Wintermute USDC Select

Risk reportEthereum0xa2ea…68cd

Risk

Depositing into Wintermute USDC Select means underwriting risks you usually can't see: how much you could lose, whether you'd get out in time, and what would cover it.

Morpho BlueVault (aggregates across markets)

How much could be lost?

Your deposit (optional)

38%of your deposit if collateral falls 50%Only smart-contract bug reaches a total 100%, with no warning to exit.

Can I exit?

Via underlying marketsonly governance changes give a 7-day timelock to exit — every other modeled failure is no-warning

What backs it?

No committed backstopnothing committed would cover a loss

Track record

No pool-level losses recorded36 audits, latest Dec 15, 2025

Collateral and oracle exposure

Each token you're exposed to, and the market it backs. If that market breaks, this is how much the vault loses, in dollars and as a share of the vault. Open a row for the price feed, stress curve, and supply-cap detail. Below, the oracles those prices depend on and what is at stake if one is compromised.

If collateral prices dropper asset · no liquidations · stress estimate

est. bad debt up to 18% of deposit

Driven by cbBTC −30% 8% · PT-reUSD-10DEC2026 −30% 4% · WBTC −30% 3% · other 3% · −100% 90% modeled all-to-zero bad-debt ceiling

CollateralAllocationMarket ExposureOracle Exposure

cbBTCMarketChainlink44%of vault · bad debt · $19.98mOracle exposure 5%

49%of vault · $22.17m44%of vault · $19.98m5%separate path

What it's made of

Market· Chainlink(aggregator)

cbBTC is priced via BTC / USD — market-rate feed (Chainlink).

BaseBTC / USDMarketChainlink

Heartbeat 1h · Deviation 50bps

Markets this collateral backs · 1

→ USDC86% LLTV0xa6d6…182aChainlink

Aggregate Collateral Trust (ACT):$471.51m102 vaultsToken:0xcbb7…33bfAllocation: 49% of the vault · $22.17m

If it breaks

−30% default

At −30%:est. bad debt up to 8% of depositUses 1 market LLTV curve · capped at allocation $22.17m · drag to set this asset's drop

Oracle exposure: up to 5% of vault drainable if the feed is compromisedseparate path: an attacker borrows against a fake price

PT-reUSD-10DEC2026HybridPTMarket rate16%of vault · bad debt · $7.32mOracle exposure 2%

18%of vault · $8.2m16%of vault · $7.32m2%separate path

What it's made of

Hybrid(composite)PTMarket rate

PT-reUSD-10DEC2026 PT is priced by a Pendle market-rate oracle.

BaseOjo PT Feed Pendle Chainlink-compatible OracleNAV

Markets this collateral backs · 1

→ USDC92% LLTV0x217d…51f0

Aggregate Collateral Trust (ACT):$11.41m17 vaultsToken:0xecfa…3957Allocation: 18% of the vault · $8.2m

If it breaks

−30% default

At −30%:est. bad debt up to 4% of depositUses 1 market LLTV curve · capped at allocation $8.2m · drag to set this asset's drop

Oracle exposure: up to 2% of vault drainable if the feed is compromisedseparate path: an attacker borrows against a fake price

WBTCMarketChainlink14%of vault · bad debt · $6.46mOracle exposure 2%

16%of vault · $7.16m14%of vault · $6.46m2%separate path

What it's made of

Market· Chainlink(aggregator)

WBTC is priced via WBTC / BTC × BTC / USD, quoted in USDC / USD — 3-hop market-rate feeds (Chainlink).

BaseWBTC / BTCMarketChainlinkBTC / USDMarketChainlinkQuoteUSDC / USDMarketChainlink

Heartbeat 24h · Deviation 50bps

Markets this collateral backs · 1

→ USDC86% LLTV0xdddd…6b83Chainlink

Aggregate Collateral Trust (ACT):$406.49m89 vaultsToken:0x2260…c599Allocation: 16% of the vault · $7.16m

If it breaks

−30% default

At −30%:est. bad debt up to 3% of depositUses 1 market LLTV curve · capped at allocation $7.16m · drag to set this asset's drop

Oracle exposure: up to 2% of vault drainable if the feed is compromisedseparate path: an attacker borrows against a fake price

v-wmtUSDCHybrid9%of vault · bad debt · $3.88mOracle exposure 0.9%

9%of vault · $4.31m9%of vault · $3.88m0.9%separate path

What it's made of

Hybrid(composite)

v-wmtUSDC is priced from an exchange-rate/NAV leg (Wildcat Market Oracle Feed) — no market-rate feed, so it tracks redemption value, not market price.

BaseWildcat Market Oracle FeedNAV

Markets this collateral backs · 1

→ USDC86% LLTV0x6969…07e8

Aggregate Collateral Trust (ACT):$428,2122 vaultsToken:0xf654…839fAllocation: 9% of the vault · $4.31m

If it breaks

−30% default

At −30%:est. bad debt up to 2% of depositUses 1 market LLTV curve · capped at allocation $4.31m · drag to set this asset's drop

Oracle exposure: up to 0.9% of vault drainable if the feed is compromisedseparate path: an attacker borrows against a fake price

wstETHMarketChainlink5%of vault · bad debt · $2.16mOracle exposure 0.5%

5%of vault · $2.4m5%of vault · $2.16m0.5%separate path

What it's made of

Market· Chainlink(composite)

wstETH is priced via Custom price feed for wstETH / ETH, quoted in USDC / ETH — 2-hop market-rate feeds (Chainlink).

