STAC vs JAAA: Tokenized AAA CLO Fund Comparison
Summary
Ethena is evaluating STAC, the Securitize Tokenized AAA CLO Fund, as collateral. JAAA, the Janus Henderson Anemoy AAA CLO Fund held through the Centrifuge vehicle, has been assessed for the same purpose. This note compares the two on market risk, where they are substitutive, and on operational and structural mechanics, where they differ on specific points. Throughout, JAAA refers to the Centrifuge tokenized fund (the segregated portfolio of Anemoy Capital SPC Limited that Ethena would hold), not the Janus Henderson AAA CLO ETF (NYSE Arca: JAAA), which is used only as an asset-class and price reference.
Both funds are tokenized, unleveraged, floating-rate vehicles invested in senior AAA CLO tranches, both domiciled in the British Virgin Islands, both delegating security selection to an SEC-registered structured-credit manager, and both connected to BNY entities. The main takeaways:
- Market risk is equivalent: the two funds hold the same asset class from a shared manager universe, so the AAA CLO stress profile established for JAAA applies to STAC (Section 1).
- NAV is struck differently: JAAA’s is calculated by an independent administrator (Trident Trust) on S&P Global pricing, while STAC’s is determined by a sponsor affiliate (Securitize Fund Services), is conclusive and binding, and the offering document discloses an incentive to value above fair value (Section 2.3). Empirically, STAC marks the tranches it shares with the public ETF about 4 to 5 bp higher, a small and stable premium, while the JAAA Centrifuge fund and the ETF price shared tranches identically (Section 3).
- Liquidity differs: JAAA redeems daily at the NAV struck for the redemption date, settling T+1 to T+3; STAC’s offering document specifies no redemption price strike, ties proceeds to the underlying CLO liquidation (roughly T+4 to T+5, no guarantee), and reserves broad suspension and compulsory-redemption powers plus a 2% liquidity-pool fee (Section 2.5).
- Fees and minimum: STAC charges 30 bps under a 40 bps total-expense cap with a $100,000 minimum; JAAA charges 40 bps plus pass-through expenses with a $500,000 minimum (Sections 1.2, 2.6).
- Both funds are anchor-concentrated in the same holder: the Grove allocator holds about 99.9% of STAC and about 90% of JAAA (which Grove also seeded with a reported $1 billion at inception), so holding both confers no diversification at the co-investor level (Section 1.6, Section 5).
1. Market & Portfolio Risk
This section assesses whether the two funds carry the same market risk. It establishes asset-class equivalence through portfolio composition (concentration, holdings overlap, maturity, and realized NAV), then applies the resulting AAA CLO stress profile (Section 1.7).
1.1 Asset-class equivalence
STAC and JAAA hold the same asset class: US-dollar-denominated senior AAA CLO tranches, the highest-quality segment of the CLO capital structure. Both are floating-rate and carry no portfolio-level leverage. From a market-risk standpoint the two funds are substitutive. The sections below establish this through portfolio composition (concentration, holdings overlap, maturity, and realized NAV), and Section 1.7 applies the resulting shared stress profile.
