Tail scenarios — NAV impact per vault

A shared set of historically plausible and structurally relevant tail events applied to every tracked vault. Rank by worst case, not by headline APY. Impacts are derived from current allocations and the per-vault scenarios surfaced on each vault page.

Cross-vault

Scenario × vault matrix

Each column is a scenario. Each row is a vault. Cell value is the modeled NAV impact in percent. Click any vault to see the per-vault detail and the allocation drivers behind the number.

Stress scenario library

Modeled NAV impact per vault across a shared set of historically plausible and structurally relevant tail events. Each cell value is derived from the same formula shown on the vault detail page:impact = − shock × exposed share × pass-through. Cells show—when the scenario does not apply (e.g. an LRT shock to a vault with no LRT collateral).

Vault	Loan-asset shockWorst-case loan-asset event for this vault — depeg for stables (USDC 12%, USDT 5%, DAI 3%, USDe 6%, …), drawdown for ETH/LSTs (30–34%), custody discount for BTC wrappers (WBTC 10%, cbBTC 5%, LBTC 8%). The cell shows the magnitude actually modeled for this vault's loan asset; hover for the specific scenario.	LRT discount 20%Liquid restaking tokens (weETH, ezETH, rsETH…) used as collateral. Modeled at a 20% discount.	LST depeg 7%Liquid staking tokens (wstETH, rETH, cbETH…) used as collateral. Modeled at the May/Jun 2022 stETH magnitude.	Pendle PT dislocation 15%PT collateral can trade at unexpected discounts before maturity if implied yield diverges from the underlying.	Exotic / tranche shock 25%First-loss tranches (RLP) and strategy wrappers (Upshift) — failures in the underlying strategy show up here first.	L2 sequencer halt 48h48h halt drives bad-debt accrual proportional to each allocation's LLTV buffer × expected collateral drift × chain-severity factor, plus a forced-exit discount on stressed-utilization markets. Ethereum L1 is not applicable.	Morpho contract vulnerabilityTail-case: a vulnerability surfaces in Morpho affecting the vault's largest single market. Modeled at 50% loss on that exposure since markets are isolated.	Curator misallocationCurator routes into a market that develops bad debt or an oracle break. Modeled at 50% bad-debt recovery on the worst single position.	$50M same-day redemptionHaircut a $50M same-day redemption would take. Idle-buffer waterfall × TVM on the queued slice × collateral-weighted forced-exit discount.
Steakhouse Prime USDCSteakhouse Financial · Base	-12%	—	—	—	—	—	-50%	-50%	0%
Gauntlet USDC PrimeGauntlet · Base	-12%	—	—	—	—	-0.6%	-45.7%	-45.7%	-0.1%
Paypal USD MainSentora · Ethereum	-4%	—	—	—	—	—	-50%	-50%	0%
Steakhouse High Yield USDC EditionSteakhouse Financial · Base	-12%	—	—	—	—	—	-50%	-50%	0%
Sentora RLUSD MainSentora · Ethereum	-5%	—	—	—	—	—	-50%	-50%	0%
Spark USDC VaultSparkDAO · Base	-12%	—	—	—	—	-0.5%	-50%	-50%	-0.3%
Sentora PRIME MainSentora · Ethereum	-4%	—	—	—	—	—	-50%	-50%	0%
Steakhouse Prime EURCVSteakhouse Financial · Ethereum	—	—	—	—	—	—	-50%	-50%	0%
Steakhouse USDCSteakhouse Financial · Base	-12%	—	—	—	—	-0.5%	-48.4%	-48.4%	-0.6%
Gauntlet USDC PrimeGauntlet · Base	-12%	—	—	—	—	—	-50%	-50%	0%
Steakhouse Prime USDCSteakhouse Financial · Ethereum	-12%	—	—	—	—	—	-50%	-50%	0%
Steakhouse USDTSteakhouse Financial · Ethereum	-5%	—	—	—	—	—	-20.5%	-20.5%	-0.9%
Gauntlet USDC PrimeGauntlet · Ethereum	-12%	—	—	—	—	—	-50%	-50%	0%
Steakhouse USDCSteakhouse Financial · Ethereum	-12%	—	—	—	—	—	-26.6%	-26.6%	-0.8%
sky.money USDT SavingsSky Money · Ethereum	-5%	—	—	—	—	—	-50%	-50%	0%
Steakhouse Prime USDTSteakhouse Financial · Ethereum	-5%	—	—	—	—	—	-50%	-50%	0%
Pendle Ecosystem USDCArmitage by Wintermute · Ethereum	-12%	—	—	—	—	—	-50%	-50%	—
Hyperithm USDC ApexHyperithm · Monad	-12%	—	—	—	—	—	-50%	-50%	—
Steakhouse Prime ETHSteakhouse Financial · Monad	-30%	—	—	—	—	—	-50%	-50%	—
Wintermute USDC SelectArmitage by Wintermute · Ethereum	-12%	—	—	—	—	—	-50%	-50%	-0.1%
Steakhouse High Yield USDCSteakhouse Financial · Ethereum	-12%	—	—	—	—	—	-50%	-50%	-0.1%
sky.money USDS FlagshipSky Money · Ethereum	-3%	—	—	—	—	—	-50%	-50%	-0.1%
Steakhouse Confidential Prime USDCSteakhouse Financial · Ethereum	-12%	—	—	—	—	—	-50%	-50%	-0.1%
Sentora pathUSDSentora · Tempo	—	—	—	—	—	—	-50%	-50%	-0.2%
Steakhouse High Yield USDCSteakhouse Financial · Base	-12%	—	—	—	—	—	-50%	-50%	-0.2%

