General Asset Profile
I. Legal Due Diligence
Jurisdictional Compliance
Anemoy Capital SPC Limited is incorporated in the British Virgin Islands as a segregated portfolio company. Each sub-fund, including the Janus Henderson Anemoy AAA CLO Fund (JAAA), is a segregated portfolio established under the BVI Business Companies Act, 2004. The Fund holds a current entry on the BVI Financial Services Commission’s public register of regulated entities under the classification “Professional Funds”. The Fund is recognised, rather than actively supervised, under the Securities and Investment Business Act, 2010 (SIBA): the PPM expressly cautions that “the Fund is not subject to supervision of the Financial Services Commission” and that the protections applicable to Public Funds under SIBA do not apply.
The Fund qualifies as a Professional Fund under SIBA, targeted at Professional Investors. Subscriptions are subject to a minimum initial investment of US$100,000 and to investor-eligibility tests confirming the subscriber’s professional status (or, in the case of natural persons, a net-worth declaration in excess of US$1 million). The offering is made outside the United States and the Fund is not registered as an investment company under the U.S. Investment Company Act of 1940. The Subscription Agreement requires each investor to certify that the Shares are not, and will not be, held by a “United States Person” within the meaning of the U.S. Internal Revenue Code or by a “U.S. Person” as defined in Rule 902 of Regulation S under the U.S. Securities Act of 1933. The PPM cover discloses that the Shares “will be offered and sold under the exemption provided by Section 4(a)(2) of the Securities Act and Regulation D promulgated thereunder and other exemptions of similar effect under U.S. State laws and the laws of other jurisdictions where the offering will be made”.
The Fund and its subscribers are required to represent and warrant, on a continuing basis, that they are not Sanctions Subjects under any of (i) OFAC, (ii) the United Nations Security Council, (iii) the United Kingdom (including UK measures as extended to the BVI by Statutory Instrument), (iv) the European Union, (v) the British Virgin Islands, and (vi) other relevant sanctions authorities. Wallet-level monitoring and counterparty screening are operated through Chainalysis-powered tooling.
Bankruptcy Remoteness
JAAA is structured as a segregated portfolio of Anemoy Capital SPC Limited, a segregated portfolio company under BVI law. Sections 144–146 of the BVI Business Companies Act, 2004 (as amended) require the Fund to identify and segregate the assets and liabilities of each portfolio: creditors of one portfolio have recourse only to the assets of that portfolio and not to the assets of the Fund’s general account or of any other portfolio.
The PPM provides that “the assets of one portfolio will not be available to meet the liabilities of another portfolio” but cautions that the Fund is “a single legal entity which may be subject to claims in other jurisdictions which may not necessarily recognise such segregation, and, in such circumstances, the assets of one portfolio may be exposed to the liabilities of another portfolio”. This residual cross-border-recognition risk is a feature of the SPC structure generally and is consistent with the disclosure standard for BVI Professional Funds. In an insolvency of the Fund, BVI courts would be expected to enforce the boundaries between segregated portfolios, with only liabilities attributable to a particular portfolio satisfied from that portfolio’s assets.
The underlying CLO and cash-like investments are held by Pershing LLC, a U.S. broker-dealer registered with the U.S. Securities and Exchange Commission and a member of FINRA, NYSE and SIPC, and a wholly owned subsidiary of The Bank of New York Mellon Corporation. Investor positions are held in client-segregated accounts at Pershing.
Title and Ownership Structure
JAAA tokens represent participating non-voting ordinary shares of no par value in the Janus Henderson Anemoy AAA CLO Fund Segregated Portfolio. Under the MAA, transfer of a tokenised share is treated as transfer of the underlying registered share, with the Fund Administrator’s records constituting the Fund’s official register. Anemoy Capital SPC Limited, as a corporate entity, is the legal owner of all underlying assets held for the Portfolio’s account, and the ultimate beneficial interest belongs to the holders of the Portfolio’s participating shares. Shareholders hold a pro-rata claim on the Portfolio’s net asset value rather than a direct interest in any individual CLO security.
Each segregated portfolio’s assets, liabilities, costs and expenses are accounted for separately and are not shared with other classes, series or portfolios. The directors retain authority to create new classes and series and new segregated portfolios. On a winding-up of the Portfolio or the Fund, holders of participating shares are entitled to a pro-rata distribution of the surplus assets attributable to their class and series after satisfaction of liabilities. The Subscription Agreement also provides for a fallback paper-share-certificate issuance where Centrifuge or the smart contracts cease to function or the wallet is impaired, with the Fund agreeing to issue paper certificates upon request within a reasonable time.
Issuer’s Structure Evaluation
Anemoy Capital SPC Limited (incorporated 18 August 2023; BVI company no. 2130465) is the legal issuer of JAAA. Its registered office is at Ritter House, Wickhams Cay II, Road Town, Tortola, BVI. Its directors are Jason Meads and Martin Quensel. The Authorised Representative under SIBA is Ogier Global Services (BVI) Limited.
The Investment Manager is Anemoy Asset Management Limited (BVI), with registered office at Trinity Chambers, P.O. Box 4301, Road Town, Tortola, BVI. The Sub-Investment Manager is Janus Henderson Investors US LLC, with day-to-day responsibility for execution of the AAA-rated CLO strategy.
The Fund Administrator is Trident Trust Company (BVI) Limited, with registered office at Trident Chambers, Wickhams Cay, P.O. Box 146, Road Town, Tortola, BVI. The Administrator provides registrar, transfer-agent, NAV-calculation, AML/KYC and corporate-secretarial services. Trident Trust Company (BVI) Limited holds Class I trust and fund-administrator licences from the BVIFSC.
