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"""
Morpho markets monitoring script.
This module checks Morpho markets for:
1. Bad debt
2. High allocation levels
3. Low liquidity
"""
from typing import Any, Dict, List
import requests
from utils.chains import Chain
from utils.http import request_with_retry
from utils.logging import get_logger
from utils.telegram import send_error_message, send_telegram_message
# Configuration constants
API_URL = "https://api.morpho.org/graphql"
MORPHO_URL = "https://app.morpho.org"
PROTOCOL = "morpho"
logger = get_logger(PROTOCOL)
BAD_DEBT_RATIO = 0.005 # 0.5% of total borrowed tvl
LIQUIDITY_THRESHOLD = 0.01 # 1% of total assets
YV_COLLATERAL_LIQUIDATION_BUFFER = 1.25 # require 25% more withdrawable liquidity than collateral at risk
YV_COLLATERAL_MIN_BORROW_USD = 10_000 # skip dust markets
YV_COLLATERAL_MIN_GROUP_ASSETS_USD = 10_000 # skip liquidity groups with negligible assets
YV_COLLATERAL_MIN_AT_RISK_USD = 10_000 # skip markets with negligible collateral at risk
YV_COLLATERAL_AT_RISK_POINTS = 20 # requested granularity for Morpho's collateral-at-risk curve
YV_COLLATERAL_STABLE_PRICE_SHOCK = 0.05
YV_COLLATERAL_VOLATILE_PRICE_SHOCK = 0.15
YV_COLLATERAL_FALLBACK_PRICE_SHOCK = 0.10
# Map vaults by chain
VAULTS_BY_CHAIN = {
Chain.MAINNET: [
# name, address, risk level
# ["Steakhouse USDC", "0xBEEF01735c132Ada46AA9aA4c54623cAA92A64CB", 1],
# ["Steakhouse USDT", "0xbEef047a543E45807105E51A8BBEFCc5950fcfBa", 1],
# ["Gauntlet WETH Prime", "0x2371e134e3455e0593363cBF89d3b6cf53740618", 1],
# ["Gauntlet USDC Prime", "0xdd0f28e19C1780eb6396170735D45153D261490d", 1],
# ["Gauntlet USDT Prime", "0x8CB3649114051cA5119141a34C200D65dc0Faa73", 1],
["Yearn USDC", "0x68Aea7b82Df6CcdF76235D46445Ed83f85F845A3", 1],
["Yearn USDT", "0x0963232eB842BAF53E8e517691f81745C1F228a0", 1],
["Yearn WBTC", "0x2bB005127069A0F0325Fb7370967E8A2b64FB77E", 1],
["Yearn OG WETH", "0xE89371eAaAC6D46d4C3ED23453241987916224FC", 2],
[
"Yearn OG USDC",
"0xF9bdDd4A9b3A45f980e11fDDE96e16364dDBEc49",
2,
],
["OUSD", "0x5B8b9FA8e4145eE06025F642cAdB1B47e5F39F04", 2],
# Vault Bridge for Katana Chain
["Vault Bridge USDC", "0xBEefb9f61CC44895d8AEc381373555a64191A9c4", 1],
["Vault Bridge USDT", "0xc54b4E08C1Dcc199fdd35c6b5Ab589ffD3428a8d", 1],
["Vault Bridge WETH", "0x31A5684983EeE865d943A696AAC155363bA024f9", 1],
["Vault Bridge WBTC", "0x812B2C6Ab3f4471c0E43D4BB61098a9211017427", 2],
["Sentora PYUSD", "0x19b3cD7032B8C062E8d44EaCad661a0970DD8c55", 2],
],
Chain.BASE: [
["Moonwell Flagship USDC", "0xc1256Ae5FF1cf2719D4937adb3bbCCab2E00A2Ca", 1],
["Yearn OG USDC", "0xef417a2512C5a41f69AE4e021648b69a7CdE5D03", 2],
["Yearn OG WETH", "0x1D795E29044A62Da42D927c4b179269139A28A6B", 2],
["OUSD", "0x581Cc9a73Ec7431723A4a80699B8f801205841F1", 2],
],
Chain.KATANA: [
["Yearn OG WETH", "0xFaDe0C546f44e33C134c4036207B314AC643dc2E", 1],
["Yearn OG USDC", "0xCE2b8e464Fc7b5E58710C24b7e5EBFB6027f29D7", 1],
["Yearn OG USDT", "0x8ED68f91AfbE5871dCE31ae007a936ebE8511d47", 1],
["Yearn OG WBTC", "0xe107cCdeb8e20E499545C813f98Cc90619b29859", 1],
["Gauntlet USDC", "0xE4248e2105508FcBad3fe95691551d1AF14015f7", 2],
["SteakhouseHigh Yield USDC", "0x1445A01a57D7B7663CfD7B4EE0a8Ec03B379aabD", 3],
["Gauntlet USDT", "0x1ecDC3F2B5E90bfB55fF45a7476FF98A8957388E", 1],
["SteakhousePrime USDC", "0x61D4F9D3797BA4dA152238c53a6f93Fb665C3c1d", 1],
["Gauntlet WETH", "0xC5e7AB07030305fc925175b25B93b285d40dCdFf", 1],
["Gauntlet WBTC", "0xf243523996ADbb273F0B237B53f30017C4364bBC", 1],
# ["SteakhousePrime AUSD", "0x82c4C641CCc38719ae1f0FBd16A64808d838fDfD", 1],
# ["Gauntlet AUSD", "0x9540441C503D763094921dbE4f13268E6d1d3B56", 1],
],
}
# Morpho Vaults that are used by Yearn Strategies which are used as YV collateral in Morpho Markets
# Organized by asset address for easier grouping and management
VAULTS_WITH_YV_COLLATERAL_BY_ASSET = {
# NOTE: Mainnet is disabled because there is no borrowing demand for yvUSDC as collateral
# Chain.MAINNET: {
# # USDC vaults
# "0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48": [
# ["OEV USDC", "0x68Aea7b82Df6CcdF76235D46445Ed83f85F845A3"],
# ["SteakhousePrime USDC", "0xBEEF01735c132Ada46AA9aA4c54623cAA92A64CB"],
# ["Gauntlet USDC Prime", "0xdd0f28e19C1780eb6396170735D45153D261490d"],
# ],
# # WETH vaults
# "0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2": [
# ["Gauntlet WETH Prime", "0x2371e134e3455e0593363cBF89d3b6cf53740618"],
# ],
# },
Chain.KATANA: {
# USDC vaults - using addresses from VAULTS_BY_CHAIN as source of truth
"0x203A662b0BD271A6ed5a60EdFbd04bFce608FD36": [ # USDC asset address on Katana
["Yearn OG USDC", "0xCE2b8e464Fc7b5E58710C24b7e5EBFB6027f29D7"],
["SteakhousePrime USDC", "0x61D4F9D3797BA4dA152238c53a6f93Fb665C3c1d"],
["SteakhouseHigh Yield USDC", "0x1445A01a57D7B7663CfD7B4EE0a8Ec03B379aabD"],
["Gauntlet USDC", "0xE4248e2105508FcBad3fe95691551d1AF14015f7"],
],
# USDT vaults - using addresses from VAULTS_BY_CHAIN as source of truth
"0x2DCa96907fde857dd3D816880A0df407eeB2D2F2": [ # USDT asset address on Katana
[
"Yearn OG USDT",
"0x8ED68f91AfbE5871dCE31ae007a936ebE8511d47",
], # Corrected from VAULTS_BY_CHAIN
["Gauntlet USDT", "0x1ecDC3F2B5E90bfB55fF45a7476FF98A8957388E"],
],
# WETH vaults - using addresses from VAULTS_BY_CHAIN as source of truth
"0xEE7D8BCFb72bC1880D0Cf19822eB0A2e6577aB62": [ # WETH asset address on Katana
[
"Gauntlet WETH",
"0xC5e7AB07030305fc925175b25B93b285d40dCdFf",
], # Corrected from VAULTS_BY_CHAIN
["Yearn OG WETH", "0xFaDe0C546f44e33C134c4036207B314AC643dc2E"],
],
# WBTC vaults - using addresses from VAULTS_BY_CHAIN as source of truth
"0x0913DA6Da4b42f538B445599b46Bb4622342Cf52": [ # WBTC asset address on Katana
["Yearn OG WBTC", "0xe107cCdeb8e20E499545C813f98Cc90619b29859"],
["Gauntlet WBTC", "0xf243523996ADbb273F0B237B53f30017C4364bBC"],
],
# NOTE: skip AUSD vaults because it is used in low amounts as collateral
# AUSD vaults - using addresses from VAULTS_BY_CHAIN as source of truth
# "0x00000000eFE302BEAA2b3e6e1b18d08D69a9012a": [ # AUSD asset address on Katana
# ["SteakhousePrime AUSD", "0x82c4C641CCc38719ae1f0FBd16A64808d838fDfD"],
# ["Gauntlet AUSD", "0x9540441C503D763094921dbE4f13268E6d1d3B56"],
# ],
},
}
# Direct Yearn vault collateral markets to check for unwind liquidity.
# Keys are underlying asset addresses used in VAULTS_WITH_YV_COLLATERAL_BY_ASSET.
YV_COLLATERAL_MARKETS_BY_ASSET = {
Chain.KATANA: {
"0x203A662b0BD271A6ed5a60EdFbd04bFce608FD36": [
"0x6691cdcadd5d23ac68d2c1cf54dc97ab8242d2a888230de411094480252c2ed3", # yvvbUSDC/vbUSDT
],
"0x2DCa96907fde857dd3D816880A0df407eeB2D2F2": [
"0xcdaf57d98c2f75bffb8f0d3f7aa79bbacda4a479c47e316aab14af1ca6d85ffc", # yvvbUSDT/vbUSDC
],
"0xEE7D8BCFb72bC1880D0Cf19822eB0A2e6577aB62": [
"0x08f67ef41398456dbc5ff72d43c8b6f7917abfd01498a9fc6c89dabe6eb78b8c", # yvvbETH/vbUSDC
],
"0x0913DA6Da4b42f538B445599b46Bb4622342Cf52": [
"0x3a22063bd258f3f75e3135cac4ec53435dfa5b47b3d5173bb8fd5278e6c1b305", # yvvbWBTC/vbUSDC
],
},
}
MARKETS_RISK_1 = {
Chain.MAINNET: [
"0x3a85e619751152991742810df6ec69ce473daef99e28a64ab2340d7b7ccfee49", # WBTC/USDC -> lltv 86%, oracle: chainlink WBTC/BTC, chainlink BTC/USD and chainlink USDC/USD
"0xb323495f7e4148be5643a4ea4a8221eef163e4bccfdedc2a6f4696baacbc86cc", # wstETH/USDC -> lltv 86%, oracle: compound oracle wstETH/ETH, chainlink ETH/USD and chainlink USDC/USD
"0x7e585a933ffe8443c371b4f8cfeb4430f5f6a14c2f32a898c26662c67a1cb8b8", # wstETH/USDC -> lltv 86%, oracle: MorphoChainlinkOracleV2 — Compound WstETHPriceFeed (Chainlink STETH/ETH feed + Lido wstETH wrapper) + Chainlink ETH/USD; no quote feed (USDC = $1).