1.2 Side-by-side snapshot
| Dimension | JAAA (Centrifuge / Anemoy) | STAC (Securitize) |
|---|---|---|
| Legal vehicle | Anemoy Capital SPC Limited, BVI segregated portfolio | Securitize AAA CLO Tokenized Fund, Ltd., BVI business company |
| Tokenization platform | Centrifuge V3 | Securitize |
| Investment manager | Anemoy Asset Management Limited (BVI Approved Manager) | Securitize Capital LLC (Delaware, exempt reporting adviser) |
| Sub-adviser (portfolio manager) | Janus Henderson Investors U.S. LLC (SEC-registered) | Insight North America LLC (SEC-registered; Insight Investment, a BNY firm) |
| Fund administrator (NAV) | Trident Trust (independent) | Securitize Fund Services, LLC (sponsor affiliate) |
| Custodian | Pershing LLC (BNY subsidiary) | The Bank of New York Mellon |
| Auditor | MHA Cayman | WithumSmith+Brown, PC |
| Inception | 2025-05-01 | Launched October 2025 (NAV basis 2025-12-31) |
| AUM | \~$433M (2026-05-27) | \~$102M (2026-05-27) |
| Holdings count | 20 | 27 |
| Max position | 8.68% | 5.00% |
| Top-3 / top-10 positions | 24.6% / 63.8% | 14.5% / 44.4% |
| Position-level HHI | 573 | 387 |
| Manager-level HHI | 1,110 | 620 |
| Rate type | Floating | Floating (100%) |
| Management fee | 40 bps plus pass-through service-provider expenses | 30 bps under a 40 bps total-expense cap |
| Entry fee | $0 | None stated |
| Yield | \~4.40% annualized since inception | 4.38% 30-day yield (2026-04-30) |
| Minimum investment | $500,000 (Anemoy-set) | $100,000 initial, $1,000 additional |
| Subscription | Daily, USD or stablecoin, at the token price (NAV per share) | Daily; issued at the portal Token value as of the 2:30 p.m. ET cut-off; cash or stablecoin |
| Redemption | Daily at NAV for the redemption date; settlement stated as T+1 to T+3 | Daily; proceeds within two business days after CLO liquidation (T+2/T+3), no guarantee; 24-hour lock-up |
| Investor universe | Non-US Professional Investors | US accredited (Reg D 506(c)) and non-US (Reg S), up to 100 holders |
| Chains | Ethereum, Base, Avalanche, Arbitrum (Centrifuge V3; supply concentrated on Avalanche and Ethereum) | Ethereum (Tron and XDC permitted) |
| Oracle / attestation | Chronicle (NAV and pricing on-chain) | Chronicle proof-of-assets |
| Public price proxy | Janus Henderson AAA CLO ETF (\~$27B, since 2020-10-16) | None vehicle- or manager-specific |
| Anchor investor | Concentrated: Grove \~90% of supply (seeded a reported \~$1B at inception) | Single holder \~99.9% of supply (Grove, \~$100M) |
Herfindahl-Hirschman Index (HHI) is the sum of squared percentage portfolio weights; higher values indicate greater concentration. For reference, the public JAAA ETF carries a position-level HHI of 33 across 610 holdings.
AUM is the market net asset value published via Chronicle Proof-of-Asset as of 2026-05-27 (for STAC, the price per share of $1,019.24 times 100,198 outstanding shares).
1.3 Diversification and concentration
STAC is the more diversified of the two tokenized funds. It holds 27 positions across 19 managers with a largest position of 5.00%, versus JAAA’s 20 positions across 13 managers with a largest position of 8.68%. STAC’s top three positions sum to 14.5% against JAAA’s 24.6%; its top three managers sum to 25.0% against JAAA’s 47.2%. Position-level HHI is 387 for STAC versus 573 for JAAA, and manager-level HHI is 620 versus 1,110. Both tokenized funds are far more concentrated than the public JAAA ETF (position-level HHI 33), consistent with their lower position counts.
1.4 Holdings overlap
Matched at the CUSIP level (the identical CLO tranche), STAC shares 11 of its 27 positions, representing 41.1% of its NAV, with the JAAA ETF, and one position with the JAAA Centrifuge fund. That single common tranche, a Regatta CLO, appears in all three vehicles. At the manager level, 18 of STAC’s 19 managers also appear in the ETF’s manager universe, while 6 appear in the Centrifuge fund. STAC and the ETF draw on recent primary issuance from a shared manager roster; the Centrifuge fund holds older vintages, so the two tokenized funds overlap on one tranche despite the shared asset class.
1.5 Maturity profile
Measured on legal-final maturity year across all three vehicles, STAC is the longest-dated: maturities are uniformly 2038 or later (71% in 2038, 25% in 2039, 4% in 2040), with no tranche maturing before 2038. Roughly 35% of the JAAA ETF and 47% of the JAAA Centrifuge fund mature earlier, in 2034 to 2037. The Centrifuge fund mixes recent issuance with more seasoned 2017 to 2022 vintages. That vintage difference is the mechanical reason the two tokenized funds share one common tranche (Section 1.4).