The Auditor is MHA Cayman, of 10 Market Street, Suite 6, Camana Bay, Grand Cayman; MHA Cayman is a CIMA-approved auditor.
The Custodian for the Portfolio is Pershing LLC, and the Prime Broker is StoneX Financial Inc. Both are SEC-registered broker-dealers and FINRA/SIPC members; StoneX Financial is additionally registered with the CFTC as a Futures Commission Merchant and Commodity Trading Advisor.
Subscriptions, Withdrawals, and Redemption Mechanics
Prospective investors execute the Subscription Agreement and complete AML/KYC onboarding with the Fund Administrator. Upon clearance, the investor designates a wallet address; the Administrator whitelists the address; and, upon receipt of subscription monies, the Fund delivers the Participating Shares in tokenised form to the investor’s wallet. Subscriptions may be paid in U.S. dollars or in USDC equivalent, at the offering price of US$1,000 per Share. Subscriptions are accepted on each Business Day.
Holders may redeem all or any portion of their Participating Shares on any Redemption Day. A redemption request takes the form of a transfer of the Share token to the Fund’s designated wallet address; the on-chain transfer constitutes an irrevocable request to redeem. Redemptions are processed at the Net Asset Value per Share. The Portfolio Supplement specifies a settlement period of three (3) Business Days for the JAAA Portfolio. Redemption proceeds are generally paid in tokenised form to the designated wallet, and may be paid in U.S. dollars where the wallet is unavailable or the Shareholder so requests.
The Board of Directors holds extensive powers to suspend redemptions or NAV reporting, including (i) when an exchange on which a Fund investment is quoted is closed or restricted, (ii) during emergencies in which disposal of assets or NAV determination would be impracticable or prejudicial, (iii) during breakdowns in price-discovery infrastructure, (iv) when realisation or acquisition of investments cannot be effected at normal exchange rates, (v) where redemptions are prohibited under BVI law or any regulation applicable to the Fund or its service providers, and (vi) “in such other circumstances and at such other times as the Board of Directors may determine in its sole discretion”. The Board may also suspend redemption rights with respect to any individual Shareholder where required to comply with AML laws applicable to the Fund or its service providers, and the Fund and the Fund Administrator may refuse a redemption payment that would or might result in an AML breach in any relevant jurisdiction.
Investment Program, Yield Accrual, and Distribution
The Portfolio’s investment objective is to seek current income consistent with liquidity and stability of principal. The investment strategy is to invest 100% of the Portfolio’s total assets in cash, cash-like instruments (including money-market instruments and money-market funds) and AAA-rated Collateralized Loan Obligations. The Portfolio Supplement expressly prohibits the use of leverage, hedging and derivatives. The Portfolio is offered as a single class of participating non-voting ordinary shares of no par value (the Participating Shares).
CLOs are structured-finance vehicles that issue multiple debt tranches with distinct risk-and-return profiles. Senior tranches receive priority payment but remain exposed to losses in the event of severe defaults in the underlying loan portfolio.
The strategy aligns with the mandate of the Janus Henderson AAA CLO ETF, Janus Henderson’s flagship AAA CLO product, which is managed by the same Janus Henderson portfolio-management team. Although the Portfolio Supplement does not require parallel construction with the ETF, the Portfolio’s investable universe and risk-management approach mirror those of the ETF: an emphasis on AAA-rated CLO tranches purchased in primary syndication and through broker-dealer secondary markets, with concentration in larger, more liquid issues. The Portfolio may, in the Investment Manager’s discretion, hold limited positions in the JAAA ETF; Centrifuge has confirmed that there is no legal relationship between the Portfolio and the ETF.
The decision to limit exposure to the JAAA ETF reflects regulatory and structural considerations under BVI law and U.S. securities law. BVI Professional Funds are designed to invest directly in underlying assets rather than in other collective-investment vehicles; substantial exposure to a U.S.-listed ETF could expose the Fund to fund-of-funds treatment, U.S. registration, reporting and tax obligations, and would risk operational and legal complexity disproportionate to the benefit. By investing primarily in CLOs directly, the Fund preserves its BVI Professional Fund posture and avoids U.S. withholding-tax and reporting consequences for non-U.S. investors.
The management fee for the JAAA Portfolio is stated in the Portfolio Supplement as “0.50 basis points per annum based on the value of the net assets of the Portfolio”.
Yield accrues to investors through changes in the per-Share Net Asset Value rather than through periodic distributions. NAV is calculated by the Fund Administrator on a periodic basis under the Administration Agreement and disseminated on-chain through the Chainlink oracle.
Transfer Restriction Enforcement and Secondary Market Monitoring
Pre-transfer controls
Transfers of JAAA tokens are controlled through a whitelist mechanism maintained by the Fund Administrator. Only investors and prospective investors who have completed all required suitability, AML and KYC checks (“Whitelisted Accounts”) may subscribe for or acquire Shares, including by transfer from existing Shareholders. Transfers between Whitelisted Accounts are generally permitted at any time, including when the Fund is not accepting subscriptions or redemptions. All transfers occur on the blockchain, and the initiating Shareholder pays the applicable gas fees. A transfer effected on-chain may not be recorded on the Fund’s books and records until the Fund Administrator has verified and recorded it.
Under the MAA, the directors may decline to register any transfer that would result in beneficial ownership by a U.S. Person, that would be unlawful, or that “may be harmful or injurious to the business or reputation of the Company, the Investment Manager, investment advisor or administrator”. Violation of the applicable ownership and transfer restrictions “may result in compulsory redemption”.