"0x94b823e6bd8ea533b4e33fbc307faea0b307301bc48763acc4d4aa4def7636cd", # WETH/USDC -> lltv 86%, oracle: MorphoChainlinkOracleV2, Chainlink ETH/USD; no quote feed (USDC = $1).
"0x64d65c9a2d91c36d56fbc42d69e979335320169b3df63bf92789e2c8883fcc64", # cbBTC/USDC -> lltv 86%, oracle: chainlink BTC/USD and chainlink USDC/USD
"0xb8fc70e82bc5bb53e773626fcc6a23f7eefa036918d7ef216ecfb1950a94a85e", # wstETH/WETH -> lltv 96.5%, oracle: lido exchange rate
"0xc54d7acf14de29e0e5527cabd7a576506870346a78a11a6762e2cca66322ec41", # wstETH/WETH -> lltv 94.5%, oracle: compound oracle wstETH/ETH
"0xd0e50cdac92fe2172043f5e0c36532c6369d24947e40968f34a5e8819ca9ec5d", # wstETH/WETH -> lltv 94.5%, oracle: lido exchange rate
"0x138eec0e4a1937eb92ebc70043ed539661dd7ed5a89fb92a720b341650288a40", # WBTC/WETH -> lltv 91.5%, oracle: chainlink BTC/ETH
"0x2cbfb38723a8d9a2ad1607015591a78cfe3a5949561b39bde42c242b22874ec0", # cbBTC/WETH -> lltv 91.5%, oracle: chainlink BTC/USD and chainlink ETH/USD
"0xa921ef34e2fc7a27ccc50ae7e4b154e16c9799d3387076c421423ef52ac4df99", # WBTC/USDT -> lltv 86%, oracle: chainlink WBTC/BTC, chainlink BTC/USD and chainlink USDT/USD
"0x3274643db77a064abd3bc851de77556a4ad2e2f502f4f0c80845fa8f909ecf0b", # sUSDS/USDT -> lltv 96.5%, oracle: chainlink USDT/USD, chainlink DAI/USD and sUSDS vault
"0xe7e9694b754c4d4f7e21faf7223f6fa71abaeb10296a4c43a54a7977149687d2", # wstETH/USDT -> lltv 86%, oracle: compound oracle wstETH/ETH, chainlink ETH/USD and chainlink USDT/USD
"0x37e7484d642d90f14451f1910ba4b7b8e4c3ccdd0ec28f8b2bdb35479e472ba7", # weETH/WETH -> lltv 94.5%, oracle: origami weETH/ETH which calls WEETH.getRate(). Alike assets.
"0x45671fb8d5dea1c4fbca0b8548ad742f6643300eeb8dbd34ad64a658b2b05bca", # cbBTC/USDT -> lltv 86%, oracle: chainlink BTC/USD, hardcoded USDT=USD.
"0x4fe72543c5c95cd6b5f3cb516cd235ba882e2e705fe3424db6f99dfe5811d0d3", # cbBTC/USDT -> lltv 86%, oracle: MetaOracleDeviationTimelock — primary MorphoChainlinkOracleV2 Chainlink BTC/USD, backup MorphoChainlinkOracleV2 Chainlink cbBTC/USD; quote feeds unset (USDT=$1).
"0x39d6cc9211d023cc16708a2378d821d394d8cfaa3640e3a4d4638d292e10035d", # cbBTC/WBTC -> lltv 94.5%, oracle: chainlink cbBTC/USD and chainlink WBTC/USD.
"0xab04bdfbeef6de62e3020d44710d6461eccfb901b9659f866844805fca115f2f", # cbBTC/WBTC -> lltv 94.5%, oracle: MetaOracleDeviationTimelock — primary fixed 1:1 cbBTC/WBTC (price 1e36); backup MorphoChainlinkOracleV2 Chainlink cbBTC/USD and Chainlink BTC/USD.
"0x34377fc4f617c51818e92c79df31ff270c6a91bc94ad32e367fdf59b9f4ac5dd", # weETH/USDC -> lltv 77%, oracle: Chainlink weETH/ETH exchange rate and Chainlink ETH/USD; Morpho dummy quote feed (USDC = $1).
"0xf6a056627a51e511ec7f48332421432ea6971fc148d8f3c451e14ea108026549", # LBTC/WBTC -> lltv 94.5%, oracle: readstone exchange rate LBTC/BTC and chainlink WBTC/BTC
],
Chain.BASE: [
"0x7fc498ddcb7707d6f85f6dc81f61edb6dc8d7f1b47a83b55808904790564929a", # cbETH/EURC -> lltv 86%, oracle: Chainlink cbETH/ETH and Chainlink ETH/USD and Chainlink EURC/USD.
"0xa9b5142fa687a24c275faf731f13b52faa9873252bb4e1cb6077aa1f412edb0b", # WETH/EURC -> lltv 86%, oracle: Chainlink ETH/USD and Chainlink EURC/USD.
"0x67ebd84b2fb39e3bc5a13d97e4c07abe1ea617e40654826e9abce252e95f049e", # cbBTC/EURC -> lltv 86%, oracle: Chainlink BTC/USD and Chainlink EURC/USD.
"0xf7e40290f8ca1d5848b3c129502599aa0f0602eb5f5235218797a34242719561", # wstETH/EURC -> lltv 86%, oracle: Chainlink wstETH-stETH Exchange Rate and Chainlink ETH/USD and Chainlink EURC/USD.
"0x8793cf302b8ffd655ab97bd1c695dbd967807e8367a65cb2f4edaf1380ba1bda", # WETH/USDC -> lltv 86%, oracle: Chainlink ETH/USD and Chainlink USDC/USD.
"0x9103c3b4e834476c9a62ea009ba2c884ee42e94e6e314a26f04d312434191836", # cbBTC/USDC -> lltv 86%, oracle: Chainlink BTC/USD and Chainlink USDC/USD.
"0x13c42741a359ac4a8aa8287d2be109dcf28344484f91185f9a79bd5a805a55ae", # wstETH/USDC -> lltv 86%, oracle: Chainlink wstETH-stETH Exchange Rate and Chainlink ETH/USD and Chainlink USDC/USD.
"0x1c21c59df9db44bf6f645d854ee710a8ca17b479451447e9f56758aee10a2fad", # cbETH/USDC -> lltv 86%, oracle: Chainlink cbETH/ETH and Chainlink ETH/USD and Chainlink USDC/USD.
"0xdb0bc9f10a174f29a345c5f30a719933f71ccea7a2a75a632a281929bba1b535", # rETH/USDC -> lltv 86%, oracle: Chainlink rETH/ETH and Chainlink ETH/USD and Chainlink USDC/USD.
