risk may appear outside Curve before it affects a Curve market. We have applied this approach in our assessment of syrupUSDC/syrupUSDT as a backing asset for Ethena and identified utilization as the leading indicator of stress before it occurred in onchain losses, the same pattern we would apply to Llamalend collateral.

For example, a rise in redemptions, weaker reserve quality or transparency, declining external liquidity, or growing counterparty concentration may change the risk of a collateral asset and would be visible in our monitoring before bad debt appears onchain.

Beyond loss prevention, we would also assess whether observed borrow and supply rates in Llamalend markets adequately compensate lenders for the collateral risk they are taking on, directly addressing whether Curve is being properly compensated for the risk it takes.

Proposal Review Capacity

Blockworks Advisory will perform lean reviews on every Curve governance proposal to ensure it does not introduce undue risk to the protocol.

Besides we will conduct in-depth assessments on one to two material proposals per week.

Priority areas for these deep dives include new collateral onboarding, new crvUSD markets, new Llamalend markets, new PegKeeper pools, and material changes to parameters such as debt ceilings, borrow caps, liquidation limits, and oracle settings. In the first two weeks of the mandate, priority deep dives would cover the open items from Llamarisk’s handoff including LLamalend v1 deprecation payloads, CRV long bad debt remediation and sDOLA long recompensation. For broader gauge and incentive work, we will perform ongoing sanity checks for material risk, complemented by a comprehensive quarterly review. Where requests exceed our deep-dive capacity, we will coordinate priorities with designated Curve contributors. Standard assessments will be concise and decision focused.

Every assessment will document which inputs are empirically calibrated, which are illustrative, and which carry a known structural limitation so it is clear how much weight a given figure can bear.

Assessments will be routinely made public on X, positioning Curve as a risk-aware, institutionally ready player.

Monitoring Infrastructure Detail

Blockworks Advisory will build and operate a Curve specific monitoring system covering crvUSD mint markets, PegKeepers, Llamalend markets, and material external dependencies.

The system will monitor:

  • crvUSD markets: debt outstanding, debt ceiling utilization, borrow rates, collateral concentration, soft liquidations, hard liquidations, and bad debt exposure.

  • PegKeepers: debt and remaining capacity, deposits and withdrawals, pool imbalance, paired asset depegs, and oracle price divergence.

  • Llamalend: supply, borrowing, utilization and its dynamics, available liquidity, borrower concentration, liquidation activity, and unrecovered debt.

  • Collateral and stablecoin assets: issuance and redemptions, secondary market liquidity, trading depth, reserve or backing changes, and material counterparty exposure.

  • Oracle risk: price divergence, data staleness, source market liquidity, and abnormal price movements.

  • External events: protocol exploits, governance changes, asset freezes, bridge incidents, custody issues, and other developments that may affect assets used by Curve. Tracked with Messari Monitoring.

To build this, we will combine:

  • Event level data directly indexed from Curve
  • Data from third party protocols (e.g. Ethena), coming from Blockworks API or directly indexed (e.g. liquidity in dexes)
  • Signals coming from the monitoring product

For each monitored risk indicator, we will document the data source, update frequency, alert threshold, severity level, and escalation procedure. Material alerts and recommendations will be recorded in a recommendation tracker showing the issue identified, proposed action, responsible party, status, and outcome.

Core Deliverables

1. Transition and Monitoring Launch

Within 30 days, Blockworks Advisory will:

  • Review prior provider materials and identify coverage gaps.
  • Launch monitoring for all active crvUSD mint markets, PegKeepers, and Llamalend markets.
  • Publish the monitored market registry, data sources, alert thresholds, and escalation procedures.

2. Governance Reviews

Blockworks Advisory will screen 100% of identified in-scope proposals.Full assessments will be provided for new markets, collateral, PegKeepers, credit exposure, oracle changes, and material parameter changes. Each assessment will include:

  • Approve, approve with conditions, defer, or reject.
  • Key risk factors and dependencies.
  • Liquidity, oracle, and liquidation analysis.
  • Scenario testing.
  • Recommended parameters.
  • Monitoring requirements.

