Llama Risk: crvUSD MetaMorpho Vault Whitelisting


This proposal aims to establish Curve Tri-pool / crvUSD markets on Morpho Blue and launch a MetaMorpho vault. We propose the whitelisting of a crvUSD-Tri Pools Metamorpho vault on Morpho Blue to optimize yield strategies across multiple pools, including TricryptoUSDT, TricryptoUSDC, TricryptoLLAMA, TryLSD, and TriCRV. The collateral asset will be a Convex wrapped staked position, allowing depositors of isolated market to earn CRV and CVX rewards. This initiative aims to enhance capital efficiency and yield for crvUSD holders by leveraging Morpho’s markets, LLamaRisk’s risk management expertise, and tailored oracle configurations. The strategy will be supported by an incentivization plan involving Morpho and Curve, promoting crvUSD adoption and liquidity provision.

About LlamaRisk

Substack: cryptorisks.substack.com
Prisma Risk HackMD: hackmd.io/@PrismaRisk
Social: twitter.com/llamarisk

LlamaRisk was established in 2021 as a service to Curve LPs to provide risk transparency analysis of assets listed on Curve, including stablecoins, RWAs, and LSTs. We have more recently been working with Prisma Finance, providing detailed collateral risk analysis for onboarding LST assets to the protocol.

Our analysts regularly investigate the endless stream of new, innovative stablecoins, RWAs, and LSTs as they are integrated with Curve pools and gain traction through approval for Curve gauge emissions. We publish our research of these protocols publicly on our Substack (and more recently on HackMD for extended collateral risk reports) with detailed descriptions of the protocol design and assessment of various risks that LPs should be aware of. We strive to be an objective and thorough source of information for LPs and DAO voters; in a space that can be highly susceptible to financially motivated biases, we seek to cut through the noise, maintaining the interest of DeFi users as our highest priority.

LlamaRisk has distinguished itself through:

  • Gauge & Parameterization Recommendation: A long-standing history of providing risk analysis and recommendations for the Curve protocol. Our detailed reports have driven critical decisions within these ecosystems.
  • Prisma Risk LST Framework: Our partnership with Prisma Finance, the issuer of mkUSD, one of the fastest-growing LST-backed stablecoins, led us to develop a comprehensive risk framework for evaluating LSTs as collateral assets.
  • Aggregator on Sturdy V2: We recently launched a crvUSD aggregator vault on Sturdy v2, attracting over 3m in TVL. Our scope is to manage debt allocation and provide users with the necessary tools and information to manage their risk exposure.
  • Diversity of DeFi Knowledge: Our team understands many protocol architectures, especially in lending markets. This knowledge comes from extensive research, development, and hands-on experience with various DeFi protocols, enabling us to anticipate and mitigate risks effectively.
  • Commitment to Innovation: At LlamaRisk, we continually evolve our methodologies and tools to stay at the forefront of DeFi research and risk management, ensuring our strategies are effective.


The crvUSD MetaMorpho vault will consist of the following constituent Morpho Blue markets:

Collateral Asset (convex wrapped) Loan Asset Pool Index 0 Oracle IRM LLTV
TricryptoUSDT crvUSD USDT lp_price * USDT/USD / crvUSD/USD Adaptive 86%
TricryptoUSDC crvUSD USDC lp_price * USDC/USD / crvUSD/USD Adaptive 86%
TricryptoLLAMA crvUSD crvUSD lp_price Adaptive 86%
TryLSD crvUSD wstETH lp_price * wstETH/ETH * ETH/USD / crvUSD/USD Adaptive 86%
TriCRV crvUSD crvUSD lp_price Adaptive 86%

Vault fees will be set at 20%.

Curve LP Collateral

The Curve Tripools are all CryptoSwap pools, meaning they are composed of noncorrelated assets and may experience varying degrees of volatility, depending on the constituent tokens and market conditions. The CryptoSwap algorithm concentrates liquidity around the current price, as calculated by the internal pool oracle.

The tokens in each LP is as follows:

  • TricryptoUSDT: USDT/ETH/WBTC
  • TricryptoUSDC: USDC/ETH/WBTC
  • TricryptoLLAMA: crvUSD/tBTC/wstETH
  • TryLSD: wstETH/rETH/sfrxETH
  • TriCRV: crvUSD/ETH/CRV

We propose to use a Convex wrapper for the collateral asset, so as to allow depositors of the Curve LP position to earn additional yield. Effectively, this stakes the LP token in the Curve gauge through Convex, making it eligible to earn CRV gauge emissions boosted by Convex’s stockpile of veCRV and additional CVX incentives from Convex. CRV and CVX rewards will be claimable at any time. Users and liquidator bots will only directly deal with the Curve LP token, with the Convex wrapping being abstracted away.

Oracle considerations

For pricing Tripool LP tokens, we proposed using the lp_price function, which returns the price of the LP token about the underlying at index 0, which in turn relies on the price_oracle function. price_oracle is calculated as an exponential moving average of recent trade prices. See this document for more details. Subsequently, this calculated price can be utilized in conjunction with the relevant Chainlink feeds.

Each pool oracle has an ma_time set to a value that seeks to balance manipulation resistance with responsiveness. The values set in the pools are configurable by DAO governance and currently set to:

  • TricryptoUSDT: 10 minutes
  • TricryptoUSDC: 10 minutes
  • TricryptoLLAMA: 10 minutes
  • TryLSD: 60 minutes
  • TriCRV: 10 minutes

The TryLSD ma_time was extended with an explanation given in this governance proposal. The extended time was found to be suitable for tricyptos composed of relatively nonvolatile assets, helping to smooth transient price shocks.

The full Oracle implementation can be found here: GitHub - 0xValJohn/morpho-blue-oracles at tripool-lp-crvusd

Disclaimer: LlamaRisk does not take custody, control, or possession of user funds at any time. Users retain complete control and possession of their funds when using MetaMorpho.

LlamaRisk does not actively manage, control, or influence the user’s funds or investment choices. Consequently, we assume no liability or responsibility for any loss, damage, or other issues arising from the user’s investment decisions or management of their funds.

The information provided by LlamaRisk is for informational purposes only. We do not guarantee this information’s accuracy, completeness, or usefulness. Users who rely on it do so at their own risk. LlamaRisk disclaims all liability and responsibility arising from such reliance, whether directly or indirectly.

LlamaRisk shall not be liable for the actions or omissions of any third parties, including but not limited to other users, entities interacting with MetaMorpho, other protocols, or any underlying blockchain networks.

To the fullest extent permissible by law, the user agrees that using MetaMorpho does not establish any fiduciary relationship or obligation between LlamaRisk, any other participant, the user, or any third party. This acknowledgment extends to an understanding that no such fiduciary duties or liabilities are owed to the user or any third party in connection with their use of MetaMorpho.