"0x3a4048c64ba1b375330d376b1ce40e4047d03b47ab4d48af484edec9fec801ba", # wstETH/WETH -> lltv 94.5%, oracle: Chainlink wstETH-stETH Exchange Rate
"0x84662b4f95b85d6b082b68d32cf71bb565b3f22f216a65509cc2ede7dccdfe8c", # cbETH/WETH -> lltv 94.5%, oracle: Chainlink cbETH-ETH Exchange Rate
"0x5dffffc7d75dc5abfa8dbe6fad9cbdadf6680cbe1428bafe661497520c84a94c", # cbBTC/WETH -> lltv 91.5%, oracle: Chainlink BTC/USD and Chainlink ETH/USD
"0xa7813c754ddd6a24e1a1a29ff3ea877803ac63d09efc2f121b1cf3f0bf3af2f6", # WETH/cbBTC -> lltv 91.5%, oracle: Chainlink ETH/USD and Chainlink BTC/USD
"0x3b3769cfca57be2eaed03fcc5299c25691b77781a1e124e7a8d520eb9a7eabb5", # USDC/WETH -> lltv 86.5%, oracle: Chainlink USDC/USD and Chainlink ETH/USD
],
Chain.KATANA: [
"0xcd2dc555dced7422a3144a4126286675449019366f83e9717be7c2deb3daae3e", # vbWBTC/vbUSDC -> lltv 86%, oracle: Chainlink WBTC/BTC, Chainlink BTC/USD and Chainlink USDC/USD
"0x2fb14719030835b8e0a39a1461b384ad6a9c8392550197a7c857cf9fcbd6c534", # vbETH/vbUSDC -> lltv 86%, oracle: Chainlink ETH/USD and Chainlink USDC/USD
"0x60b54e17d55b765955a20908ed5143192a48df7fd3833f7f7fe86504bf6c4c1a", # LBTC/vbBTC -> lltv 91.5%, oracle: RedStone Price Feed for LBTC_FUNDAMENTAL -> Katana WBTC vault bridge accepts LBTC markets as collateral, no additional risk when using LBTC on Katana chain
"0xd3b3c992070b5a6271b11acde46cdad575e4187e499782e084d73e523153f1ed", # wstETH/vbUSDC -> lltv 86%, oracle: Chainlink wsteth/ETH, Chainlink ETH/USD and Chainlink USDC/USD
"0x4b7a328d4c03ea974acac4a4c5f092870afe707df88aa4c5d834f93d96894050", # vbETH/vbUSDC -> lltv 86%, oracle: Api3 ETH/USD and Api3 USDC/USD
"0x499a1b2827cff06de432a00b5e8c4509d4c2a7eafc638c0df6a09a8fa1c8d649", # vbWBTC/vbUSDC -> lltv 86%, oracle: Api3 BTC/USD and Api3 USDC/USD
"0x4bc9c84a5271f5196357c0ed18af783614851f23ac11652e78b9934e34baa5d1", # vbETH/vbUSDT -> lltv 86%, oracle: Api3 ETH/USD and Api3 USDT/USD
"0x9c95ce191559ba7652c7a2d74568590824c1166a2994fcef696b413c18efe7ee", # vbWBTC/vbUSDT -> lltv 86%, oracle: Api3 BTC/USD and Api3 USDT/USD
"0x1e74d36ffbda65b8a45d72754b349cdd5ce807c5fa814f91ba8e3cd27881c34b", # weETH/vbETH -> lltv 91.5%, oracle: Redstone weETH/ETH fundamental price
"0x22f9f76056c10ee3496dea6fefeaf2f98198ef597eda6f480c148c6d3aaa70db", # wstETH/vbETH -> lltv 91.5%, oracle: Redstone wstETH/ETH fundamental price
"0xc149387c455f7abf7a1f430ccc6639df55fcd366a2f5b055f611289ed1b8a956", # LBTC/vbUSDT -> lltv 86%, oracle: Redstone LBTC/BTC fundamental price and Redstone BTC/USD
"0xa0cd6b9d1fcc6baded4f7f8f93697dbe7f24f6e1fc22602a625c7a80b8e8e6ef", # LBTC/vbUSDC -> lltv 86%, oracle: Chainlink LBTC/USD and Chainlink USDC/USD
"0xcdaf57d98c2f75bffb8f0d3f7aa79bbacda4a479c47e316aab14af1ca6d85ffc", # yvUSDT/vbUSDC -> lltv 86%, oracle: yvUSDT vault rate. Chainlink USDT/USD and Chainlink USDC/USD
"0x6691cdcadd5d23ac68d2c1cf54dc97ab8242d2a888230de411094480252c2ed3", # yvUSDC/vbUSDT -> lltv 86%, oracle: yvUSDC vault rate. Chainlink USDC/USD and Chainlink USDT/USD
"0xd4ab732112fa9087c9c3c3566cd25bc78ee7be4f1b8bdfe20d6328debb818656", # vbWBTC/vbUSDT -> lltv 86%, oracle: Chainlink WBTC/USD
"0x9e03fc0dc3110daf28bc6bd23b32cb20b150a6da151856ead9540d491069db1c", # vbETH/vbUSDT -> lltv 86%, oracle: Chainlink ETH/USD
"0x08f67ef41398456dbc5ff72d43c8b6f7917abfd01498a9fc6c89dabe6eb78b8c", # yvvbETH/USDC -> lltv 77%, oracle: yearn vault exchange rate. Chainlink ETH/USD and Chainlink USDC/USD.
"0x3a22063bd258f3f75e3135cac4ec53435dfa5b47b3d5173bb8fd5278e6c1b305", # yvvbWBTC/USDC -> lltv 77%, oracle: yearn vault exchange rate. Chainlink WBTC/BTC, Chainlink BTC/USD and Chainlink USDC/USD.
"0xcfac40b9f06194a33d9526f73642f6849b908c2b6d8669ad9d2d4a3e7dcb017a", # yvAUSD/USDC -> lltv 86%, oracle: yearn vault exchange rate. Chainlink AUSD/USD and Chainlink USDC/USD.
"0xbeb2f6ad6de1a9eead3302ad57a0180f67d127a22e53fa29bc724147b96cb20d", # WBTC/AUSD -> lltv 86%, oracle: Chainlink WBTC/BTC, Chainlink BTC/USD and Chainlink AUSD/USD.
"0x02a77b251cb27b04b5ddab89c852bdc77ee85d359c082170389001d71571a967", # vbWETH/AUSD -> lltv 86%, oracle: Chainlink ETH/USD and Chainlink AUSD/USD.
"0x0c909f9c866c4250cb2f15ef916b1eed5b1022b34ccd7ca947810011f5758c4f", # BTCK/AUSD -> lltv 86%, oracle: RedStone Price Feed for BTC. USD=AUSD.
"0xa6ce59291d90ae348b2fa956cc66f31df605a3304a9325e494c94e2cf5b0485a", # weETH/vbUSDT -> lltv 77%, oracle: RedStone weETH/ETH fundamental price, Chainlink ETH/USD and Chainlink USDT/USD.
"0x76e311d4b0e2e6ae88ad9bab18063452a6d39837d7104c430ff62457b91cb2cb", # weETH/vbUSDC -> lltv 77%, oracle: RedStone weETH/ETH fundamental price, Chainlink ETH/USD and Chainlink USDC/USD.
"0xbb4fb94ca819744df6a8f3932fffad47d31e8d76d3c48216878295c4cf588caf", # weETH/vbUSDT -> lltv 86%, oracle: RedStone weETH/ETH fundamental price, Chainlink ETH/USD and Chainlink USDT/USD.
"0x80e60fe453223b0f84a567724f88190bef708420d24397157067d424429783e9", # avKAT/KAT -> llt 77%, oracle ERC4626 avKAT/KAT vault rate
],
}
MARKETS_RISK_2 = {
Chain.MAINNET: [
"0x85c7f4374f3a403b36d54cc284983b2b02bbd8581ee0f3c36494447b87d9fcab", # sUSDe/USDC -> lltv 91.5%, oracle: sUSDe vault
"0xc581c5f70bd1afa283eed57d1418c6432cbff1d862f94eaf58fdd4e46afbb67f", # USDe / USDC -> lltv 86%, same value asset but using hardcoded oracle
"0x5f8a138ba332398a9116910f4d5e5dcd9b207024c5290ce5bc87bc2dbd8e4a86", # ETH+/WETH -> lltv 94.5%, oracle: ETH+ / USD exchange rate adapter and Chainlink: ETH/USD. ETH+ token has monitoring.
"0x85ab69d50add7daa0934b5224889af0a882f2e3b4572d82c771dd0875f4eaa9b", # pufETH/WETH -> lltv 94.5%, oracle: pufETH vault exchange rate. Alike assets.
"0xbf02d6c6852fa0b8247d5514d0c91e6c1fbde9a168ac3fd2033028b5ee5ce6d0", # LBTC/USDC -> lltv 86%, oracle: Redstone LBTC / BTC Redstone redemption price feed and Chainlink BTC/USD. More info on LBTC/BTC: https://docs.redstone.finance/docs/data/lombard/#how-redstone-delivers-lbtcbtc-fundamental-price
"0xdb8938f97571aeab0deb0c34cf7e6278cff969538f49eebe6f4fc75a9a111293", # ETH+/USDC -> lltv 86%, oracle: ETH+ / USD exchange rate adapter and Chainlink: USDC/USD. ETH+ token has monitoring.
"0xe4cfbee9af4ad713b41bf79f009ca02b17c001a0c0e7bd2e6a89b1111b3d3f08", # tBTC/USDC -> lltv 77%, oracle: tBTC/USD UMA oracle that captures OEV and USDC/USD UMA oracle.
"0x550edc2e9fe71158ccfa7c478a31f4e60ef508d94ada3931dc2aee4f666f8f81", # yvUSDC-1/USDC -> lltv 91.5%, oracle: yvUSDC-1 vault rate.
"0x973e9dd45799efe8775417bcc420a3ab84a583587b2108985746e2fe201d0c83", # YFI/USDC -> lltv 77%, oracle: Chainlink YFI/USD and Chainlink USDC/USD.
"0xb8fef900b383db2dbbf4458c7f46acf5b140f26d603a6d1829963f241b82510e", # OETH/USDC -> lltv 86%, oracle: Chainlink ETH/USD and Chainlink USDC/USD. OETH = ETH
"0xeb17955ea422baeddbfb0b8d8c9086c5be7a9cfdefb292119a102e981a30062e", # stcUSD/USDC -> lltv 91.5%, oracle: Ojo Yield Risk Engine stcUSD/cUSD Exchange Rate, RedStone Price Feed for cUSD_FUNDAMENTAL and Chainlink USDC/USD.
"0x2fb3713487c7812e7309935b034f40228841666f6b048faf31fd2110ae674f20", # PT-stcUSD-23JUL2026/USDC -> lltv 91.5%, oracle: OjoPTFeed oracle for stcUSD. RedStone Price Feed for cUSD_FUNDAMENTAL and Redstone USDC/USD v2.
"0x702b7ec7628de2622e51e1bb34a7e6ad9e95f3a25a2ed361e4ce621f23f5e642", # PT-cUSD-23JUL2026/USDC -> lltv 91.5%, oracle: OjoPTFeed oracle for cUSD. RedStone Price Feed for cUSD_FUNDAMENTAL and Redstone USDC/USD v2.
"0x729badf297ee9f2f6b3f717b96fd355fc6ec00422284ce1968e76647b258cf44", # syrupUSDC/USDC -> lltv 91.5%, oracle: syrupUSDC MaplePool vault rate. Oracle is using convertToAssets() to get the price but maple pool returns different amount, it should use convertToExitAssets() instead.
"0x61765602144e91e5ac9f9e98b8584eae308f9951596fd7f5e0f59f21cd2bf664", # weETH/USDC -> lltv 91.5%, oracle: redstone weETH/usdc exchange rate
"0xb7843fe78e7e7fd3106a1b939645367967d1f986c2e45edb8932ad1896450877", # XAUT/USDT -> lltv 77%, oracle: Chainlink XAUT/USD and Chainlink USDT/USD.