1.6 Track record and price discovery
STAC is younger and smaller, with roughly five months of NAV history and \~$102M in assets against JAAA’s \~$433M and roughly a year of on-chain NAV. STAC’s daily NAV per share is approximately $1,019 by late May 2026, a reported net total return since inception of +0.96% through March 31 and +1.40% through April 30; the Centrifuge token has returned approximately 3.43% since its first NAV strike in July 2025. The funds differ in price-proxy availability: Janus Henderson runs the \~$27B public AAA CLO ETF on the same strategy and team as the Centrifuge fund, providing a daily-priced reference with more than five years of marks, whereas Insight Investment operates no public, daily-priced AAA CLO ETF or fund, so STAC has no manager-specific public price proxy. STAC’s supply is held almost entirely by a single holder, the \~$100M Grove allocation (about 99.9% of supply). JAAA’s holder base is similarly concentrated: the same Grove allocator holds about 90% of JAAA, roughly 30% on Ethereum and roughly 60% on Avalanche, and seeded the fund with a reported $1 billion at its 2025 inception.
1.7 Shared stress profile
Sections 1.3 to 1.6 establish that STAC and JAAA draw senior AAA CLO tranches from a shared manager universe and the same segment of the CLO capital structure, so the two funds are substitutive at the asset-class level. The JAAA assessment, in turn, established the asset-class stress profile using two proxies: the Janus Henderson AAA CLO ETF, which runs the same strategy and team as the JAAA Centrifuge fund, and the Palmer Square CLO Senior Debt Index (CLOSE), a long-history daily benchmark. The stress profile derived for JAAA therefore applies to STAC on the same asset-class basis and is not re-derived here.
Across its daily history, CLOSE’s worst observation is a peak-to-trough drawdown of approximately -8.33% during the March 2020 liquidity crisis, with a drop of roughly 19 business days and recovery to the prior peak in roughly 115 business days. The Janus Henderson AAA CLO ETF shows a worst NAV drawdown of -2.42% since its 2020 inception. The full drawdown, COVID-2020, and CLOSE-based stress analysis is set out in the JAAA asset onboarding assessment (LlamaRisk).
Both tokenized funds are more concentrated than the ETF (Sections 1.3 to 1.5). Because idiosyncratic events at a single manager or tranche would register in either fund’s NAV with higher amplitude than in the ETF, ETF-derived stress metrics are a defensible lower bound on each tokenized fund’s idiosyncratic risk, with market-wide stress events translating at comparable magnitude.
2. Operational & Structural Comparison
This section compares how each fund operates: structure and governance, service providers and administrator independence, valuation and NAV, subscription, redemption and liquidity, accounting and fees, and tokenization.
2.1 Fund structure and governance
Both funds are BVI vehicles offered to sophisticated investors and both place all voting control in 100 management shares held by the manager, with investors holding non-voting participating shares and no independent board.
STAC is a BVI business company relying on the US Investment Company Act Section 3(c)(1) exemption, which caps beneficial owners at 100 persons. It is offered to US accredited investors under Regulation D Rule 506(c) and to non-US persons under Regulation S. Its board has two directors, both Securitize employees.
JAAA is a segregated portfolio company (SPC) regulated as a BVI Professional Fund under the supervision of the BVI Financial Services Commission (BVIFSC), restricted to non-US professional investors. Its manager holds the 100 voting management shares and there is no independent board.
The managers differ in registration status. STAC’s Investment Advisor (Securitize Capital LLC) is not SEC-registered and operates as an exempt reporting adviser; its sub-adviser (Insight North America LLC) is SEC-registered. JAAA’s Investment Manager (Anemoy Asset Management Limited) is a BVI Approved Manager, a lighter regime; its sub-adviser (Janus Henderson Investors U.S. LLC) is SEC-registered.
In both funds the sub-adviser holds discretionary authority over which CLOs the fund buys and sells (Insight for STAC, Janus Henderson for JAAA). One item is specific to STAC: its Private Placement Memorandum (PPM) states the Investment Advisor neither conducts nor intends to conduct ongoing due diligence on the sub-adviser.