On-chain enforcement and monitoring
JAAA is issued as an ERC-20 token incorporating a Restriction Manager that enforces the whitelist on-chain: removal of an investor from the memberlist locks the relevant tokens, preventing further transfers from the affected wallet. The Fund Administrator’s off-chain whitelist and the on-chain memberlist together provide layered enforcement: an off-chain compliance determination is propagated to the on-chain restriction logic. Wallet-level sanctions and counterparty screening is performed through Chainalysis-powered tooling. Screening covers the lists referenced in §1 above (OFAC, UN, UK/OFSI as extended to BVI, EU and BVI). A Shareholder or Related Person whose status changes – including PEP-status changes and sanctions designations – may be subject to immediate cessation of further dealings, freeze of redemption, or compulsory redemption.
Post-transfer enforcement
Where the Fund determines that continued participation by a Member would or could cause the Fund to violate any law, rule or regulation, or would expose the Fund to litigation, arbitration or administrative action, the Board of Directors may compulsorily redeem that Member’s Shares on not less than five (5) days’ notice. The Board may also redeem any Member’s Shares “with or without cause, in the sole discretion of the directors” on not less than seven (7) days’ notice. At the Portfolio level, the directors may compulsorily redeem all (but not some only) of the Shares of a Portfolio where market conditions adversely affect the Portfolio’s assets or where NAV has fallen below a level at which the Portfolio can be efficiently managed, on not less than ten (10) days’ notice. Restrictions in the Articles applicable to Member-initiated redemption do not apply to compulsory redemption.
In addition, the Subscription Agreement empowers the Fund to compulsorily redeem Shares where information or documentation provided by the subscriber is misleading or inaccurate, or where the subscriber has failed to provide requested information. Read together, the off-chain whitelist, the on-chain memberlist, and the layered compulsory-redemption powers constitute the Fund’s post-transfer enforcement architecture.II. Market Risk
II. Market Risk
1. Assets Under Management (AUM)
The Centrifuge fund (Janus Henderson Anemoy AAA CLO Fund) reported total net assets of approximately $409M at 2026-05-08 per the Centrifuge frontend snapshot. The fund launched on 2025-05-01 with a $100M USDC target size (per April 2025 factsheet) and grew to approximately $1.1B at peak in early 2026 before stepping down to the current $400M range over March-April 2026. The cause of the AUM step is open.
The underlying JAAA ETF, sharing the same sub-advisor and portfolio team, reported net assets of $25,207M at the fiscal year end 2025-10-31 and $26,250,681,318 across 551 holdings at the 2026-01-31 reporting date. The ETF is the larger and more liquid vehicle by approximately two orders of magnitude. The ETF and Centrifuge fund are independent legal vehicles (see §1.1 of Part 1), and ETF AUM does not provide automatic backstop liquidity to the Centrifuge fund.
2. Historical Performance
ETF performance figures (per JAAA prospectus 2026-02-27 and FY 2025 N-CSR):
| Period | JAAA ETF total return |
|---|---|
| 2021 | 1.35% |
| 2022 | 0.49% |
| 2023 | 8.58% |
| 2024 | 7.41% |
| 2025 | 5.18% |
| 1-year through 2025-10-31 | 5.54% |
| 5-year average | 4.55% |
| Since inception (2020-10-16) | 4.53% |
| Best quarter | Q3 2023: +2.55% |
| Worst quarter | Q2 2022: -1.75% |
For benchmark context, the J.P. Morgan CLOIE AAA Index returned 5.64% in the 1-year window through 2025-10-31 (the JAAA ETF tracked within ±60bps of the index for the calendar years 2021-2024, per the prospectus per-year disclosure). Q2 2022 (-1.75%) is the worst quarterly observation in the ETF’s full history; that drawdown predates the JAAA ETF max single-day drop of -0.60% reported in Part 1 §2.1 and reflects the cumulative rate-hike-cycle move rather than a single-day event.
The JAAA ETF since-inception (2020-10-16) annualized total return computed from the Janus Henderson NAV / totalReturn series is 4.56% (matching the prospectus’s stated 4.53% within rounding). Centrifuge token yield is discussed in Part 1 §2.4.
3. Diversification
ETF portfolio characteristics from the FY 2025-10-31 N-CSR and the 2026-01-31 NPORT-P:
| Metric | Value | Source |
|---|---|---|
| Number of holdings | 551 (NPORT-P) / 478 (FY-end) | NPORT-P 2026-01-31 / N-CSR 2025-10-31 |
| Weighted average maturity | 4.66 years | N-CSR 2025-10-31 |
| Effective duration | 0.20 years | Janus Henderson portfolio characteristics, 2026-05-08 |
| Portfolio turnover | 94% | N-CSR 2025-10-31 |
| Asset-type mix | 97.89% ABS-CBDO (CLO tranches), 2.15% STIV (cash/MMF) | NPORT-P 2026-01-31 |
| Credit quality | 100.00% net Aaa (101.35% gross Aaa, -1.35% net other items) | N-CSR 2025-10-31 |
| Fair value level | 100.04% Level 2 (all 551 holdings, observable inputs) | NPORT-P 2026-01-31 |
The credit-quality table in the N-CSR shows 101.35% of net assets in Aaa-rated CLOs against -1.35% in net other items (the small repo or financing positions on the liability side); the two sum to 100% of net assets. The 101.35% is therefore the gross Aaa exposure on the asset side and does not indicate over-collateralisation in the credit-quality sense; effectively all of the fund’s net assets are in Aaa-rated CLO debt.