"0xc3b37a18d5b15f8e5b78bcdc014ffb3f22933bde4e5f6a36dedf36db87e68585", # WETH/RLUSD -> lltv 86%, oracle: Chainlink ETH/USD and Chainlink RLUSD/USD.
"0x631e64ae8498821a5605bd3c14e253ffbf207f87411e2aeffc91a32a126cc13d", # WETH/PYUSD -> lltv 86%, oracle: Chainlink ETH/USD and Chainlink PYUSD/USD.
"0xc0ae375fd761ff19b3f04de5534c0f1ec110f80e1c2ede27c42c1c43c3040394", # syrupUSDC/RLUSD -> lltv 91.5%, oracle: syrupUSDC MaplePool ERC4626 to USDC, chainlink USDC/USD and Chainlink RLUSD/USD.
"0xffd010618ed3cb39bb2c5de0e3e58d3d2ec9f52187a180f29723c31756a939bc", # cbBTC/RLUSD -> lltv 86%, oracle: chainlink cbBTC/USD and Chainlink RLUSD/USD.
"0xa128dddc761075df9a9a60689f3a41a989b245aad506352c509c0c3a76a9ec6b", # WBTC/RLUSD -> lltv 86%, oracle: Chainlink WBTC/BTC, Chainlink BTC/USD and Chainlink RLUSD/USD.
"0xea4bfb18df0ee6bffb7b3f0270899a8adb92ab6b684709634c8276128813cfd4", # weETH/RLUSD -> lltv 86%, oracle: chainlink weETH/ETH and chainlink ETH/USD and Chainlink RLUSD/USD.
"0x88abdf8693e663144c3544b9442e9b04520016d6ebc57aa76424c00ab1683c9d", # wstETH/RLUSD -> lltv 86%, oracle: Compound wstETH/ETH price feed, chainlink ETH/USD and Chainlink RLUSD/USD.
"0x48a0da254e4df7b1046baa5ef11beb7916203886ce153a07a6d28c5d63cf8fad", # sUSDe/RLUSD -> lltv 91.5%, oracle: sUSDe ERC4626 vault, chainlink USDe/USD and Chainlink RLUSD/USD.
"0xf5c5df23559b0fb56560a7578ea17d81e245153ba64b8132df026c9358864d27", # wstETH/PYUSD -> lltv 86%, oracle: Compound wstETH/ETH feed, chainlink ETH/USD and Chainlink PYUSD/USD.
"0xa5beccdffd156dfe8c0871f143648c512f0a34f37c8a4ae2ff31ebfe944641d1", # sUSDS/PYUSD -> lltv 94.5%, oracle: sUSDS ERC4626 vault, chainlink USDS/USD and Chainlink PYUSD/USD.
"0xc9629945524f3fde56c7e8854a6c3d48e76b9d97236abbe73c750fcc7aeb8501", # syrupUSDC/PYUSD -> lltv 91.5%, oracle: syrupUSDC MaplePool ERC4626 to USDC, chainlink USDC/USD and Chainlink PYUSD/USD.
"0x6a7e36eb088bd501d73f7ab4c5b8671358559341a78ce521c9e499dc0bc642b9", # LBTC/PYUSD -> lltv 86%, oracle: Redstone LBTC_FUNDAMENTAL, chainlink BTC/USD and Chainlink PYUSD/USD.
"0x85d59152eeeab7ca024804895b358868d8dd1e134171be400d7792d5604a212c", # weETH/PYUSD -> lltv 86%, oracle: chainlink weETH/ETH and chainlink ETH/USD and Chainlink PYUSD/USD.
"0x90ef0c5a0dc7c4de4ad4585002d44e9d411d212d2f6258e94948beecf8b4c0d5", # sUSDe/PYUSD -> lltv 91.5%, oracle: sUSDe ERC4626 vault, chainlink USDe/USD and Chainlink PYUSD/USD.
"0xcb12dcbc7c6c4f20ca1537a3cc1a41ec27501f85a3e322a710d9a16a88a28c0e", # PT-sUSDE-7MAY2026/PYUSD -> lltv 91.5%, oracle: Pendle oracle PT to USDe, chainlink USDe/USD and Chainlink PYUSD/USD.
"0xd8a8e6667f58aa9229e8979bd619742b1660ee856c200a93e407dbccb7222323", # cbBTC/PYUSD -> lltv 86%, oracle: chainlink cbBTC/USD and Chainlink PYUSD/USD.
"0x6d2fba32b8649d92432d036c16aa80779034b7469b63abc259b17678857f31c2", # wstETH/USDC -> lltv 86%, oracle: MorphoChainlinkOracleV2 — Api3 wstETH/USD + Api3 USDC/USD.
"0xba3ba077d9c838696b76e29a394ae9f0d1517a372e30fd9a0fc19c516fb4c5a7", # cbBTC/USDC -> lltv 86%, oracle: MorphoChainlinkOracleV2, Api3 cbBTC/USD + Api3 USDC/USD.
"0x15bb2a6af0c909eed19fb1f2ceeead34ecbdcba626de752c6b09389ee14eec32", # kBTC/RLUSD -> lltv 86%, oracle: Chainlink BTC/USD and Chainlink RLUSD/USD.
"0xe51f9aaad25d0e755429cf77076b3c2d37cb1228ed81f8a5482f2102c220eef5", # kBTC/PYUSD -> lltv 86%, oracle: Chainlink BTC/USD and Chainlink PYUSD/USD.
],
Chain.BASE: [
"0x6aa81f51dfc955df598e18006deae56ce907ac02b0b5358705f1a28fcea23cc0", # wstETH/WETH -> lltv 96.5%, oracle: Chainlink wstETH-stETH Exchange Rate
"0x6600aae6c56d242fa6ba68bd527aff1a146e77813074413186828fd3f1cdca91", # cbETH/WETH -> lltv 96.5%, oracle: cbETH-ETH logocbETH-ETH Exchange Rate
"0x78d11c03944e0dc298398f0545dc8195ad201a18b0388cb8058b1bcb89440971", # weETH/WETH -> lltv 91.5%, oracle: Chainlink weETH / eETH Exchange Rate
"0xfd0895ba253889c243bf59bc4b96fd1e06d68631241383947b04d1c293a0cfea", # weETH/WETH -> lltv 94.5%, oracle: Chainlink weETH / eETH Exchange Rate
"0xdaa04f6819210b11fe4e3b65300c725c32e55755e3598671559b9ae3bac453d7", # AERO/USDC -> lltv 62.5%, oracle: Chainlink AERO/USD and Chainlink USDC/USD
"0x5189c48e1d333d250642a96b90dc926c53f897d8b8f9e8fea71a4b14e9053fde", # steakSUSDS/USDC -> lltv: 96.5%, oracle: Maker's SSR oracle for sUSDS / USDS and dummy oracle for USDC returns 1. USDS = USDC
"0xdba352d93a64b17c71104cbddc6aef85cd432322a1446b5b65163cbbc615cd0c", # cbETH/USDC -> lltv 86.5%, oracle: Chainlink cbETH/ETH and Chainlink ETH/USD and Chainlink USDC/USD -> but low liquidity
"0x7f90d72667171d72d10d62b5828d6a5ef7254b1e33718fe0c1f7dcf56dd1edc7", # bsdETH/WETH -> lltv 91.5%, oracle: bsdETH total supply. bsdETH token has internal monitoring.
"0x144bf18d6bf4c59602548a825034f73bf1d20177fc5f975fc69d5a5eba929b45", # wsuperOETHb/WETH -> lltv 91.5%, oracle: Vault exchange rate for wsuperOETHb/superOETHb, superOETHb=ETH. wsuperOETHb token has internal monitoring.
"0x67a66cbacb2fe48ec4326932d4528215ad11656a86135f2795f5b90e501eb538", # superOETHb/USDC -> lltv 77%, oracle: Chainlink ETH/USD and Chainlink USDC/USD, 1ETH=1superOETHb
"0xd4a903dc6d949519060c7707f9604fdc9772c046e05c2e3a8fce0bd7196e4109", # cbXRP/USDC -> lltv 62.5%, oracle: Chainlink XRP/USD
"0x9125d0fa03c3137166df68bcc72283477830de2a4a5536512374c573ad4583c3", # cbLTC/USDC -> lltv 62.5%, oracle: Chainlink LTC/USD
"0x30767836635facec1282e6ef4a5981406ed4e72727b3a63a3a72c74e8279a8d7", # LBTC/cbBTC -> lltv 94.5%, oracle: RedStone Price Feed for LBTC_FUNDAMENTAL: https://app.redstone.finance/app/feeds/base/lbtc_fundamental/
"0x0b2df036bb06b49d893a8f5578cb5a31619f46d7a79cbf11783838204cfdf9e3", # YFI/USDC -> lltv 77%, oracle: Chainlink YFI/USD and Chainlink USDC/USD.
],
Chain.KATANA: [
"0xfe6cb1b88d8830a884f2459962f4b96ae6e38416af086b8ae49f5d0f7f9fc0cd", # POL/vbUSDC -> lltv 77%, oracle: Chainlink POL/USD and Chainlink USDC/USD
"0xdf0f160d591f02931e44010763f892a51a480257a5ff21c41ebff874b0c7d258", # BTCK/vbUSDT -> lltv 77%, oracle: Redstone BTC/USD
"0x0e9d558490ed0cd523681a8c51d171fd5568b04311d0906fec47d668fb55f5d9", # BTCK/vbUSDC -> lltv 77%, oracle: Redstone BTC/USD
"0x913c787d438ca1dab5f5485c2d2d6e2aa2dfee47a5f02edd11331ad25b219dcf", # KAT/vbUSDC -> lltv 62.5%, oracle: Chainlink KAT/USD and Chainlink USDC/USD.
"0x24e50037bacb39950700c00851d5260e61975fb79f252ae2adbf7fdbd8db7290", # KAT/vbUSDT -> lltv 62.5%, oracle: Chainlink KAT/USD and Chainlink USDT/USD.
