Announcement: Ethena Foundation Risk Committee Re-election (Aug 2026)

Risk Committee
4

Blockworks Advisory: Application for re-election to the Ethena Risk Committee (fifth term)

Blockworks Advisory is seeking re-election to the Ethena Risk Committee for a fifth consecutive term. We thank ENA holders for their trust across four terms and we are asking for it again on the strength of a simple record: systematic, quantitative risk frameworks that have supported Ethena’s growth from $3.5B to a peak of over $14B USDe supply, and have since guided the protocol though the deleveraging that followed without a peg breach, delivered publicly and on time, every term. Those frameworks have now been validated under live stress including both the 10 October market wide liquidation cascade and the rsETH exploit, Ethena’s backing, peg and redemption capacity held without intervention.

Our contributions concentrate on three workstreams, each detailed below:

  1. Analytical research supporting new backing assets, venues and integrations.

  2. Risk management tooling and public data infrastructure.

  3. Transparency and public communication of Ethena governance and risk profile.

Entity background and team

The applying entity is Blockworks, operating through its Blockworks Advisory team. Blockworks Advisory pairs the quantitative capabilities behind this application with the data infrastructure of Blockworks Research.

Our nominated individual, primarily responsible for attending committee meetings, is Anastasiia Zbandut. Anastasiia led Blockworks Advisory work on the Risk Committee through the fourth term and holds PhD in Financial Economics (option pricing theory, credit risk modelling, financial engineering). Anastasiia’s background spans applied econometric modelling, asset pricing and time series analysis across both TradFi and DeFi markets, including building a high frequency trading bot and hands-on experience with stablecoins, DEX/AMM market making, liquidity provision and DeFi lending. Among other publications, she recently published papers on DeFi lending covering concentration and contagion risk and established a crypto native framework for DeFi lending vault credit risk, decomposing loss exposure into mechanical loss channels, governance quality and smart contract integrity.

Her work is backed by an internal review process:

  • Silvio, Senior Protocol Strategist, drawing on years of TradFi credit risk experience, reviews all quantitative analyses before publication.

  • Carolina, Head of Advisory, who has previously led work on the Risk Committee three consecutive terms, provides senior oversight and governance review.

All committee output is therefore reviewed by at least two senior team members before it reaches the governance forum, supported by the full Blockworks Advisory.

Fourth term contributions

1. Analytical research

  • RLUSD as USDe backing asset. This report evaluates RLUSD’s eligibility as a USDe backing asset across issuer structure, reserves, redemption mechanics and onchain/CEX/DEX liquidity. It finds RLUSD eligible at an initial $300 million cap, anchored to confirmed primary redemption access via Ripple Prime, $1.17 billion in near liquid reserves (3.9x coverage), and a mandatory Aave deposit structure that lifts secondary exit capacity to $616.4 million under a compliance freeze scenario. Reserve quality and peg stability were both strong with 26 consecutive unqualified attestations and 90.5% of mature regime days within ±10 bps of par, with no breach ever exceeding ±100 bps.

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  • JAAA as USDe backing asset. This report finds JAAA eligible as a USDe backing asset and recommends a $250 million cap, anchored to a demonstrated $318.6 million single day redemption at roughly 5 bps slippage. Grove’s 94.7% AUM concentration (HHI 49.9%) is treated as a monitoring input, alongside passing marks on NAV stability (zero below par days, 0.22 bps maximum deviation), redemption speed (P90 1.98 business days against a 3 day threshold) and carry spread (61.1 bps mean over SOFR, above the 50 bps floor).

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  • Tokenized gold (PAXG/XAUT) basis trading. This report supports expanding USDe backing with tokenized gold (PAXG and XAUT), finding perpetual funding rates for gold near uncorrelated with crypto (BTC-PAXG 0.014, BTC-XAUT 0.020). A two state regime model shows gold carry stays elevated (XAUT 12.3%, PAXG 6.8% annualized) precisely when BTC funding compresses to near zero, supporting a diversification case. Adding a 14% PAXG / 9% XAUT sleeve to an equal weight BTC-ETH book (minimum variance blend of 55% BTC / 22% ETH) cuts portfolio carry volatility 13% while raising mean carry by 88 bps. The report flags that gold own tail risk is materially worse than crypto with CVaR at the 5th percentile of -33.1% (PAXG) and -12.8% (XAUT) versus -7.9% for the crypto only baseline, and states these raw figures should drive reserve fund sizing.

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  • sUSDe dynamic cooldown framework. This report is the third iteration of the sUSDe dynamic cooldown analysis, refining the dynamic cooldown framework for sUSDe. It reclassifies USDtb where only the 1% Anchorage instant cash buffer now qualifies as Tier 1 liquidity, with the remaining 99% moved to Tier 2 due to BUIDL’s banking hours replenishment constraint, and adds a queue pressure module that escalates the cooldown when unstaking activity spikes (2x the 14 day average) or breaches historical p95 outflow levels. As of 10 March 2026, the protocol sits in its strongest recorded position where 1 day coverage of 7.72x against the 1.5x threshold, with Tier 1 able to absorb $1.88 billion in daily outflows (31.7% of supply) before requiring a cooldown extension. New stress endurance modeling shows Tier 1 could sustain continuous p99 level redemption pressure for 11 consecutive days at normal intensity, falling to 7 days and 6 days under 1.5x and 2x that intensity respectively. The report also confirms the framework’s core finding across 799 days of history where cooldown requirements are strongly bimodal (roughly half of days need 1 day, half need the full 7), driven primarily by whether Tier 1 holds above or below the 45-55% share of liquid backing needed for consistent sub 3 day redemptions.