The STAC PPM contemplates an Independent Fund Representative whose role is bounded — it “will not make investment recommendations or comment on the merits of the Investment Advisor’s investment recommendations” and may rely on Advisor-provided information, and the Fund may replace it at any time in its sole discretion (PPM, Independent Fund Representative, pp. 30–31); the document set does not confirm whether one has been engaged or its scope.
2.2 Service providers and administrator independence
The central operational difference between the two funds is the independence of the fund administrator that calculates NAV. STAC’s administrator is a sponsor affiliate; JAAA’s is an independent third party.
The remaining roster is comparable. Both use a BNY custodian, an external auditor, an SEC-registered sub-adviser, and Chronicle for on-chain data.
| Function | STAC | JAAA |
|---|---|---|
| Investment manager / adviser | Securitize Capital LLC (affiliate) | Anemoy Asset Management Limited |
| Sub-adviser | Insight North America LLC | Janus Henderson Investors U.S. LLC |
| Administrator (NAV) | Securitize Fund Services LLC (affiliate) | Trident Trust (independent) |
| Custodian | The Bank of New York Mellon | Pershing LLC (BNY subsidiary) |
| Prime broker | Not disclosed in the PPM | StoneX Financial Inc. |
| Auditor | WithumSmith+Brown, PC | MHA Cayman |
| Oracle / data feed | Chronicle | Chronicle |
| Fiat / stablecoin ramp | Subscriptions accepted in cash or stablecoin | Circle and Coinbase (USDC) |
2.3 Valuation and NAV
Both funds strike a daily NAV and publish it on-chain through Chronicle. They differ in who determines the value and on what basis.
For STAC, Net Assets are determined by the Investment Advisor as of 4:00 p.m. ET, based on CLO valuations provided by the affiliate administrator as of the preceding business day, with the Advisor’s determination, absent bad faith or manifest error are conclusive and binding. The fair value is determined by the administrator relying on third-party valuation services compared against the custodian’s valuations.
For JAAA, the independent administrator calculates daily NAV using S&P Global Pricing data on a T+1 reporting cycle and verifies NAV against portfolio records before any subscription or redemption.
Neither token trades on a secondary market; each is priced through primary subscription and redemption at NAV.
2.4 Subscription mechanics
Both funds accept daily subscriptions in cash or stablecoin from whitelisted, KYC-cleared investors. They differ in minimums and in the price at which subscriptions are struck.
STAC requires a $100,000 initial and $1,000 additional minimum and issues tokens at the portal Token value as of a 2:30 p.m. ET cut-off, a known standing price.
JAAA requires a $500,000 minimum set by Anemoy and accepts USD or stablecoins, converted to USD through Circle or Coinbase, with whitelisting and KYC managed by the administrator.
2.5 Redemption and liquidity
Both funds offer daily redemption funded by selling CLO tranches. They differ in the price basis, the settlement window, and the discretionary controls disclosed.
Redemption price basis. JAAA redeems at the NAV the independent administrator calculates for the redemption date using S&P Global Pricing. STAC’s PPM does not state a redemption price strike; it ties redemption proceeds to the actual liquidation of the CLO positions, with the only NAV reference appearing indirectly in the Buyout provision.
Settlement window. STAC pays within two business days after receiving CLO sale proceeds, which the PPM expects on a T+2 or T+3 timing with no guarantee, for an end-to-end path of roughly T+4 to T+5. JAAA’s materials state the timing variously as T+1 (Particula rating report) and usually T+3 (April 2025 factsheet), with the underlying CLO transactions on a T+2 settlement cycle.
Discretionary controls. STAC’s PPM enumerates broad suspension and forced-redemption powers, a 2% liquidity-pool fee, an in-kind settlement option, holdbacks, and a 24-hour lock-up.