Effective duration has moved across recent observations: 0.09 years (factsheet 2025-06-30), 0.24 years (N-CSR 2025-10-31), and 0.20 years (Janus Henderson portfolio characteristics, 2026-05-08). Duration in this fund is structurally short because the underlying CLOs are floating-rate; the small variations reflect periodic allocations to fixed-rate CLO tranches (capped at 10% of net assets per prospectus) and reset-period dynamics rather than an interest-rate view. Standard rate-shock exposure (1bp parallel shift in SOFR) translates to approximately 0.20bps NAV impact at the current duration.
Centrifuge fund characteristics. The Centrifuge BVI fund does not separately publish WAM, effective duration, fair-value-level distribution, or detailed credit-quality bucketing in the public April 2025 factsheet. What is observable from the Centrifuge frontend and the typed top-20 holdings (with all values relative to the CLO portfolio of $381M out of $409M TVL):
| Metric | Centrifuge value | Source |
|---|---|---|
| Position count (CLO portfolio) | 20 | Centrifuge frontend, 2026-05-08 |
| Largest single position | 8.68% (ARES 2022-ALF2A) | Centrifuge frontend |
| Top-3 manager concentration | 42.0% (Madison Park, CBAM, KKR) | Manager aggregation |
| Position-level HHI | 573 | Computed from holdings |
| Manager-level HHI | 974 | Computed from holdings |
| Cash / STIV (residual to TVL) | ~$28M (~6.8% of TVL) | $409M TVL minus $381M CLO sum |
| Vintage distribution | 2017: 12.9%, 2018: 18.6%, 2019: 6.6%, 2021: 20.2%, 2022: 19.2%, 2025: 12.1%, UNKNOWN: 10.5% | Vintage aggregation |
Investment constraints (from JAAA prospectus 2026-02-27):
| Constraint | Limit |
|---|---|
| Min in AAA-rated CLOs at purchase | ≥90% of net assets |
| Min maintained AAA-rated under normal conditions | ≥80% of portfolio |
| Min credit rating at purchase | A- (no purchases below A-) |
| Min CLO total offering size | $250M |
| Min senior AAA tranche size | $100M |
| Max in any single CLO | 5% of portfolio |
| Max in CLOs by a single CLO manager | 15% of portfolio |
| Max fixed-rate CLO exposure | 10% of net assets |
| Max foreign-currency-denominated CLOs | 30% of net assets (hedged to USD) |
| Max total return swap notional | 10% of net assets |
The $250M minimum CLO deal size and $100M minimum AAA tranche size effectively exclude middle-market CLOs (which typically issue smaller deals with smaller AAA tranches).
4. Liquidity and Redemption Mechanics
Centrifuge tokenized fund:
- Daily subscriptions and redemptions in USDC
- Settlement: T+3 official, T+1 typical (per JAAA Centrifuge factsheet, April 2025)
- No instant redemption, no swing pricing, no gates currently
- Whitelisted-account-only transfers (BVI Professional Fund, Reg S, non-US persons)
- Redemption initiated by transferring share tokens to fund’s designated wallet (irrevocable request settled at next NAV strike)
Underlying market depth:
- AAA-rated CLO market outstanding approximately $500-600B.
- Over-the-counter, BWIC-driven secondary market
For Ethena’s purposes, the operative exit channel is the Centrifuge primary redemption path. The ETF intraday secondary is not directly available to Ethena.
5. Fee Structure and Cost Transparency
The JAAA ETF and the Centrifuge tokenized fund have different fee structures, and the difference is larger than the management-fee headline:
| Component | JAAA ETF | JAAA Centrifuge |
|---|---|---|
| Management fee | 0.20% | 0.40% |
| Other expenses | 0.00% (per 2026-02-27 prospectus) | Pass-through (brokerage, custody, administration, audit) |
| Total annual operating expenses | 0.20% | 0.40% plus pass-through (TBD in fund accounts) |
Sources: ETF expenses from 2026-02-27 prospectus. Centrifuge fee structure from April 2025 Centrifuge factsheet (“Annual mgmt. fee 40 basis points annually” plus “Other service provider fees: Brokerage, Custody, Administration, and Audit”).
NAV reporting is daily. The Fund Administrator (Trident Trust Cayman) verifies AUM and updates NAV daily; MHA Cayman provides annual audit.
6. Multi-Chain Availability
The Centrifuge token is issued natively on Centrifuge Chain. Per the April 2025 factsheet, supported networks for native deployment and redemption include Ethereum, Base, Arbitrum, and Celo, with the factsheet phrasing “and more”. The current deployment list should be confirmed against the Centrifuge product page since the Centrifuge ecosystem has been expanding deployment chains.
7. Issuer Maturity
The Centrifuge fund product launched on 2025-05-01 (12 months in operation as of the date of this report).
The underlying JAAA ETF launched on 2020-10-16 (5.5 years of track record). Janus Henderson is a global asset manager with reported AUM of $373.2B.
Key partners (per April 2025 Centrifuge factsheet):
- StoneX Financial Inc.: Prime Broker
- BNY Mellon Pershing: Custodian (Pershing LLC)
- Trident Trust Cayman: Fund Administrator
- MHA Cayman: Auditor
- Circle: USDC on/off-ramp
- Centrifuge: issuance protocol
8. RWA Market Volatility
Volatility, drawdown, and cross-asset correlation analysis is in Part 1 §2 (return distribution, CLOSE proxy stress metrics, COVID deep-dive, 2008 regression-based estimate, cross-asset comparison). Two summary points stand: senior AAA CLO debt exhibited compressed drawdown relative to other liquid fixed-income and equity benchmarks across all observed stress events (COVID -8.33% on CLOSE versus -33.72% on SPY; 2022 inflation -2.34% on CLOSE versus -22.73% on LQD), and JAAA-on-CLOSE correlation is 0.86 at the 7-day horizon, supporting CLOSE as a long-history proxy.
