Spine: liquidator capital, not the LLTV, binds when Coinbase's Morpho loan book meets a fast crash

Live: https://spine.rahilbhavan.com

Spine is a risk dashboard and liquidation backtest for the nine Morpho Blue markets on Base that fund the USDC loans in Coinbase's app. Python fetchers read positions, liquidations, Chainlink oracle updates, Coinbase 5-minute candles and CEX and DEX depth from public endpoints. The pipeline writes data/summary.json for a static dashboard. A numpy backtest replays rebuilt historical loan books through seven crash paths and recommends a liquidation LTV (LLTV) and maximum draw for each collateral.

Reading the dashboard

The first screen summarizes observed borrowing, the selected market’s modeled capacity threshold, and its worst replay loss, with trough exposure shown separately. Daily comparisons use a saved snapshot near 24 hours before the displayed book and print both timestamps; stale or missing data is labeled explicitly. One market selection carries through a sortable/filterable nine-market watchlist, an exact-sample price-shock inspector, positions, liquidation charts, crash replays and supplier exposure. The URL preserves the investigation state and supports back/forward navigation. System/light/dark theme persists locally, and the view can be copied as a link.

Stress results identify their saved book, assumptions and held-out calibration limits. The UI improvement loop requires working charts, screenshots and a recorded reader check before accepting a candidate. Workstation implementation and verification record. The blue graph refinement adds stable matrix scales, phone-readable labels, explicit log views, source summaries and color-vision proof captures.

Results

The headline: on a March 2020 path, losses depend on how much capital liquidators can deploy in a day. Cutting the haircut or the LLTV changes little.

• Book. $1.63B borrowed against $3.66B of collateral across 68,772 positions in nine markets. Coinbase Smart Wallets hold 97.5% of the borrowing. Source: data/summary.json, snapshot 2026-09-23 19:05 UTC. The live site shows current figures.
• Track record. The cbBTC market cleared $256M of liquidations in the four stress weeks of three events (Oct 2025, Feb 2026, Jun 2026) with zero bad debt. Source: WRITEUP.md.
• Calibration. The borrower-response parameters (70% responsive, two-hour reaction) were fitted on three cbBTC events, where the model reproduces realized liquidation volume at 0.85–0.99x (Oct 2025 0.95x, Feb 2026 0.99x, Jun 2026 0.85x). On five more cbBTC events chosen by a fixed rule (every UTC day with over $5M repaid, since launch) and kept out of the fit, it gives 0.42x to 1.08x (Oct 2025a 0.52x, Nov 2025 1.02x, Nov 2025a 1.08x, Jan 2026 0.77x, Jun 2026b 0.42x). Across all eight events the range is 0.42–1.08x, so the model is not within 15% across events. Held-out WETH events come in at 1.58x and 0.85x. Source: data/backtest.json, key calibrated.ratios; method in WRITEUP.md section 3.
• Stress replay. 5,562 saved backtest runs over seven crash windows at 5-minute resolution. Source: data/backtest.json and data/prices/index.json.
• Replay book. The replay ran on the cbBTC/USDC market's loan book as of 2026-09-19, the date of WRITEUP.md (latest_book in data/backtest.json). All percentages of supply below are of that book's $1.58B of USDC supplied. The Book figures above are a different, later snapshot (2026-09-23, all nine markets).
• March 2020 at today's 86% LLTV, loss by end of path. $9.2M (0.6% of supply) realized, because BTC bounced and the queue was served above water on the way back up. Source: WRITEUP.md.
• March 2020 at today's 86% LLTV, supply left unserved at the trough. $158.4M (10.0% of supply) sat underwater with no liquidator able to act at the lowest print. This is a separate measure, taken at a different moment. A 77% LLTV leaves 8.4% unserved. Tripled liquidator capital leaves 6.2%. Source: WRITEUP.md.
• March 2020 with a Coinbase backstop liquidator. $0 left unserved and $13.1M (0.8%) realized loss. Source: WRITEUP.md.

Recommended parameters, from WRITEUP.md:

Collateral	Today (LLTV / max draw)	Recommended	Why
cbBTC	86% / 75%	A committed backstop liquidator first, then 80% / 66–70%	Liquidator capital binds on the March 2020 path. At 80% every other path is clean.
WETH	86% / 75%	77% / 70%	ETH gaps more than the 4.38% liquidation bonus inside five minutes. At 86%, three of seven paths leave bad debt.
cbXRP, SOL, cbDOGE, cbADA, cbLTC, JitoSOL	62.5% / 55%	62.5%, max draw 47%, per-asset book cap	No on-chain venue on Base, so every seized unit clears through Coinbase's own order book.

WRITEUP.md has the full argument. Its changelog shows how the headline moved as the model was corrected.

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