STAC’s PPM concentrates an unusually broad redemption-suspension regime in the two-director board. The Directors may declare a suspension of (a) NAV determination, (b) subscriptions, (c) redemption of Participating Shares (in whole or in part), (d) purchase of Participating Shares, and (e) payment to a redeeming Shareholder, “in each case for the whole or any part of any such period and in such circumstances as the Directors may determine” (PPM, Suspensions, p. 25). There is no objective trigger, no duration cap, no notification or ratification mechanism, and no third-party sign-off. Separately, the Fund may compulsorily redeem any or all of a Shareholder’s Shares “for any reason or for no reason” (PPM, Compulsory Redemptions, p. 25); may suspend a Shareholder’s redemption rights to comply with AML laws (PPM, p. 25); may freeze, segregate or compel withdrawal of a Subscriber “in its sole discretion” under Sub. Agt. §3.4(e) (p. 15); may pay redemption proceeds in kind and “withhold all or any portion of any redemption if necessary for reserves or for compliance with applicable regulatory requirements” (PPM, Payment of Redemption Proceeds, p. 25); and applies a 2% Liquidity Pool Fee on redemptions met from the Liquidity Pool, waivable in the Investment Advisor’s sole discretion (PPM, Liquidity Pool, p. 9). A 24-hour Lock-Up Period also applies (PPM, p. 16).
The Subscription Agreement compounds the suspension regime through an investor covenant that each Subscriber “will not file a winding up petition on the just and equitable ground against the Fund in British Virgin Islands,” or any equivalent application elsewhere, in connection with NAV or redemption-related suspensions (Sub. Agt., §4.12 No Petition for Winding Up, p. 20). The principal investor-led BVI escalation route is therefore contractually closed. The JAAA materials reviewed describe a standard daily redemption process and do not contain a comparable no-petition covenant.
2.6 Accounting, fees and expenses
STAC charges a 30 bps management fee under a 40 bps total-expense cap, with the sub-advisory fee borne by the Investment Advisor rather than the Fund. JAAA charges a 40 bps management fee plus pass-through service-provider expenses, with a $0 entry fee and no stated all-in cap.
One accounting item is specific to STAC: organizational and offering expenses may be amortized over up to 60 months, a stated divergence from US GAAP that may result in a qualification of the audited financial statements.
2.7 Tokenization and transferability
The funds use different token standards and transfer models. STAC issues an ERC-20 permissioned token (live on Ethereum, with Tron and XDC permitted), the PPM does not contain a general standalone “cancel and replace tokens without notice” right. It contains (i) a narrow distribution-linked Token-cancellation in the Investment Advisor’s sole discretion (PPM, Distributions, p. 17), (ii) a Compulsory Redemption power (PPM, p. 25) that operates by redemption rather than cancel-and-replace, it requires prior written consent for any transfer or pledge. JAAA deploys through ERC-4626/7540 vault interfaces on Centrifuge’s hub-and-spoke architecture across Ethereum, Base, Avalanche, and Arbitrum, with supply concentrated on Avalanche and Ethereum and cross-chain messaging via Wormhole, and has a permissionless DeFi wrapper (deJAAA) that removes transfer restrictions.
STAC issues a permissioned ERC-20 token, and “Shareholders may not transfer (or pledge) Shares without obtaining the prior written consent of the Fund, which consent may be conditioned, withheld or granted in the sole discretion of the Directors” (PPM, Transfer, p. 25). The Transfer Agent (Securitize LLC) is SEC-registered, and “the Transfer Agent’s register of members constitute the official shareholder records for the Tokens and govern the record ownership of the Tokens in all circumstances” (PPM, p. 26). The off-chain register, not the on-chain state, is the controlling record. Operationally, “Tokens may only be sold or transferred to people or entities on the whitelist, unless otherwise approved by the Investment Advisor” (PPM, p. 15).
The Subscription Agreement adds a tax-driven covenant under which Subscribers may not sell or dispose of Shares “on an ‘established securities market,’ a ‘secondary market,’ an ‘interdealer quotation system’” for US Section 7704 classification reasons (Sub. Agt. §3.3, pp. 9–10) — a further structural constraint on secondary liquidity. The Securitize Markets ATS is not available at launch and is described as “a closed system that does not have the same breadth of market size and liquidity compared to a securities exchange” (PPM, ATS Liquidity, p. 56). A future Buyout mechanism is contemplated under which a “Secondary Buyer” may purchase Shares at a price set in its sole discretion, with no obligation to offer Buyouts at any specific price (PPM, Buyout, p. 26).