The principal risks disclosed in the JAAA prospectus 2026-02-27 span 13 categories: CLO Risk (structural and underlying-loan), Debt Securities Risk (with sub-categories for liquidity, interest rate, floating rate, prepayment, extension, income, credit, covenant-lite, valuation, and privately-issued securities), CLO Manager Risk, Market Risk, Portfolio Management Risk, Investment Focus Risk (concentration in CLOs), Foreign Exposure Risk (up to 30% foreign currency, hedged), Newly Issued Securities Risk, Extended Settlement Risk, Derivatives Risk, Counterparty Risk, and ETF Risks (AP concentration, NAV discount/premium). The mark-to-market volatility profile dominates the AAA tranche credit-event distribution: AAA CLO senior tranches subordinate to equity, mezzanine, BB, and BBB tranches before AAA cash flows are interrupted.
III. Technological Risk
The Centrifuge tokenization layer is V3 of the Centrifuge protocol, a hub-and-spoke multi-chain protocol with an immutable core and modular extensions. JAAA tokens are issued on Centrifuge spoke contracts and bridged to the supported networks via Centrifuge’s chain-abstraction layer.
1. Audit History
The Centrifuge protocol has had 24 documented security reviews across V1, V2, V2.1, V3.0, and V3.1 (per the Centrifuge audits page). Coverage spans the protocol core, Spoke/Vaults, Gateway cross-chain layer, LayerZero adapter, Merkle Proof Manager, and Morpho integration. The most recent engagements run through Q1-Q2 2026 (V3.1 follow-ups, deployment-verification audits, and Onchain PM reviews).
2. Bug Bounty Program
Centrifuge runs an active bug bounty program with a maximum reward of $250,000, hosted on Cantina (per the Centrifuge security page. The program covers Centrifuge protocol smart contracts.
3. Access Controls and Governance Architecture
The Centrifuge V3 protocol is controlled by an immutable Root contract (0x7Ed48C31f2fdC40d37407cBaBf0870B2b688368f, identical on every supported chain via deterministic deployment). Root holds ward (admin) access on every other protocol contract; Root has no external entry point, and all privileged calls must come from one of two guardian contracts wired into Root via the ward pattern.
- Root.delay() returns 172,800 seconds (48 hours) on every chain. This is the timelock that gates permission escalation: any new ward must be scheduled via Root.scheduleRely(target) and can only be executed after the delay has elapsed. Pause is instant; granting wards on already-authorised external contracts via Root.relyContract is also not delayed at the Root level.
- ProtocolGuardian (0xCEb7eD5d5B3bAD3088f6A1697738B60d829635c6, same address on every chain) handles emergency response and protocol-level changes: pausing/unpausing, scheduling and cancelling rely operations, scheduling cross-chain upgrades, token recovery, and per-chain outgoing-message blocking. ProtocolGuardian answers exclusively to the Protocol Safe (0x9711730060C73Ee7Fcfe1890e8A0993858a7D225, Gnosis Safe v1.4.1, threshold 4 of 9). Any Safe owner can call pause() individually; resumption requires multisig consensus. Per Centrifuge documentation, every Protocol Safe transaction is co-signed by third-party signers from Cantina.
- OpsGuardian (0x055589229506Ee89645EF08ebE9B9a863486d0dE, same on every chain) handles operational tasks: adapter initialisation, network wiring, and pool creation. It is controlled by a separate Ops Safe (0xd21413291444C5c104F1b5918cA0D2f6EC91Ad16) and has no pause authority.
- The 48-hour delay is enforced inside the Root contract itself and is the only timelock layer in the permission-escalation path (verified per chain at 2026-05-12).
The binding minimum timelock for permission escalation through Root.scheduleRely is 48 hours. Emergency pause is available without timelock and can be triggered by any single signer of the Protocol Safe.
4. Smart Contract Upgradability
The Centrifuge V3 core protocol contracts (Hub, Spoke, vault implementations, accounting, gateway) are not upgradable. Issuers may customise their pool through replaceable modules: investment vaults, transfer hooks, balance sheet managers, hub managers, valuation contracts, and per-pool cross-chain adapters.
JAAA-specific state on Ethereum:
- Share token: 0x5a0F93D040De44e78F251b03c43be9CF317Dcf64. The token contract is not upgradable.
- Transfer-restriction hook: 0x3c5e7b28c4ff6f0bc8d9a9587992e96401e680a7. Replaceable through a Tranche.file(“hook”, newHookAddress) call by a Tranche ward; any change is observable on-chain through the Tranche contract’s hook field.
Modular extension changes can affect downstream integrations even when the core is immutable.
5. Oracle and Price Feed Infrastructure
See Part 1 §4. NAV is calculated by Trident Trust Cayman, published by Centrifuge spoke contracts, and consumed via downstream price feeds (Chronicle and/or Chainlink, depending on the consuming protocol and chain). Consumer-side oracle architecture is a separate design layer from upstream NAV publication.
