Price Shock Analysis

Stress test vaults against adverse price scenarios

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This analysis models the impact of sudden collateral price drops on Morpho vault positions. For each scenario, we estimate which positions would become undercollateralized, the total debt at risk of liquidation, and the potential bad debt if no liquidations occur. Notional at Risk is the total debt in unhealthy positions. Liquidatable Debt is the shortfall between debt and effective collateral. Bad Debt assumes zero liquidations happen and collateral value falls below total debt.

Uniform Price Shock

All non-stable collateral assets shocked by the same percentage

Historical Events

Impact based on actual market crashes

Stablecoin Depeg

Impact if stablecoin collateral (USDC, USDT, DAI, USDS) loses its peg

Methodology

Shock analysis calculates potential liquidation risk by applying price shocks to collateral assets. The uniform shock and historical scenarios apply drops to non-stable collateral only. The stablecoin depeg scenario applies drops to stablecoin collateral only. Notional at Risk represents total debt value of positions that would become unhealthy. Liquidatable debt is the portion exceeding effective collateral. Bad debt estimates assume no liquidations occur. All estimates use a 70% average utilization assumption.