Stress timeline — Jan/Feb 2026
2026-01-01
Day 1 of 42
Jan 1
Jan 15
Feb 1
Feb 13 — peak
Feb 27
L
Liquidity
Funding · Basis · LRVA
NORMAL
Unsecured spread
38.8bps
JPY basis (abs)
95bps
24h Δ unsecured
+1.0bps
Liquidity ratio
1.000
X
Market / XVA
Quant signals · FVA · CVA · MVA
NORMAL
30d z-score
—
5d % change
—%
FVA cum
$213
CVA cum
$319
C
Crypto XVA
Aggregate · LVA · OVA · SCVA · BRVA
NORMAL
Aggregate add-on
11.2%
Adj. exposure
$22.2M
TVL vs 30d
100%
Oracle dev z
0.4
Crypto XVA Aggregate — sub-factor breakdown
Crypto XVA = Exposure × (0.25·LVA + 0.30·OVA + 0.25·SCVA + 0.20·BRVA)
Aggregate add-on
11.2%
on $20.0M base exposure
Liquidity VA
LVA
w = 25%
0.020
flat
TVL fragility vs 30-day trend
Oracle VA
OVA
w = 30%
0.090
flat
Deviation z-score, staleness, redundancy
Smart Contract VA
SCVA
w = 25%
0.150
flat
Audit score, critical findings, time since audit
Bridge Risk VA
BRVA
w = 20%
0.210
flat
Concentration, decentralization, exploit history
What the engine is telling you
Markets are calm. Unsecured funding spreads are inside their 30-day trend, JPY basis is range-bound, and the Crypto XVA Aggregate is well below its 22% warning threshold. No domain is signalling stress.
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