Standard assessments will be delivered within five business days when sufficient information is available.

3. Active Monitoring and Alerts

Monitoring will cover:

  • Debt, utilization, rates, and debt ceilings.
  • PegKeeper capacity, imbalance, and paired-asset risk.
  • Oracle divergence and staleness.
  • Soft liquidations, hard liquidations, and bad debt.
  • Borrower and collateral concentration.
  • External liquidity, issuance, redemptions, and material governance or security events.

Critical automated alerts will be delivered within 1 hour of threshold confirmation.

4. Reporting

Blockworks Advisory will publish on X:

  • Monthly operating updates.
  • Quarterly market risk reports.
  • Parameter recommendations when changes are required.
  • Post-incident reports within five business days of stabilization.

5. Models and DAO Handoff

Blockworks Advisory will maintain documented models for:

  • LLAMMA parameter calibration.
  • Debt ceilings and exposure limits.
  • Borrow rate recommendations.
  • Oracle suitability.
  • Liquidity and liquidation stress testing.

At mandate completion, the DAO will receive the Curve specific models, alert definitions, documentation, runbooks, source codes and licensing access.

Operating model

We are flexible in accommodating and changing our model depending on client requirements.

Setup Ongoing
Onboarding LLamarisk handover, data and monitoring set up (fully live within 1 month), start governance work
Ongoing Proposal reviews, quarterly risk report and gauge incentive review, periodic meeting with the DAO, update and maintenance of monitoring, coordination with relevant stakeholders

KPIs and Service Levels

KPI Target
Proposal coverage 100% of identified in-scope governance proposals receive an initial risk screening.
Full assessment capacity Up to 1-2 material proposal assessments per week, subject to timely access to required information.
Standard assessment turnaround Published within five business days of receiving sufficient information.
Active market coverage 100% of agreed crvUSD mint markets, PegKeepers, and Llamalend markets included in the monitoring system.
Monitoring launch Initial production monitoring system live within 30 calendar days of mandate commencement.
Data freshness Curve onchain risk metrics updated within 15 minutes under normal operating conditions; lower frequency external data updated at least hourly.
System availability At least 99.5% monthly availability, excluding announced maintenance and third party outages.
Critical alert delivery Automated critical alerts issued within 15 minutes of threshold confirmation.
Risk escalation quality Every material escalation includes the affected market, trigger, severity, supporting evidence, recommended action, and responsible party.
Incident reporting Preliminary assessment provided during the incident and written post-incident review published within five business days of stabilization.
Recommendation tracking 100% of formal recommendations recorded with date, rationale, owner, status, and outcome.
Public reporting Monthly operating update and quarterly risk report published on the Curve governance forum.
Documentation coverage All production alerts, models, thresholds, data sources, and escalation procedures are documented and maintained.
DAO handoff Curve specific models, dashboards, runbooks, alert definitions, and agreed code or licensing access delivered at mandate completion.

What Is Not Included

Our engagement focuses strictly on the defined risk mandate and will not include broad governance, business development, or ecosystem growth strategies. This excludes gauge optimization, full management of Curve’s emissions strategy, general business development support.

We would provide a quarterly risk focused review identifying gauges linked to weak assets, poor quality liquidity, or incentives that may increase Curve’s exposure without delivering sufficient value, with the goal of making sure the DAO is getting fairly compensated for the risk.

Budget and Term

Blockworks Advisory proposes a 12 month mandate. The budget request is:

Cost area Annual allocation
Dedicated risk lead and governance coverage $120,000
Quantitative research and model support $40,000
Data engineering and monitoring maintenance costs $40,000
Infrastructure and incident support $40,000
Total $240,000

Any material increase in assessment volume, additional asset coverage, continuous human incident coverage, or expanded gauge and governance work would require separate agreement.

We propose to be paid with $192k in crvUSD and $48k in veCRV, locked for 1 year.