"0x95f193f8f999718f3ce043249f12bfaea07458aae5343fc8d6355792cc17fa6c", # avKAT/vbUSDT -> lltv 62.5%, oracle: Custom oracle ERC4626 avKAT*exit-fee/KAT, Chainlink KAT/USD and Chainlink USDT/USD.
"0xbd48214a2f12e951da20ad0b8fd83b611c693b5bbaa280b68ba4075678f2a138", # avKAT/vbUSDC -> lltv 62.5%, oracle: Custom oracle ERC4626 avKAT*exit-fee/KAT, Chainlink KAT/USD and Chainlink USDC/USD.
"0x071ed2047610c7b33e1540e49fcc0a6852cb783cca0dd7dc428f32fd791a020f", # wstETH/AUSD -> lltv 86%, oracle: RedStone Price Feed for wstETH. USD=AUSD.
"0xa7cd449cc319d65be3d0926d6b6f599a8c3434bd95ba3e91bbf1ee5e80e72b56", # LBTC/vbUSDC -> lltv 86%, oracle: RedStone Price Feed for LBTC_FUNDAMENTAL and RedStone BTC/USD. USD=vbUSDC.
"0x2c4f26c76b4de51d3c9260c15a796cd2a35efab17786d0aa78ca2e638b0f8ba8", # yvvbUSDC/vbETH -> lltv 77%, oracle: yearn vault exchange rate. Chainlink ETH/USD and Chainlink USDC/USD.
"0x61fcb4d6d1534eedeb0e0bea361745f727d73f14569d231c4a2b39232b6b7312", # yvvbUSDT/vbWBTC -> lltv 77%, oracle: yearn vault exchange rate. Chainlink WBTC/USD and Chainlink USDT/USD.
"0x09c2ecea0580698a91be0cff2bad3648b00744453c14a9bfb6be5ca7b9950908", # PT-yvvbUSDC/vbUSDT -> lltv 86%, oracle: Pendle PT exchange rate(PT to asset) yvvbUSDC with yearn vault rate. Chainlink USDC/USD and Chainlink USDT/USD.
],
}
MARKETS_RISK_3 = {
Chain.MAINNET: [
"0x0cd36e6ecd9d846cffd921d011d2507bc4c2c421929cec65205b3cd72925367c", # Curve TricryptoLLAMA LP / crvUSD -> collaterals: crvUSD, wstETH, tBTC.
"0x198132864e7974fb451dfebeb098b3b7e7e65566667fb1cf1116db4fb2ad23f9", # PT-LBTC-27MAR2025 / WBTC -> lltv 86%, oracle: Pendle PT exchange rate, readstone exchange rate LBTC/BTC and chainlink WBTC/BTC.
"0x8a0384fe5b1a68ff217845752287f432029b20754fbce577b6a5f8a80030a825", # PT-LBTC-26JUN2025 / WBTC -> lltv 91.5%, oracle: Pendle PT exchange rate, readstone exchange rate LBTC/BTC
"0xba761af4134efb0855adfba638945f454f0a704af11fc93439e20c7c5ebab942", # rsETH/WETH -> lltv 94.5%, oracle: origami rsETH/ETH which calls KELP_LRT_ORACLE.rsETHPrice(). Oracle address: https://etherscan.io/address/0x349A73444b1a310BAe67ef67973022020d70020d
"0xa0534c78620867b7c8706e3b6df9e69a2bc67c783281b7a77e034ed75cee012e", # ezETH/WETH -> lltv 94.5%, oracle: origami ezETH/ETH which calls renzoOracle()).calculateRedeemAmount(). It is hypothetical price, not the actual price.
"0x8e7cc042d739a365c43d0a52d5f24160fa7ae9b7e7c9a479bd02a56041d4cf77", # USR/USDC -> lltv 91.5%, oracle: USR/USD price aggregator which is checking reserves and defining max price as 1
"0x97bb820669a19ba5fa6de964a466292edd67957849f9631eb8b830c382f58b7f", # MKR/USDC -> lltv 77%, oracle: Chainlink MKR/USD and Chainlink USDC/USD.
"0x718af3af39b183758849486340b69466e3e89b84b7884188323416621ee91cb7", # UNI/USDC -> lltv 62%, oracle: Chainlink UNI/USD and Chainlink USDC/USD.
"0x9c765f69d8a8e40d2174824bc5107d05d7f0d0f81181048c9403262aeb1ab457", # LINK/USDC -> lltv 77%, oracle: Chainlink LINK/USD and Chainlink USDC/USD.
"0xb7ad412532006bf876534ccae59900ddd9d1d1e394959065cb39b12b22f94ff5", # agETH/WETH -> lltv 91.5%, oracle: rsETH/ETH exchange rateainlink ETH/USD. Alike assets.
"0x1eda1b67414336cab3914316cb58339ddaef9e43f939af1fed162a989c98bc20", # USD0++/USDC -> lltv 96.5%, oracle: Naked USD0++ price feed adapter
"0xf9e56386e74f06af6099340525788eec624fd9c0fc0ad9a647702d3f75e3b6a9", # clUSD/USDC -> lltv 96.5%, oracle: Chainlink clUSD/USD
"0xd9e34b1eed46d123ac1b69b224de1881dbc88798bc7b70f504920f62f58f28cc", # wstUSR/USDC -> lltv 91.5%, oracle: wstUSR vault rate. USR/USD price aggregator which is checking reserves and defining max price as 1
"0x53ed197357128ed96070e20ba9f5af4250cda6c67dcac5246876beb483f51303", # sDOLA/USDC -> lltv 91.5%, oracle: sDOLA vault rate. DOLA = USDC hardcoded oracle.
"0x7a7018e22a8bb2d08112eae9391e09f065a8ae7ae502c1c23dc96c21411a6efd", # EIGEN/USDC -> lltv 77%, oracle: Redstone EIGEN/USD. USD = USDC.
"0xce68c7aa336675e42bbc8eaa8b5ecc7ebd816bf8625b5316330c6ac2dabc4cf2", # SolvBTC/BTC -> lltv 94.5%, oracle: upgradeable MetaOracleDeviationTimelock with prime oracle morpho oracle with 1:1 hardcoded rate. same assets
"0xbbf7ce1b40d32d3e3048f5cf27eeaa6de8cb27b80194690aab191a63381d8c99", # siUSD/USDC -> lltv 91.5%, oracle: infinity accouting contract provides the price iUSD, vault rate siUSD to iUSD. usdc = 1 using dummy oracle.
"0xaac3ffcdf8a75919657e789fa72ab742a7bbfdf5bb0b87e4bbeb3c29bbbbb05c", # PT-siUSD-26MAR2026/USDC -> lltv 91.5%, oracle: ChainlinkOracleV2 — Pendle Chainlink-compatible PT feed, InfiniFi RT oracle (baseFeedTwo), dummy USDC feed (quote).
"0xdf034d0351a4c0af947e1a37ecd5ccbce60d72eac90de6fcad48c74e2869d14c", # PT-iUSD-25JUN2026/USDC -> lltv 91.5%, oracle: same stack as PT-siUSD row but Ojo PT Feed (Pendle-compatible) for PT leg; InfiniFi RT + dummy USDC.
"0xc6ae8e71e11ef511acee3f6cc6ad2af67b862877d459e3789905f537c85db5e3", # PT-sUSDE-25SEP2025/DAI -> lltv 91.5%, oracle: PendleSparkLinearDiscountOracle with linear discount oracle for sUSDE. No price oracle for DAI, USDe = DAI.
"0x27b9a0a5bfee98a31eb51e3850250d103a9f8e41673c782defc66aa943af0e65", # PT-srUSDe-2APR2026/USDC -> lltv 91.5%, oracle: Pendle PT exchange rate(PT to asset) srUSDe. USDC = 1 using dummy oracle.
],
Chain.BASE: [
"0x4944a1169bc07b441473b830308ffe5bb535c10a9f824e33988b60738120c48e", # LBTC/cbBTC -> lltv 91.5%, oracle: Custom moonwell oracle. Base feed is fetched from upgradeable oracle which uses 2 oracles. Primary oracle is redstone oracle, if the price changes more than 2% than it uses fallback oracle chainlink oracle. Chainlink didn't have an exchange rate feed. Redstone was the only provider for the LBTC reserves.
"0x214c2bf3c899c913efda9c4a49adff23f77bbc2dc525af7c05be7ec93f32d561", # wrsETH/WETH -> lltv 94.5%, oracle: Chainlink wrsETH/ETH exchange rate
"0x6a331b22b56c9c0ee32a1a7d6f852d2c682ea8b27a1b0f99a9c484a37a951eb7", # weETH/USDC -> lltv 77%, oracle: Chainlink weETH / eETH Exchange Rate and Chainlink ETH/USD and Chainlink USDC/USD
"0x52a2a376586d0775e3e80621facc464f6e96d81c8cb70fd461527dde195a079f", # LBTC/USDC -> lltv 86%, oracle: RedStone Price Feed for LBTC/BTC and Chainlink BTC/USD
"0xfdfecf85a4dd90a7637ae2aaf28b35061166f0e62bfc714c565eed9f7e959783", # cbXRP/USDC -> lltv 77%, oracle: Chainlink XRP/USD, Higher LLTV.
"0xdc69cf2caae7b7d1783fb5a9576dc875888afad17ab3d1a3fc102f741441c165", # rETH/WETH -> lltv 94.5%, oracle: Chainlink rETH/ETH, high risk oracle
"0x0103cbcd14c690f68a91ec7c84607153311e9954c94ac6eac06c9462db3fabb6", # rETH/EURC -> lltv 94.5%, oracle: Chainlink rETH/ETH, high risk oracle
"0x73527ddd796e6d4f48387adaae36f6f3d49d606d7f2a15eb0c931416a58875d8", # cbDOGE/USDC -> lltv 62.5%, oracle: Chainlink DOGE/USD
],
Chain.KATANA: [
"0xd8a93a4cd16f843c385391e208a9a9f2fd75aedfcca05e4810e5fbfcaa6baec6", # wsrUSD/vbUSDC -> lltv 91.5%, oracle: API3 wsrUSD/rUSD Exchange Rate, rUSD = vbUSDC.