Loading stress matrix

Sharpe Finance

DID YOU KNOWnext in 7s

Most depeg events happen on weekends. Market makers don't sleep — they just close their books.

Morpho Blue · Aave V3 · 11 chains · scoring refreshed every 5 min

Vault

Loan-asset shockWorst-case loan-asset event for this vault — depeg for stables (USDC 12%, USDT 5%, DAI 3%, USDe 6%, …), drawdown for ETH/LSTs (30–34%), custody discount for BTC wrappers (WBTC 10%, cbBTC 5%, LBTC 8%). The cell shows the magnitude actually modeled for this vault's loan asset; hover for the specific scenario.

LRT discount 20%Liquid restaking tokens (weETH, ezETH, rsETH…) used as collateral. Modeled at a 20% discount.

LST depeg 7%Liquid staking tokens (wstETH, rETH, cbETH…) used as collateral. Modeled at the May/Jun 2022 stETH magnitude.

Pendle PT dislocation 15%PT collateral can trade at unexpected discounts before maturity if implied yield diverges from the underlying.

Exotic / tranche shock 25%First-loss tranches (RLP) and strategy wrappers (Upshift) — failures in the underlying strategy show up here first.

L2 sequencer halt 48h48h halt drives bad-debt accrual proportional to each allocation's LLTV buffer × expected collateral drift × chain-severity factor, plus a forced-exit discount on stressed-utilization markets. Ethereum L1 is not applicable.

Morpho contract vulnerabilityTail-case: a vulnerability surfaces in Morpho affecting the vault's largest single market. Modeled at 50% loss on that exposure since markets are isolated.

Curator misallocationCurator routes into a market that develops bad debt or an oracle break. Modeled at 50% bad-debt recovery on the worst single position.

$50M same-day redemptionHaircut a $50M same-day redemption would take. Idle-buffer waterfall × TVM on the queued slice × collateral-weighted forced-exit discount.

Steakhouse Prime USDCSteakhouse Financial · Base

-12%

—

-50%

Gauntlet USDC PrimeGauntlet · Base

-12%

—

-0.6%

-45.7%

-0.1%

Paypal USD MainSentora · Ethereum

-4%