6. External Dependencies
The Centrifuge JAAA stack depends on the following external service providers and protocols:
| Counterparty | Role |
|---|---|
| Janus Henderson Investors US LLC | Sub-Investment Manager (portfolio management) |
| Anemoy Asset Management Limited (BVI) | Investment Manager |
| Trident Trust Cayman | Fund Administrator (NAV calculation, AUM verification) |
| MHA Cayman | Auditor (annual fund audit) |
| BNY Mellon Pershing (Pershing LLC) | Custodian |
| StoneX Financial Inc. | Prime Broker |
| Centrifuge | Tokenization protocol (Spoke contracts, Hub, Gateway) |
| Chainlink and/or Chronicle | Onchain price/NAV feed publishers (per chain) |
| Circle | USDC on/off-ramp for subscriptions and redemptions |
| LayerZero, Wormhole, Axelar, Chainlink CCIP | Cross-chain messaging adapters (Centrifuge V3 MultiAdapter; per-chain quorum across adapters) |
| Gnosis Safe (v1.4.1) | Guardian access-control implementation (Protocol Safe threshold 4 of 9; separate Ops Safe) |
| Cantina | Bug bounty platform |
In addition to direct counterparties, Centrifuge V3’s hub-and-spoke architecture introduces dependencies on the validator/sequencer sets and bridge security of the supported networks (Ethereum, Base, Arbitrum, Plume, Avalanche, BNB Smart Chain, plus any subsequent additions). For Ethena’s purposes, the operative dependency set differs by which chain the Ethena-held tokens reside on.
Asset Performance
The volatility, drawdown, and liquidity sections below draw on long-history data sourced from the JAAA ETF and from the Palmer Square CLO Senior Debt Index (CLOSE). Ethena will hold the Centrifuge tokenized vehicle, not the ETF. This section establishes the basis on which ETF-derived statistics may be applied to the Centrifuge fund. The two vehicles are compared on four dimensions: tranche-level CUSIP overlap, manager-level concentration, vintage distribution of the underlying CLOs, and realised price co-movement over the Centrifuge fund’s operational history.
The JAAA ETF (Janus Henderson AAA CLO ETF, NYSE Arca: JAAA) is a 1940 Investment Company Act registered ETF housed in the Janus Detroit Street Trust with inception 2020-10-16. Total net assets were $27.17B at 2026-05-08 across 610 positions per the Janus Henderson holdings page, and $26.25B at the 2026-01-31 NPORT-P reporting date across 551 holdings. The JAAA Centrifuge token represents participating shares in the Janus Henderson Anemoy AAA CLO Fund, a segregated portfolio of Anemoy Capital SPC Limited (BVI Professional Fund). Legal inception was 2025-05-01; the first operational on-chain NAV strike was 2025-07-28. Total net assets at 2026-05-12 were approximately $412M across 398.76M tokens, with supply distributed across seven chains and concentrated on Avalanche (~63%) and Ethereum Mainnet (~37%). Janus Henderson Investors US LLC serves as Sub-Investment Manager for the Centrifuge fund and as Adviser for the ETF, running the same securitised-products portfolio team for both vehicles. Fee structures differ (40 bps Centrifuge management fee plus pass-through service-provider expenses vs 20 bps ETF expense ratio).
Findings.
- CUSIP overlap. Twelve of the Centrifuge fund’s twenty CLO positions (60.42% of fund weight) match CUSIPs in the ETF on the 2026-05-08 Janus Henderson holdings page. The same twelve matched in the 2026-01-31 NPORT-P snapshot. The 39.58% of fund weight in eight non-matching CUSIPs reflects the BVI fund’s smaller size ($412M vs $27.17B) and 94% ETF portfolio turnover (per FY 2025 N-CSR); the underlying managers of all eight non-matching positions are nonetheless present in the ETF, so the divergence is at tranche-selection level rather than approved-issuer level.
- Manager concentration. The Centrifuge fund concentrates 47.2% of NAV in three managers (UBS AM Madison Park 18.6%, Carlyle 18.2%, KKR Credit 10.5%) and 91.6% in ten managers. The ETF’s top-3 is 13.0% and top-10 is 36.0%. Position-level HHI is 573 vs 33 (17× more concentrated) and manager-level HHI is 1,110 vs 202 (5.5× more concentrated). Eight Centrifuge positions cumulatively reach 50% of NAV; the equivalent ETF figure is 103 positions.
- Vintage distribution. Centrifuge weights skew toward 2017-2022 vintages (77.5% of fund cumulatively, with 2018-2022 at 58.0%) while the ETF skews toward 2023-2025 (42.5% cumulatively, with 2018 only 2.8%). Two Centrifuge positions managed by KKR Credit (10.47% combined) carry no four-digit issue year in their tickers and are recorded as Unknown; the KKR 27 series suggests a 2018 vintage and the KKR 37 series a 2022 or later vintage. All twenty Centrifuge positions are senior AAA tranches with floating-rate coupons, consistent with the strategy mandate (minimum 90% AAA at purchase, 80% AAA maintained, $250M minimum CLO deal size, $100M minimum AAA tranche size, per the JAAA prospectus 2026-02-27).
- Price co-movement. Over the 198 daily observations from Centrifuge inception (2025-07-28) to 2026-05-08, the Centrifuge token returned 4.40% annualised against the JAAA ETF’s 5.06% annualised total return a 67 bps gap, broadly consistent with the 20 bps headline management-fee differential plus approximately 47 bps of pass-through service-provider fees (brokerage, custody, administration, audit) accruing additionally against Centrifuge NAV. Seven-day return correlation is 0.74 and seven-day beta of Centrifuge on ETF is 0.78. One-day correlation is effectively zero (-0.09) because Centrifuge on-chain NAV is updated in batches that do not always align day-for-day with the ETF NAV strike; the weekly horizon is the operative measurement basis.