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  • Aave V4 backing asset allocation. This report assesses Aave V4’s Hub and Spoke architecture as a standalone risk case, distinct from the prior V3 analysis, because of three structural changes: per Spoke draw caps as a new hard ceiling, a Core Hub credit line that creates wrong way risk between stablecoin stress and Ethena redemption pressure, and a Correlated Spoke that can borrow only USDe. Of five Spoke stablecoins assessed over 26 days, only USDT (at 91% utilization) clears the 4.75% minimum yield threshold, with protocol wide supply APY at 0.93% and V4’s calibrated break even running 96-118 bps above model projections, to roughly 88-90% utilization. Three independent audits found no critical or high severity issues and resolved all seven medium findings, though three residual risks are flagged, including a riskPremiumThreshold misconfiguration that could block liquidations during sUSDe stress. The report recommends a $20 million initial Ecosystem Spoke cap (below the $39.8 million looping formula ceiling) with active management from day one, since exit liquidity (binding at $1.43 million under 95% stressed utilization) is the current constraint rather than the loop formula itself.

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  • L2 USDe PSM Proposal. This response supports a proposed $20M PSM float and endorses Kairos Research’s recommendation and five conditions, offering independent analysis as supporting context. On reserve fund sizing, it shows the $20M float represents roughly a third of the RF’s $62.6M gross onchain holdings, but roughly half of the $39.8M actually available once a $22.6M RWA loss provision and a $0.2M funding rate buffer are set aside, treating the net figure as the more conservative reference. Demand estimates are triangulated two ways: historical Spark PSM3 activity (375 days, Arbitrum and Base) implies $11M if each chain is sized to its own usage or $20M if both are sized to the busier chain’s stress case, while USDe specific estimates (scaling bridge and L2 DEX volume) range from under $1M to about $16M depending on method. Combining both approaches, the analysis concludes the proposed $20M sits at the upper end of demand based estimates but comfortably within reserve fund capacity ($23.9M-$27.3M at an accepted risk level).

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  • Basis trading strategy. This internal analysis reviews a basis trading proposal against roughly ten months of funding data across various venues and various eligible names. It evaluates size, initial LTV, margin of safety and diversification effect.

2. Data infrastructure and risk tooling

  • Live dashboards covering financial, ENA token, USDe, separate dashboard for USDe risk (publicly available), sUSDe and its term structure, USDtb, Ethereal, Whitelabel SaaS, DeFi footprint and HyENA. We update all dashboard frequently and as protocol evolves. For the risk dashboard, we updated the content based on the backing asset composition and allocation changes and tracking our dynamic sUSDe framework including recommended cooldown, stress endurance and queue pressure. For the newly added RWA, we track yield (JAAA, STAC), NAV and AUM (JAAA, STAC) and supply (JAAA, STAC). For reserve fund, we update the recommended reserve sizing as the backing asset composition evolves, its composition and corresponding ratio to USDe supply.

  • Ethena Risk Transparency (beta version) is an analytical application built for Ethena Risk Committee work, turning live Blockworks Research data into governance ready views of USDe backing across four areas: where capital sits, how yield and liquidity behave, and how the book holds up under stress. Backing allocation maps venue, chain and asset class composition alongside liquidity tiers and withdrawability, while risk metrics cover concentration, funding and wrong way risk, reserve fund coverage, RWA stability, and sleeve correlations across funding regimes. Portfolio construction applies Markowitz style risk-return trade offs across lending and cross sleeve correlations and RWA yield risk, and stress testing models redemption cascades across liquidity tiers alongside self lending and leverage loop scenarios. The application is built to institutional standards throughout including transparent methodology, consistent risk framing and outputs aligned with formal Risk Committee deliverables.

3. Transparency and public communication

Our public breakdowns of Ethena governance and risk surpassed 150k views last quarter. The goal is market awareness of Ethena’s governance and risk practices, work beyond the committee’s formal scope that leverages Blockworks reach:

Commitments for the fifth term

Our goal is unchanged, we aim to support Ethena balance sheet strategy without taking unnecessary risk. For the fifth term we commit to:

  1. Asset onboarding and diversification. Continue quantitative eligibility analysis and cap sizing as diversification and new asset onboarding remain core protocol activities.

  2. Reserve fund methodology reassessment. Work with fellow committee members to reassess the sizing methodology as backing composition evolves.

  3. Maintained and improved infrastructure. Keep the live dashboards and the Risk Transparency current as venues, assets, and frameworks change. We are planning to build real time mapping of every backing asset from Ethena through each lending protocol, counterparty and collateral layer, with the capacity to estimate looping magnitudes and inflated TVL in real time. Additionally, we aim to integrate a live alerting system for internal Risk Committee usage as well as public usage.

  4. Continued transparency and awareness. Extend the committee work beyond the governance forum to the broader audience tracking Ethena risk posture.

Heading into the fifth term, we look forward to continuing the close collaboration with LlamaRisk and Kairos Research that has defined this leaner, three member committee, each contributing distinct expertise toward a shared standard of rigor for Ethena risk management.

Conflict of interest declaration

Blockworks declares no material conflicts of interest relevant to the committee mandate. Blockworks media and research businesses cover protocols and assets that may come before the committee; the Advisory team operates independently of editorial, and this separation has been maintained throughout our four terms. We do not advise and hold no investment in any venue or asset currently under committee review. Should a material conflict arise, we will disclose it and recuse ourselves from the relevant discussion, consistent with our practice to date.