"0xf7fc5cc82200ddf8f23188ddbd6727eda2c8bc41863e91fb767bbc6e4f71890e", # siUSD/vbUSDC -> lltv 86%, oracle: MorphoChainlinkOracleV2, Chainlink SIUSD/USD; no quote feed (vbUSDC = USD).
"0xea8f588be62079a1ad874bf7c7217166b323e0fe8ea3e59b584430ed1b859ace", # stcUSD/vbUSDC -> lltv 86%, oracle: MorphoChainlinkOracleV2, Chainlink STCAPUSD/CAPUSD exchange rate, Chainlink CAPUSD/USD and Chainlink USDC/USD.
],
Chain.ARBITRUM: [
"0x71c2954e00c8f72864600c9d1d1cd70fa15202c4294cd938d80add3be2eced26", # sUSDai/USDC -> lltv 91.5%, oracle: Chronicle sUSDai/USD and Chainlink USDC/USD.
"0x8147c63f3f6f5a0825c84bf2cb11443c72b609fa39cf9a362e3d4dc2c5ca76c4", # PT-USDai-19FEB2026/USDC -> lltv 91.5% oracle: MetaOracleDeviationTimelock by Steakhouse with primary oracle set to Pendle PT where USDai=USDC and backup oracle set to
"0x7717f1e04510390518811b3133ea47c298094ddd1d806ed8f8867d88c727bad7", # PT-sUSDai-19FEB2026/USDC -> lltv 86%, oracle: Pendle PT exchange rate(PT to asset) sUSDai with ERC4626 vault rate sUSDai to USDai. Chainlink oracle USDC/USD.
],
}
MARKETS_RISK_4 = {
Chain.MAINNET: [
"0x3c83f77bde9541f8d3d82533b19bbc1f97eb2f1098bb991728acbfbede09cc5d", # rETH/WETH -> lltv 94.5%, oracle: gravita rETH/ETH. Can change owner and aggregator.
"0xe95187ba4e7668ab4434bbb17d1dfd7b87e878242eee3e73dac9fdb79a4d0d99", # EIGEN/USDC -> lltv 77%, oracle: Redstone EIGEN/USD. USD = USDC.
"0x444327b909aa41043cc4f20209eefb2fbb37f1c38ff9ca312374a4ecc3f0a871", # SolvBTC/USDC -> lltv 86%, oracle: chainlink BTC/USD and chainlink USDC/USD
"0x2287407f0f42ad5ad224f70e4d9da37f02770f79959df703d6cfee8afc548e0d", # STONE/WETH -> lltv 94.5%, centralization risk
"0xf78b7d3a62437f78097745a5e3117a50c56a02ec5f072cba8d988a129c6d4fb6", # beraSTONE/WETH -> lltv 91.5%, centralization risk. chainlink ETH/USD
"0xcacd4c39af872ddecd48b650557ff5bcc7d3338194c0f5b2038e0d4dec5dc022", # rswETH/WETH -> lltv 94.5%, unknown asset
"0x0eed5a89c7d397d02fd0b9b8e42811ca67e50ed5aeaa4f22e506516c716cfbbf", # pufETH/WETH -> lltv 86%, oracle: pufETH vault exchange rate. Low liquidity market.
"0x7e9c708876fa3816c46aeb08937b51aa0461c2af3865ecb306433db8a80b1d1b", # pufETH/USDC -> lltv 77%, oracle: pufETH vault exchange rate. Low liquidity market.
"0x514efda728a646dcafe4fdc9afe4ea214709e110ac1b2b78185ae00c1782cc82", # swBTC/WBTC -> lltv 94.5%, same asset, check swBTC liquidity before moving up
"0x20c488469064c8e2f892dab33e8c7a631260817f0db57f7425d4ef1d126efccb", # Re7wstETH/WETH -> lltv 91.5%, unknown asset
"0xd925961ad5df1d12f677ff14cf20bac37ea5ef3b325d64d5a9f4c0cc013a1d47", # stUSD/USDC -> lltv 96.5%, oracle: stUSD vault rate. Angle transmuter handles USDA -> USDC conversion.
"0xbf6687cb042a09451e66ebc11d7716c49fb8ccc75f484f7fab0eed6624bd5838", # mMEV/USDC -> lltv 91.5%, oracle: Midas price oracle mMEV/USD. More info at: https://docs.midas.app/defi-integration/price-oracle
"0x83b7ad16905809ea36482f4fbf6cfee9c9f316d128de9a5da1952607d5e4df5e", # csUSDL/USDC -> lltv 96.5%, oracle: wUSDL / USDL vault rate.
"0xe1b65304edd8ceaea9b629df4c3c926a37d1216e27900505c04f14b2ed279f33", # RLP/USDC -> lltv 86%, oracle: RLP oracle where the price is set manually, but must be in bounds. Owner of the proxy is multisig.
"0x8b1bc4d682b04a16309a8adf77b35de0c42063a7944016cfc37a79ccac0007b6", # slvlUSD/USDC -> lltv 91.5%, oracle: slvlUSD vault rate. lvlUSD = USDC
"0x95c28d447950ca6c8bbfd25fc05b80b1fd7a1cdd17a3610b4b3f1ffc8dc2e2ed", # mHYPER/USDC -> lltv 86%, oracle: MHyperCustomAggregatorFeed
"0xe83d72fa5b00dcd46d9e0e860d95aa540d5ec106da5833108a9f826f21f36f52", # AA_FalconXUSDC/USDC -> lltv 77%, oracle: TranchesChainlinkOracle virtual price of current tranches.
],
Chain.BASE: [
"0xff0f2bd52ca786a4f8149f96622885e880222d8bed12bbbf5950296be8d03f89", # USR/USDC -> lltv 91.5%, oracle: pyth USR/USD and pyth USDC/USD
],
Chain.KATANA: [],
}
MARKETS_RISK_5 = {
Chain.MAINNET: [
"0xbfed072faee09b963949defcdb91094465c34c6c62d798b906274ef3563c9cac", # srUSD/USDC -> lltv 91.5%, oracle: saving rate module price. rUSD(USD) is underlying asset. rUSD = USDC hardcoded oracle.
"0x0f9563442d64ab3bd3bcb27058db0b0d4046a4c46f0acd811dacae9551d2b129", # sdeUSD/USDC -> lltv 91.5%, oracle: sdeUSD vault rate. Redstone oracle deusd/usd price, 24hour heartbeat, deviation 0.2%: https://app.redstone.finance/app/feeds/ethereum-mainnet/deusd_fundamental/
],
Chain.BASE: [],
Chain.KATANA: [
"0x16ded80178992b02f7c467c373cfc9f4eee7f0356df672f6a768ec92b2ffdeff", # yUSD/vbUSDC -> lltv 86%, oracle: yUSD vault rate. yUSD = vbUSDC hardcoded oracle.
],
}
# Define base allocation tiers
ALLOCATION_TIERS = {
1: 1.01, # Risk tier 1 max allocation # TODO: think about lowering this to 0.80 but some vaults use 100% allocation to one market
2: 0.30, # Risk tier 2 max allocation
3: 0.10, # Risk tier 3 max allocation
4: 0.05, # Risk tier 4 max allocation
5: 0.01, # Unknown market max allocation
}
# Define max risk thresholds by risk level
MAX_RISK_THRESHOLDS = {
1: 1.10, # Risk tier 1 max total risk
2: 2.20, # Risk tier 2 max total risk
3: 3.30, # Risk tier 3 max total risk
4: 4.40, # Risk tier 4 max total risk
5: 5.00, # Risk tier 5 max total risk
}
def get_market_allocation_threshold(market_risk_level: int, vault_risk_level: int) -> float:
"""
Get allocation threshold based on market and vault risk levels.
For higher vault risk levels, thresholds shift up (become more permissive).
For example, if vault risk level is 2, then market risk level 1 is 0.80, market risk level 2 is 0.30, etc.
Args:
market_risk_level: Risk level of the market (1-5)
vault_risk_level: Risk level of the vault (1-5)
Returns:
Allocation threshold as a decimal (0-1)
"""
# Shift market risk level down based on vault risk level
adjusted_risk = max(1, market_risk_level - (vault_risk_level - 1))
return ALLOCATION_TIERS[adjusted_risk]
def get_chain_name(chain: Chain) -> str:
"""Convert chain to name used in Morpho URLs."""
if chain == Chain.MAINNET:
return "ethereum"
else:
return chain.name.lower()
def get_market_url(market: Dict[str, Any]) -> str:
"""Generate URL for a Morpho market."""
chain_id = market["collateralAsset"]["chain"]["id"]
chain = Chain.from_chain_id(chain_id)
return f"{MORPHO_URL}/{get_chain_name(chain)}/market/{market['marketId']}"
def get_vault_url(vault_data: Dict[str, Any]) -> str:
"""Generate URL for a Morpho vault."""
chain_id = vault_data["chain"]["id"]
chain = Chain.from_chain_id(chain_id)
return f"{MORPHO_URL}/{get_chain_name(chain)}/vault/{vault_data['address']}"
def bad_debt_alert(
markets: List[Dict[str, Any]],
vault_name: str,
vault_url: str,
chain: Chain,
alerted_markets: set[str],
) -> None:
"""
Send telegram message if bad debt is detected in any market.
