Vault Limits

Fig 2. Chart displaying targeted effective exposure range for USDe 5x vault which utilises Morpho USDe/DAI 86% LLTV Pool

Fig 3. Chart displaying targeted effective exposure range for USDe 7x vault which utilises Morpho's USDe/DAI 91.5% LLTV Pool

Fig 4. Chart displaying targeted effective exposure range for sUSDe 5x vault which utilises Morpho's sUSDe/DAI 86% LLTV Pool

Fig 5. Chart displaying targeted effective exposure range for sUSDe 7x vault which utilises Morpho's sUSDe/DAI 91.5% LLTV Pool

Fig 6. Chart displaying targeted effective exposure range for weETH 4x vault which utilises Morpho's weETH/WETH 86% LLTV Pool

Fig 7. Chart displaying targeted effective exposure range for wstETH 11x vault which utilises the WETH pool from Spark Finance

Fig 8. Chart displaying targeted effective exposure range for wstETH 14x vault which utilises the WETH pool from Spark Finance

Fig 9. Chart displaying targeted effective exposure range for wETH-DAI-long 2x vault which utilises the WETH pool from Spark Finance

Fig 10. Chart displaying targeted effective exposure range for wETH-sDAI-short 2x vault which utilises the sDAI pool from Spark Finance

Fig 11. Chart displaying targeted effective exposure range for AAVE-USDC-long 1.5x vault which utilises the USDC pool from AAVE protocol

Fig 12. Chart displaying targeted effective exposure range for USD0++ 5x vault which utilises the USD0++/USDC 86% LLTV Pool from Morpho

Fig 13. Chart displaying targeted effective exposure range for sDAI 11x vault which utilises the sDAI/USDC 94.5% LLTV Pool from Morpho

Fig 14. Chart displaying targeted effective exposure range for rswETH 11x vault which utilises the rswETH/WETH 94.5% LLTV Pool from Morpho

Fig 15. Chart displaying targeted effective exposure range for PT-cornLBTC-Dec24 8x vault which utilises the LBTC 90% LLTV Pool from ZeroLend

Fig 16. Chart displaying targeted effective exposure range for PT-eBTCDec24 8x vault which utilises the eBTC 90% LLTV Pool from ZeroLend

Fig 17. Chart displaying targeted effective exposure range for WETH/cbBTC-3x-long vault which utilises the WETH/cbBTC 73% LLTV Pool from Aave

Fig 18. Chart displaying targeted effective exposure range for PT-sUSDe-Mar-2025 7x vault which utilises the PT-sUSDe/DAI 91.5% LLTV Pool from Morpho.

lov-Strategy Vault Deposit and Withdrawal Limits

Users should note that lov-Strategy vaults are subject to deposit and withdrawal limits based on the current Asset to Liability (A/L) ratio for that vault. The A/L ratio is simply the inverse of the Loan-to-Value ratio (LTV). These protective thresholds protect the integrity of the vaults and mitigate the risk of bad debt. In short, if a new lov-Strategy vault deposit or withdrawal would push the Asset / Liability ratio (or LTV) above the upper vault threshold or below the lower vault threshold, the transaction will revert.

The A/L ceiling (USER_AL_CEILING) prevents new deposits from reducing the leverage applied in the vault too much until a RebalanceDown can be executed. For the USDe 5x and the sUSDe 5x vaults, USER_AL_CEILING are both set to 70% LTV (Fig 2 and 4) whereas for the lov-wstETH vault, it is set to 86% LTV (Fig 7).

Similarly the A/L floor (USER_AL_FLOOR) prevents withdrawals that increase vault leverage too much until vault health ratio permits, or a RebalanceUp can be executed. For USDe 5x and sUSDe 5x vaults, the USER_AL_FLOOR is set to 83.5% and 84.5% LTV respectively (Fig 2 and 4) whereas for the lov-stETH vault, it is set to 89.9% LTV (Fig 7).

Once the vault automation adjusts the vault holdings back to the Targeted Effective Exposure range, or if user flows move the vault A/L ratio back to the nominal range, new deposits and withdrawals can then resume.

When USER_AL_CEILING is reached:

• No new deposits until a RebalanceDown is triggered

• RebalanceDown may allow new deposits to occur after the A/L ratio is reduced

• Any new Deposits that would move the A/L ratio above the ceiling will revert

When USER_AL_FLOOR is reached:

• No new withdrawals until a RebalanceUp is triggered

• RebalanceUp may allow new withdrawals to occur after the A/L ratio is raised

• Any new Withdrawals that would move the A/L ratio below the floor will revert