Yield Layer Risk Disclosure

At Mammoth, every Yield Layer is established under a rigorous due diligence framework.All potential partners and their underlying assets undergo comprehensive analysis and in-depth review to assess product sustainability and security.Our risk evaluation methodology includes, but is not limited to, the following dimensions:

1. Protocol Selection and Counterparty Risk

Our strategies prioritize integrations with top-tier protocols.Such protocols typically offer deep liquidity and robust security architectures, making them the only suitable environments for large-scale capital deployment.

• Strategic Integration: We assess the depth of collaboration and technical integration with partner protocols. For example, Mammoth maintains exclusive partnerships with protocols such as Cygnus and Pendle to enhance capital security and protocol-level interoperability.

2. Underlying Asset Quality and Traceability

All underlying assets are subject to detailed analysis to identify potential risks.This includes verifying on-chain asset traceability and assessing whether exclusive partnership arrangements exist that may further enhance asset security.

3. Lending Market Dynamics and Interest Rate Volatility

We analyze supply–demand dynamics within lending pools to mitigate interest rate risk:

• Supplier Concentration Risk: We evaluate the distribution of asset suppliers. High concentration introduces risk; if major suppliers withdraw liquidity at scale, pool utilization may spike, triggering sharp increases in borrowing rates and potentially causing the Yield Layer’s annualized yield (APY) to temporarily turn negative.

• Market Volatility: Historically, such events are considered normal market fluctuations, and lending pools typically rebalance and stabilize within approximately one week.

4. Collateral Risk and Solvency

• Collateral Risk: We assess whether collateral assets can be borrowed by other market participants. If collateral is borrowable, there is a risk of bad debt accumulation arising from low-quality assets within the protocol.

• Liquidation Risk (Effective Loan-to-Value): We continuously monitor effective loan-to-value (LTV) ratios to assess and mitigate liquidation risk across varying market conditions.

5. Liquidity and Deleveraging

We evaluate the ability to exit positions under both normal and stressed market conditions:

• Immediate Exit Liquidity: We verify the feasibility of rapid deleveraging through decentralized exchanges (DEXs). Swap costs are accounted for, and a standard slippage tolerance of 1%–2% is reserved to recover deposited assets.

• Dedicated Exit Channels: Preference is given to assets and partners that offer direct or exclusive exit channels, ensuring access to liquidity even during periods of market stress.

6. Transparency and Auditing

To ensure operational integrity, we conduct comprehensive transparency reviews:

• Audit Verification: Full and up-to-date audit reports are required.

• On-Chain Forensics: We verify that assets do not point to unknown, unaudited, or high-risk contract addresses.

• Proof of Reserves: We assess the validity and update frequency of asset proof-of-reserves reports.