BaseCustom price feed for wstETH / ETHMarketQuoteUSDC / ETHMarketChainlink

Heartbeat 24h · Deviation 100bps

Markets this collateral backs · 1

→ USDC86% LLTV0x48f7…40e2Chainlink

Aggregate Collateral Trust (ACT):$962.68m106 vaultsToken:0x7f39…2ca0Allocation: 5% of the vault · $2.4m

If it breaks

−30% default

At −30%:est. bad debt up to 0.9% of depositUses 1 market LLTV curve · capped at allocation $2.4m · drag to set this asset's drop

Oracle exposure: up to 0.5% of vault drainable if the feed is compromisedseparate path: an attacker borrows against a fake price

PT-USDat-14JAN2027Unclassified2%of vault · bad debt · $1.1mOracle exposure 0.2%

3%of vault · $1.2m2%of vault · $1.1m0.2%separate path

What it's made of

Unclassified(managed)

Oracle design not classified (long-tail market).

Markets this collateral backs · 1

→ USDC92% LLTV0x034f…2dad

Aggregate Collateral Trust (ACT):$630,2937 vaultsToken:0xba96…314fAllocation: 3% of the vault · $1.2m

If it breaks

−30% default

At −30%:est. bad debt up to 0.6% of depositUses 1 market LLTV curve · capped at allocation $1.2m · drag to set this asset's drop

Oracle exposure: up to 0.2% of vault drainable if the feed is compromisedseparate path: an attacker borrows against a fake price

+5 markets with no current position

Oracle dependencies

1 feed · 1 control point

Up to10%of vault drainable if these feeds are mispriced · $4.53m

Each price traces to a feed and the on-chain admin that can move it. Compromise either to misprice the collateral and borrow against it. Per-row amounts overlap and are not summed.

Chainlink·a 4/9 Safe multisigprices cbBTC, WBTC, wstETH, stUSDS, PT-USDG-24SEP20260x21f7…73ca7% of vault · $3.12mdrainable if it is compromised
Unidentified feeds· vendor and on-chain control not resolvedprices PT-reUSD-10DEC2026, v-wmtUSDC, PT-USDat-14JAN20273% of vault · $1.41mmispriceable if these feeds lie


Full-deposit & protocol-level(2)
	100%	Full deposit	Instant
	18%	up to 90%	Instant
Price-driven collateral stress(1)
	18%	up to 90%	Instant
Oracle & liquidation failures(5)
	18%	up to 90%	Instant
	18%	up to 90%	Instant
	3%	up to 28%	Instant
	5%	up to 25%	Instant
	—	up to 10%	Instant
Vault role & allocator(3)
	—	Full deposit	7 days
	—	Full deposit	Instant
	—	up to 50%	7 days

Trust and control

The people and processes that can change this protocol under you.

Track record · no pool-level losses recorded · 5 protocol incidents · 36 audits

Vault operators

The roles that can actually move your deposit — the real principal-loss path.

Reaches deposit, no delayReaches deposit, timelockedCan't reach deposit

Role timelock 7 days to exit before owner/curator actions land

Owner4-of-6 multisig0xb83a…9e5e

Curator3-of-5 multisig0x4687…74d8

Sentinels1 · 1 EOASafety role · veto only

Safety role, not an attack role: can revoke ANY pending timelocked curator change, instantly cut caps, and pull funds from adapters back to idle. Strictly risk-reducing — a captured sentinel cannot introduce new risk.

single key (EOA)0x77fc…9fbe

Allocators3 · 1 contract · 2 EOAsReaches deposit · instant

Moves funds between markets the curator has ALREADY approved — instantly, with NO timelock and no exit window. Cannot reach a brand-new market, but can concentrate you into an approved-but-stressed market or order withdrawals so you hit weak liquidity first.

contract0x12f6…684b
single key (EOA)0x73b4…a53b
single key (EOA)0xc007…8d99

Audits

361 critical, 13 high findings logged

Certora· Dec 15, 2025report
Blackthorn· Dec 4, 2025report
Spearbit· Dec 4, 2025report
Blackthorn· Sep 15, 2025report

+32 more audits

Governance & control

Protocol-wide governance: bounded context, not the path to your deposit.

Governance owner6-of-1012 chains0xcba2…9afa

Rewards owner3-of-70xf057…b2e9

Rewards updater3-of-50x5eb9…3297

Snapshot proposer5-of-80x6abf…f6a2

Governance contract0xcBa2…9AFa

Top-10 voter concentration100.0%

Quorum to pass500,000 MORPHO· top 10 hold 2.49m

Voting token

MORPHO0x58D9…c2B2

Dependencies that can affect your deposit

8 things this pool relies on but doesn't control. Select one for its story.

Morpho Blue

oracles

Market Specific oracle

Every Morpho Blue market chooses an immutable oracle contract at creation; implementations can be Chainlink-like, exchange-rate, fixed-price, or custom. Failure modes: attacker-favourable price feed (covered in market-oracle-compromise) or price() revert / staleness blocking liquidations (covered in oracle-liveness-or-malfunction).

No quantified loss scenario references this dependency directly.

Updated Sep 29, 2026Sources:on-chain reads via @defillama/sdkhttps://hub.snapshot.org/graphqlhttps://api.morpho.org/graphql

Wintermute USDC Select

Risk

Collateral and oracle exposure

What it's made of

If it breaks

What it's made of

If it breaks

What it's made of

If it breaks

What it's made of

If it breaks

What it's made of

If it breaks

What it's made of

If it breaks

Oracle dependencies

Loss scenarios

Trust and control

Vault operators

Audits

Governance & control

Dependencies that can affect your deposit

Market Specific oracle