Credora has produced a preliminary risk assessment of Lotus Protocol, rating two initial markets — cbBTC/USDC and wstETH/USDC — across a range of liquidation LTV tranches and liquidity scenarios.

The methodology combines Monte Carlo simulations of collateral price dynamics with independent collateral ratings, producing a Probability of Simulated Loss metric for each tranche configuration. cbBTC (rated A-) and wstETH (rated A+) receive investment-grade collateral ratings. The assessment finds that tranche risk remains contained at LLTVs up to 92–93%, with more pronounced risk acceleration at 95%, particularly under lower liquidity conditions.

This preliminary report evaluates tranches on an independent basis. A full assessment incorporating Lotus's waterfall mechanism and updated protocol parameters will be published ahead of launch.