3. Pricing consistency
STAC, the JAAA Centrifuge fund, and the Janus Henderson AAA CLO ETF hold overlapping CLO tranches. Each publishes a clean price (per unit of par, excluding accrued interest) for the tranches it holds, so the price the three vehicles assign to the same tranche on the same date can be compared directly. STAC marks are taken from its daily Chronicle attestations, JAAA Centrifuge marks from its Chronicle holdings feed, and ETF marks from the published Janus Henderson holdings and SEC filings.
On 2026-05-26, the JAAA Centrifuge fund and the ETF assign identical clean prices to all 15 tranches they hold in common (mean difference 0.0 bp), consistent with a shared manager and pricing source. STAC marks the 11 tranches it shares with the ETF at a small premium of roughly 4 to 5 bp (5.0 bp at 2026-01-31 and 3.75 bp at 2026-05-26), at or above the ETF on every shared tranche and never below. The premium is stable across the four-month window and does not exceed about 10 bp. Across 120 daily attested strikes since 2026-01-20, STAC’s per-security marks track just above par with low volatility. Section 2.3 describes how each fund’s NAV is determined.
Per-security daily mark panels for both Chronicle-attested funds are in the Addendum.
4. Summary of operational differences
| Dimension | STAC | JAAA |
|---|---|---|
| Administrator independence | Sponsor affiliate (Securitize Fund Services) | Independent (Trident Trust) |
| NAV pricing basis | Third-party valuation services plus custodian cross-check; Advisor determination conclusive and binding | S&P Global Pricing; administrator reconciles against portfolio records |
| Redemption price basis | Not stated in the PPM; tied to realized CLO liquidation | NAV for the redemption date, struck by the administrator |
| Redemption settlement | Roughly T+4 to T+5 (CLO liquidation T+2/T+3 plus two business days), no guarantee | T+1 to T+3 across the reviewed materials |
| Disclosed redemption controls | Five-pronged suspension, compulsory redemption, 2% liquidity-pool fee, in-kind option, holdbacks | Standard process documented; suspension provisions not in the reviewed materials |
| Management fee | 30 bps under a 40 bps total-expense cap | 40 bps plus pass-through; no stated cap |
| Minimum investment | $100,000 | $500,000 |
| Token standard | ERC-20, permissioned; transfer and pledge require consent | ERC-4626/7540 vaults; permissionless deJAAA wrapper available |
Shared structural features include the BVI domicile, the 100-management-share voting structure held by the manager with no independent board, non-voting participating investor shares, an SEC-registered sub-adviser, BNY-affiliated custody, Chronicle on-chain attestation, and the absence of a secondary market.
5. Implications for Ethena and allocation cap
STAC and JAAA are close substitutes. They hold the same asset class with substitutive market risk (Section 1), share an operational and structural template whose differences (Section 2) do not change the risk class, and are anchored by the same dominant holder: the Grove allocator holds about 99.9% of STAC and about 90% of JAAA (Section 1.6).
The allocation framework developed in the JAAA asset onboarding assessment applies to STAC on the same basis. That framework sizes a maximum position from a Reserve Fund stress-loss budget: capping the Reserve Fund drawdown a single exposure may contribute at 50% of the Reserve Fund, and assuming a 10% stress loss on the position, produced a cap of approximately $310M at the Reserve Fund size of approximately $62M (2026-05-12). The cap scales with Reserve Fund capitalization at the measurement date.
Because STAC and JAAA share the asset class, the stress profile, and the dominant anchor holder, a position in one does not diversify a position in the other. STAC and JAAA exposure is therefore treated as additive against a single shared allocation cap rather than sized independently: the combined STAC plus JAAA position, not each fund on its own, is what the cap constrains.
Addendum: per-security daily marks
Both Chronicle-attested funds publish daily per-security clean prices. Each tracks just above par across its attested history.