Methodology conclusion. The two vehicles share investment policy, regulatory mandate via the same sub-advisor, and the same portfolio team.
The concentration differential means ETF-derived stress metrics should be read as a defensible lower bound on Centrifuge idiosyncratic risk, with market-wide stress events translating with comparable magnitude. Idiosyncratic / concentration risk of the Centrifuge fund is treated separately where relevant.
In what follows, drawdown and liquidity statistics drawn from the ETF (since 2020-10-16) and from CLOSE (since 2012-01-31, daily resolution from 2015) are reported as proxies for the Centrifuge fund’s risk profile.
Volatility & Drawdown Analysis
JAAA ETF return distribution since inception
JAAA ETF daily total returns from 2020-10-16 to 2026-05-08 (1,396 trading days, computed from the Janus Henderson NAV / total-return series) display the distributional profile expected of a senior secured AAA CLO portfolio: median +1.98 bps per day, standard deviation 5.98 bps, with 8.6% of days posting a negative return. Tail percentiles are tight (P1 -20.25 bps, P99 +18.00 bps).
The most severe single-day NAV drop in the JAAA ETF time series is -0.60% on 2022-05-12, during the Federal Reserve rate-hiking cycle that started with the March 2022 lift-off. The maximum peak-to-trough NAV drawdown is -2.42%, trough 2022-07-14, during the same rate-hiking cycle. JAAA’s inception postdates the COVID liquidity crisis, so the JAAA time series does not include a true tail observation; the CLOSE proxy is used to extend the stress window in §2.3.
CLOSE as a JAAA proxy
The Palmer Square CLO Senior Debt Index (CLOSE) is a total-return index covering senior secured AAA-rated CLO debt, computed from broker-dealer pricing inputs and published daily from 2015 onwards. CLOSE rolls coupon income into its published index level.
Three points justify CLOSE as a defensible proxy for JAAA’s stress distribution beyond the longer time horizon:
- Same asset class and seniority. CLOSE indexes the senior AAA tranches of broadly syndicated loan CLOs. The JAAA mandate (per prospectus 2026-02-27) requires minimum 90% AAA at purchase, $250M minimum CLO deal size, and $100M minimum AAA tranche size, which constrains the eligible universe to the same broadly-syndicated AAA segment that CLOSE tracks.
- Comparable pricing inputs. CLOSE is constructed from broker-dealer pricing inputs that overlap with the marks used by the JAAA fund administrator (Trident Trust) for daily NAV calculation. The two prices are not identical instruments but draw on the same upstream evidence base.
- Demonstrated empirical co-movement. Over the overlap window (2020-10-16 to 2025-12-02, 1,250 daily observations), the 7-day return correlation between JAAA NAV and CLOSE is 0.86, the 1-day correlation is 0.43, and the 7-day beta of JAAA on CLOSE is 0.95.
CLOSE stress metrics and the COVID event
Across its 2015 to 2025 daily history, CLOSE captures the COVID liquidity crisis as the binding observed tail. Worst-observed return windows on CLOSE:
| Window | Worst observation | Date of trough |
|---|---|---|
| 1-day return | -1.57% | 2020-03-23 |
| 3-day return | -3.81% | 2020-03-24 |
| 7-day return | -6.91% | 2020-03-24 |
| Peak-to-trough drawdown | -8.33% | 2020-03-24 |
The drawdown timeline below overlays JAAA’s NAV total-return drawdown from its 2020-10-16 inception, showing that JAAA’s full-history worst (-2.42% on 2022-07-14) is shallower than the COVID CLOSE drawdown by roughly 3.4×.
COVID anatomy on CLOSE:
| Metric | Value |
|---|---|
| Pre-stress peak | 2020-02-26 (level $114.72) |
| Trough | 2020-03-24 (level $105.16) |
| Max drawdown | -8.33% |
| Drop velocity (peak to trough) | 19 business days (~4 weeks) |
| Recovery to peak | 2020-08-12 |
| Time underwater (peak to recovery) | 115 business days (~5.5 months) |
Liquidity Profile
Liquidity for a Centrifuge-token-denominated CLO holding is sourced through three layers, each with different mechanics and stress behaviour: the underlying AAA CLO secondary market, the ETF’s primary creation/redemption channel and Nasdaq secondary, and the Centrifuge tokenized fund’s primary redemption path. This subsection treats each in turn.
Underlying AAA CLO secondary market depth
The US AAA-rated CLO universe spans 3,000+ AAA-rated tranches managed by 135+ CLO managers per the J.P. Morgan CLOIE AAA Index methodology factsheet (February 2025), which is the institutional benchmark for the AAA tranche segment. AAA CLO outstanding sits in the $500-600 billion range as of 2025-2026: 54% of 2025 US CLO new issuance by original face was AAA-rated.
The JAAA Q2 2025 quarterly commentary, “Portfolio review” section on page 1, reports that “CLO ETF markets exhibited strong trading volumes and high liquidity during the sell-off in risk markets early in the quarter, counter to falling volumes and lower liquidity in certain other pockets of the fixed income universe.”
ETF liquidity behaviour
The JAAA ETF offers daily creation and redemption against authorised participants, plus an intraday secondary market on Nasdaq with continuous quoting. Median daily trading volume over the trailing 252 sessions is approximately 5.3 million shares, or roughly $266M in daily volume at the recent ETF price of approximately $50.50 per share. The intraday market provides immediate exit at quoted spreads without going through primary redemption.