Args:
markets: List of market data
vault_name: Name of the vault (for alert message)
vault_url: URL of the vault
chain: Chain the vault is on
alerted_markets: Set of market IDs already alerted (prevents duplicates across vaults)
"""
for market in markets:
market_id = market["marketId"]
if market_id in alerted_markets:
continue
bad_debt = market["badDebt"]["usd"]
borrowed_tvl = market["state"]["borrowAssetsUsd"]
# Skip markets with no borrows
if borrowed_tvl == 0:
continue
# Alert if bad debt ratio exceeds threshold
if bad_debt / borrowed_tvl > BAD_DEBT_RATIO:
alerted_markets.add(market_id)
market_url = get_market_url(market)
market_name = f"{market['collateralAsset']['symbol']}/{market['loanAsset']['symbol']}"
message = (
f"🚨 Bad debt detected in [{vault_name}]({vault_url}) on {chain.name}\n"
f"💹 Market: [{market_name}]({market_url})\n"
f"💸 Bad debt: ${bad_debt:,.2f} ({(bad_debt / borrowed_tvl):.2%} of borrowed)\n"
)
send_telegram_message(message, PROTOCOL)
def check_allocation_and_risk(vault_data):
"""
Check per-market allocation and total vault risk level.
Sends a consolidated alert if any markets exceed allocation thresholds.
Sends a separate alert if total risk level exceeds the vault's maximum.
"""
total_assets = vault_data.get("state", {}).get("totalAssetsUsd", 0) or 0
if total_assets == 0:
return
vault_name = vault_data["name"]
vault_url = get_vault_url(vault_data)
chain = Chain.from_chain_id(vault_data["chain"]["id"])
# Find vault in VAULTS_BY_CHAIN to get risk level
vault_address = vault_data["address"]
risk_level = None
for vault in VAULTS_BY_CHAIN[chain]:
if vault[1].lower() == vault_address.lower():
risk_level = vault[2]
break
if risk_level is None:
# Throw error if vault not found in config
raise ValueError(f"Vault {vault_address} not found in VAULTS_BY_CHAIN config")
total_risk_level = 0.0
allocation_violations: list[str] = []
for allocation in vault_data["state"]["allocation"]:
# market without collateral asset is idle asset; supplyCap == 0 means the
# curator has not enabled this market for active supply.
if int(allocation.get("supplyCap", 0)) == 0 or allocation["market"]["collateralAsset"] is None:
continue
market = allocation["market"]
market_id = market["marketId"]
market_supply = allocation.get("supplyAssetsUsd", 0) or 0
if market_supply == 0:
logger.info("Skipping market %s has 0 supply assets", market_id)
continue
allocation_ratio = min(market_supply / total_assets, 1.0) # prevent allocation ratio from exceeding 100%
# Determine market risk level
if market_id in MARKETS_RISK_1[chain]:
market_risk_level = 1
elif market_id in MARKETS_RISK_2[chain]:
market_risk_level = 2
elif market_id in MARKETS_RISK_3[chain]:
market_risk_level = 3
elif market_id in MARKETS_RISK_4[chain]:
market_risk_level = 4
else:
market_risk_level = 5
allocation_threshold = get_market_allocation_threshold(market_risk_level, risk_level)
risk_multiplier = market_risk_level
if allocation_ratio > allocation_threshold:
market_url = get_market_url(market)
market_name = f"{market['collateralAsset']['symbol']}/{market['loanAsset']['symbol']}"
allocation_violations.append(
f"- [{market_name}]({market_url}) (risk {market_risk_level}): "
f"{allocation_ratio:.1%} (max: {allocation_threshold:.1%})"
)
# Calculate weighted risk score for each market allocation
# risk_multiplier: market risk tier (1-5, higher = riskier)
# allocation_ratio: percentage of vault's assets in this market
# total_risk_level: sum of (risk_tier * allocation) across all markets
total_risk_level += risk_multiplier * allocation_ratio
# Send consolidated allocation alert if any markets exceed thresholds
if allocation_violations:
violations_text = "\n".join(allocation_violations)
message = (
f"🔺 High allocation in [{vault_name}]({vault_url}) (risk {risk_level}) on {chain.name}\n"
f"{violations_text}\n"
)
send_telegram_message(message, PROTOCOL)
# print total risk level and vault name
logger.info("Total risk level: %s, vault: %s on %s", f"{total_risk_level:.2f}", vault_name, chain.name)
# round total_risk_level to 2 decimal places
total_risk_level = round(total_risk_level, 2)
if total_risk_level > MAX_RISK_THRESHOLDS[risk_level]:
message = (
f"⚠️ High risk level in [{vault_name}]({vault_url}) (risk {risk_level}) on {chain.name}\n"
f"🔢 Risk level: {total_risk_level:.2f} (max: {MAX_RISK_THRESHOLDS[risk_level]:.2f})\n"
f"🔢 Total assets: ${total_assets:,.2f}\n"
)
send_telegram_message(message, PROTOCOL)
def is_yv_collateral_vault(vault_address: str, chain: Chain) -> bool:
"""
Check if a vault is used as YV collateral by looking in the asset-based config.
Args:
vault_address: Address of the vault to check
chain: Chain the vault is on
Returns:
True if vault is used as YV collateral
"""
if chain not in VAULTS_WITH_YV_COLLATERAL_BY_ASSET:
return False
# Check all asset groups for this chain
for asset_address, vaults in VAULTS_WITH_YV_COLLATERAL_BY_ASSET[chain].items():
for vault_name, vault_addr in vaults:
if vault_addr.lower() == vault_address.lower():
return True
return False
def get_yv_collateral_vaults_by_asset(chain: Chain) -> Dict[str, List[str]]:
"""
Get YV collateral vaults organized by asset address.
Args:
chain: Chain to get vaults for
Returns:
Dictionary with asset address as key and list of vault addresses as value
"""
result = {}
if chain not in VAULTS_WITH_YV_COLLATERAL_BY_ASSET:
return result
for asset_address, vaults in VAULTS_WITH_YV_COLLATERAL_BY_ASSET[chain].items():
vault_addresses = [vault[1] for vault in vaults] # Extract addresses from [name, address] pairs
result[asset_address.lower()] = vault_addresses
return result
def group_vaults_by_chain(vaults_data: List[Dict[str, Any]]) -> Dict[Chain, List[Dict[str, Any]]]:
"""Group vaults by their chain."""
vaults_by_chain = {}
for vault_data in vaults_data:
chain = Chain.from_chain_id(vault_data["chain"]["id"])
if chain not in vaults_by_chain:
vaults_by_chain[chain] = []
vaults_by_chain[chain].append(vault_data)
return vaults_by_chain
def find_yv_vaults_for_asset(
chain_vaults: List[Dict[str, Any]],
asset_address: str,
yv_vault_addresses: List[str],
) -> List[Dict[str, Any]]:
"""Find all YV collateral vaults for a specific asset."""
asset_yv_vaults = []
yv_vault_addresses_lower = {address.lower() for address in yv_vault_addresses}
for vault_data in chain_vaults:
vault_address = vault_data["address"].lower()
vault_asset_address = vault_data.get("asset", {}).get("address", "").lower()
# Check if this vault is for the current asset and is YV collateral
if vault_asset_address == asset_address and vault_address in yv_vault_addresses_lower:
asset_yv_vaults.append(vault_data)
return asset_yv_vaults
def calculate_combined_metrics(asset_yv_vaults: List[Dict[str, Any]]) -> tuple[float, float, List[str]]:
"""Calculate combined total assets, liquidity, and vault names for a group of vaults."""
combined_total_assets = 0
combined_liquidity = 0
vault_names = []
for vault in asset_yv_vaults:
total_assets = vault["state"]["totalAssetsUsd"] or 0
liquidity = vault["liquidity"]["usd"] or 0
# Only include vaults with meaningful assets (>= 10k)
if total_assets >= 10_000:
combined_total_assets += total_assets
combined_liquidity += liquidity
vault_names.append(vault["name"])
return combined_total_assets, combined_liquidity, vault_names
def parse_lltv(lltv: str | int | None) -> float:
"""Convert Morpho's WAD-scaled LLTV into a decimal ratio."""
if lltv is None:
return 0.0
try:
return int(lltv) / 1e18
except (TypeError, ValueError):
return 0.0
def get_yv_collateral_price_shock(lltv: str | int | None) -> float:
"""Pick the adverse price move used for collateral-at-risk checks from LLTV."""
lltv_ratio = parse_lltv(lltv)
if lltv_ratio >= 0.86:
return YV_COLLATERAL_STABLE_PRICE_SHOCK
if lltv_ratio <= 0.77:
return YV_COLLATERAL_VOLATILE_PRICE_SHOCK
return YV_COLLATERAL_FALLBACK_PRICE_SHOCK
def get_yv_collateral_liquidity_by_asset(chain: Chain, chain_vaults: List[Dict[str, Any]]) -> Dict[str, Dict[str, Any]]:
"""Build withdrawable liquidity groups for Yearn-vault collateral underlying assets."""
yv_vaults_by_asset = get_yv_collateral_vaults_by_asset(chain)
liquidity_by_asset = {}
for asset_address, yv_vault_addresses in yv_vaults_by_asset.items():
asset_yv_vaults = find_yv_vaults_for_asset(chain_vaults, asset_address, yv_vault_addresses)
if not asset_yv_vaults:
continue
asset_symbol = asset_yv_vaults[0].get("asset", {}).get("symbol", "UNKNOWN")
(
combined_total_assets,
combined_liquidity,
vault_names,
) = calculate_combined_metrics(asset_yv_vaults)
if combined_total_assets < YV_COLLATERAL_MIN_GROUP_ASSETS_USD:
logger.info(
"Skipping %s YV collateral liquidity group: total assets $%s below threshold",
asset_symbol,
f"{combined_total_assets:,.2f}",
)
continue
asset_key = asset_address.lower()
group_data = {
"asset_symbol": asset_symbol,
"asset_address": asset_key,
"combined_total_assets": combined_total_assets,
"combined_liquidity": combined_liquidity,
"vault_names": vault_names,
"vault_count": len(asset_yv_vaults),
}
if asset_key in liquidity_by_asset:
existing = liquidity_by_asset[asset_key]
logger.warning(
"Duplicate YV collateral liquidity group for %s on %s; aggregating %s into existing group",
asset_symbol,
chain.name,
asset_address,
)
existing["combined_total_assets"] += group_data["combined_total_assets"]
existing["combined_liquidity"] += group_data["combined_liquidity"]
existing["vault_names"].extend(group_data["vault_names"])
existing["vault_count"] += group_data["vault_count"]
else:
liquidity_by_asset[asset_key] = group_data
liquidity_ratio = combined_liquidity / combined_total_assets
logger.info(
"YV collateral liquidity group %s on %s: %s vaults, $%s total assets, $%s liquidity (%s)",
asset_symbol,
chain.name,
len(asset_yv_vaults),
f"{combined_total_assets:,.2f}",
f"{combined_liquidity:,.2f}",
f"{liquidity_ratio:.1%}",
)
return liquidity_by_asset
def collect_yv_collateral_markets(
chain: Chain,
chain_vaults: List[Dict[str, Any]],
liquidity_by_asset: Dict[str, Dict[str, Any]],
) -> Dict[str, tuple[Dict[str, Any], Dict[str, Any]]]:
"""Collect configured direct Yearn vault collateral markets."""
configured_markets_by_asset = YV_COLLATERAL_MARKETS_BY_ASSET.get(chain, {})
market_to_asset = {
market_id.lower(): asset_address.lower()
for asset_address, market_ids in configured_markets_by_asset.items()
for market_id in market_ids
}
markets: Dict[str, tuple[Dict[str, Any], Dict[str, Any]]] = {}
for vault_data in chain_vaults:
for allocation in vault_data["state"]["allocation"]:
market = allocation.get("market") or {}
if market.get("collateralAsset") is None:
continue
market_id = market["marketId"]
asset_address = market_to_asset.get(market_id.lower())
if asset_address is None:
continue
market_state = market.get("state") or {}
borrow_usd = market_state.get("borrowAssetsUsd") or 0
if borrow_usd < YV_COLLATERAL_MIN_BORROW_USD:
continue
liquidity_group = liquidity_by_asset.get(asset_address)
if liquidity_group is None:
logger.warning(
"Skipping configured YV collateral market %s on %s: no liquidity group for asset %s",
market_id,
chain.name,
asset_address,
)
continue
markets[market_id] = (market, liquidity_group)
return markets
def get_markets_collateral_at_risk_usd(market_shocks: Dict[str, float], chain: Chain) -> Dict[str, float] | None:
"""Fetch Morpho collateral at risk for many markets in a single aliased request.
Args:
market_shocks: Mapping of market id to the adverse price move to evaluate for that market.
chain: Chain the markets live on.
Returns:
Mapping of market id to collateral-at-risk USD at its target price, or None if the request fails.
"""
if not market_shocks:
return {}
alias_to_market = {f"m{index}": market_id for index, market_id in enumerate(market_shocks)}
variable_definitions = ["$chainId: Int!", "$numberOfPoints: Int!"]
variables: Dict[str, Any] = {
"chainId": chain.chain_id,
"numberOfPoints": YV_COLLATERAL_AT_RISK_POINTS,
}
query_fields = []
for alias, market_id in alias_to_market.items():
variable_definitions.append(f"${alias}: String!")
variables[alias] = market_id
query_fields.append(
f"{alias}: marketCollateralAtRisk(uniqueKey: ${alias}, chainId: $chainId, numberOfPoints: $numberOfPoints) {{"
" collateralAtRisk { collateralPriceRatio collateralUsd } }"
)
query = (
"query GetMarketsCollateralAtRisk("
+ ", ".join(variable_definitions)
+ ") {\n"
+ "\n".join(query_fields)
+ "\n}"
)
json_data = {"query": query, "variables": variables}
try:
response = request_with_retry("post", API_URL, json=json_data)
except requests.RequestException as e:
logger.error("Failed to fetch collateral at risk on %s: %s", chain.name, e)
return None
data = response.json()
if "errors" in data:
logger.error("GraphQL error fetching collateral at risk on %s: %s", chain.name, data)
return None
response_data = data.get("data") or {}
collateral_at_risk_by_market: Dict[str, float] = {}
for alias, market_id in alias_to_market.items():
market_data = response_data.get(alias) or {}
points = market_data.get("collateralAtRisk", [])
if not points:
collateral_at_risk_by_market[market_id] = 0
continue
target_price_ratio = 1 - market_shocks[market_id]
target_point = min(points, key=lambda point: abs((point.get("collateralPriceRatio") or 0) - target_price_ratio))
collateral_at_risk_by_market[market_id] = target_point.get("collateralUsd") or 0
return collateral_at_risk_by_market
def check_yv_collateral_market_liquidity(
chain: Chain, chain_vaults: List[Dict[str, Any]], liquidity_by_asset: Dict[str, Dict[str, Any]]
) -> None:
"""Alert only when underlying liquidity cannot cover risky direct YV collateral liquidations."""
markets = collect_yv_collateral_markets(chain, chain_vaults, liquidity_by_asset)
if not markets:
return
market_shocks = {
market_id: get_yv_collateral_price_shock(market.get("lltv"))
for market_id, (market, liquidity_group) in markets.items()
}
collateral_at_risk_by_market = get_markets_collateral_at_risk_usd(market_shocks, chain)
if collateral_at_risk_by_market is None:
return
checks_by_asset: Dict[str, Dict[str, Any]] = {}
for market_id, (market, liquidity_group) in markets.items():
collateral_asset = market["collateralAsset"]
loan_asset = market["loanAsset"]
asset_symbol = liquidity_group["asset_symbol"]
price_shock = market_shocks[market_id]
collateral_at_risk = collateral_at_risk_by_market.get(market_id)
if collateral_at_risk is None:
continue
if collateral_at_risk < YV_COLLATERAL_MIN_AT_RISK_USD:
logger.info(
"Skipping %s/%s YV liquidity check on %s: collateral at risk $%s below threshold",
collateral_asset["symbol"],
loan_asset["symbol"],
chain.name,
f"{collateral_at_risk:,.2f}",
)
continue
asset_address = liquidity_group["asset_address"]
required_liquidity = collateral_at_risk * YV_COLLATERAL_LIQUIDATION_BUFFER
group_check = checks_by_asset.setdefault(
asset_address,
{
"liquidity_group": liquidity_group,
"total_collateral_at_risk": 0.0,
"total_required_liquidity": 0.0,
"market_lines": [],
},
)
group_check["total_collateral_at_risk"] += collateral_at_risk
group_check["total_required_liquidity"] += required_liquidity
market_url = get_market_url(market)
market_name = f"{collateral_asset['symbol']}/{loan_asset['symbol']}"
group_check["market_lines"].append(
f"- [{market_name}]({market_url}): ${collateral_at_risk:,.2f} at risk "
f"({price_shock:.0%} shock, LLTV {parse_lltv(market.get('lltv')):.1%})"
)
for group_check in checks_by_asset.values():
liquidity_group = group_check["liquidity_group"]
combined_liquidity = liquidity_group["combined_liquidity"]
required_liquidity = group_check["total_required_liquidity"]
coverage = combined_liquidity / required_liquidity
asset_symbol = liquidity_group["asset_symbol"]
logger.info(
"YV collateral liquidity check for %s on %s: $%s liquidity, $%s collateral at risk, %sx coverage",
asset_symbol,
chain.name,
f"{combined_liquidity:,.2f}",
f"{group_check['total_collateral_at_risk']:,.2f}",
f"{coverage:.2f}",
)
if combined_liquidity >= required_liquidity:
continue
vault_list = ", ".join(liquidity_group["vault_names"])
market_lines = "\n".join(group_check["market_lines"])
message = (
f"⚠️ Insufficient {asset_symbol} unwind liquidity for YV collateral markets on {chain.name}\n"
f"🏦 Vaults: {vault_list}\n"
f"💰 Withdrawable {asset_symbol}: ${combined_liquidity:,.2f}\n"
f"🔥 Total collateral at risk: ${group_check['total_collateral_at_risk']:,.2f}\n"
f"📊 Required with buffer: ${required_liquidity:,.2f} ({coverage:.2f}x coverage)\n"
f"💹 Markets:\n{market_lines}\n"
)
send_telegram_message(message, PROTOCOL)
def check_individual_liquidity_for_chain(chain: Chain, chain_vaults: List[Dict[str, Any]]) -> None:
"""Check individual liquidity for non-YV collateral vaults on a specific chain."""
for vault_data in chain_vaults:
vault_address = vault_data["address"]
if not is_yv_collateral_vault(vault_address, chain):
check_low_liquidity(vault_data)
def check_low_liquidity_combined(vaults_data: List[Dict[str, Any]]) -> None:
"""
Check liquidity for vaults, with special logic for VAULTS_WITH_YV_COLLATERAL_BY_ASSET.
For YV collateral vaults, combine all vaults with the same asset and check if
combined liquidity can cover direct Yearn-vault collateral liquidations at risk.
"""
# Group vaults by chain for processing
vaults_by_chain = group_vaults_by_chain(vaults_data)
# Process each chain separately
for chain, chain_vaults in vaults_by_chain.items():
# Check market-aware YV collateral unwind liquidity
yv_liquidity_by_asset = get_yv_collateral_liquidity_by_asset(chain, chain_vaults)
check_yv_collateral_market_liquidity(chain, chain_vaults, yv_liquidity_by_asset)
# Check individual liquidity for non-YV collateral vaults
check_individual_liquidity_for_chain(chain, chain_vaults)
def check_low_liquidity(vault_data):
"""
Send telegram message if low liquidity is detected.
"""
vault_name = vault_data["name"]
vault_url = get_vault_url(vault_data)
total_assets = vault_data["state"]["totalAssetsUsd"]
liquidity = vault_data["liquidity"]["usd"]
chain = Chain.from_chain_id(vault_data["chain"]["id"])
# Return early if total_assets is None or 0 or less than 10k
if not total_assets or total_assets < 10_000:
return
# Default liquidity to 0 if it's None
liquidity = liquidity or 0
liquidity_ratio = liquidity / total_assets
# standard liquidity check (YV collateral vaults are handled separately)
if liquidity_ratio < LIQUIDITY_THRESHOLD:
message = (