Centrifuge tokenized fund redemption mechanics
The Centrifuge JAAA fund offers daily redemption at NAV per share. Per the JAAA Centrifuge fund documentation, official settlement is T+3, with the firm targeting T+1 in practice and citing the underlying portfolio’s liquidity profile as supporting that target. Redemption is initiated by transferring share tokens to the fund’s designated wallet address, which constitutes an irrevocable redemption request settling at the next NAV strike. There is no instant-redemption facility currently.
The fund does not currently use redemption gates or swing pricing. The board may suspend redemptions in exceptional circumstances (market disruptions, emergencies, regulatory or AML compliance) per the BVI subscription documents.
Oracle Infrastructure
Upstream NAV publication path
Net asset value is calculated daily by the Fund Administrator, Trident Trust (Cayman). Centrifuge’s onchain spoke contracts publish the resulting per-share NAV on each supported network. Downstream price feeds, provided by Chronicle and/or Chainlink depending on the consuming protocol and chain, read from those spoke contracts and deliver a consumer-readable price.
The upstream feed is issuer-self-attested: NAV originates from the Fund Administrator, is converted to onchain form by Centrifuge spoke contracts, and consumed by downstream price feeds without an independent reconciliation step.
Integration within Ethena’s Balance Sheet
Given the sensitivity of Ethena’s balance sheet accounting and downstream effects to PoR reporting, a self-reported NAV is prone to asset issuer misreportings (which happened before), therefore using a raw NAV price feed can introduce instabilites. Using a dynamic price feed which is also used on Aave Horizon (LlamaGuard NAV, relayed via Chainlink) is highly recommended.
Implications & Recommendations
Structural distinction from Ethena’s existing yield sources
Part 1 §1-§4 establishes JAAA’s asset-level profile: proxy validity against the long-history CLOSE benchmark, return distribution and tail-stress anatomy, multi-layer liquidity, and oracle wiring. This section translates that profile into Ethena-specific implications. It derives an explicit allocation cap from a Reserve Fund stress-loss budget and proposes a portfolio-level response framework for JAAA-specific drawdown stress.
Ethena’s existing yield positions sit in two structural categories. Delta-neutral perpetual-futures strategies and stablecoin positions instruments where the principal balance does not fluctuate under normal conditions; yield accrues without mark-to-market exposure to the underlying.
JAAA does not fit either category. It is a marked-to-market total-return product holding senior AAA CLO tranches, the highest-quality segment of the CLO capital structure. The daily NAV moves with the broker-dealer marks on the underlying tranches. The empirical reference points are set in §1 and §2: -8.33% COVID peak-to-trough on CLOSE, -2.42% maximum NAV drawdown on the JAAA ETF since 2020-10-16.
Stress duration during the COVID window
§2.3 records the only tail event captured in the CLOSE 2015-2025 daily history: peak 2020-02-26, trough 2020-03-24 at -8.33%, recovery to peak 2020-08-12; 115 business days from peak to recovery in total. Within that 115-day window, CLOSE held at successively deeper drawdown depths for the following durations:
| Drawdown depth on CLOSE within the COVID window | Trading days |
|---|---|
| At or below -1% | 72 |
| At or below -2% | 40 |
| At or below -5% | 8 |
| At -8.33% (single-day trough) | 1 |
For a JAAA position sized inside the §5.3 allocation cap, this profile implies approximately fourteen weeks of unrealised mark-to-market loss in the -1% range or deeper, eight weeks at -2% or deeper, and a tight eight-day window at -5% or deeper before the position recovered to its prior peak.
Allocation cap from a stress-loss budget
A stress-loss-budget rule places a cap on the maximum dollar contribution of a single new position to a Reserve Fund drawdown event. With the parameters:
| Parameter | Value | Rationale |
|---|---|---|
| Reserve Fund size | $62,043,646 | — |
| Maximum Reserve Fund drawdown contribution from JAAA | 50% × Reserve Fund ≈ $31.0M | Cap on the absolute dollar loss the Reserve Fund will absorb from a JAAA stress event |
| Stress-loss assumption on JAAA | 10% | Set above CLOSE’s empirical -8.33% COVID trough, with a buffer for the Centrifuge fund’s 5.5× higher manager-HHI vs the ETF (per §1) and for tail scenarios outside the 2015-2025 sample |
| Implied allocation cap | $31.0M / 10% ≈ $310M | Maximum JAAA position size such that a 10% stress drawdown does not exceed 50% of the Reserve Fund |
The 50% Reserve Fund contribution cap reflects that the Reserve Fund must absorb stress contributions from any other risk-bearing positions Ethena holds, not from JAAA in isolation; the residual 50% headroom preserves capacity for other concurrent stresses.
Drawdown Review Threshold
A drawdown-based review mechanic complements the position cap by providing a defined response when a held JAAA position moves into stress territory.
Definition. When JAAA NAV is at or below 4% from the entry-peak (defined as the highest NAV observed since position inception, updated on each new high), the Drawdown Review Threshold fires.
Action. Firing convenes a portfolio review where the indicated response, redeeming 30% of the current JAAA allocation through Centrifuge primary redemption, is evaluated against overall portfolio context (concurrent Reserve Fund positions, prevailing market regime, Ethena’s broader exposure profile). The threshold is a discussion trigger, not an auto-execution; the realised response is decided in the review.
Magnitude of the indicated action. A 30% redemption executed at the -4% threshold realises 30% × 4% = 1.2% of position notional as a locked loss.
Loss containment across successive drawdowns
The structural property of the Drawdown Review Threshold under repeated application is that successive firings convert deep cumulative NAV drawdowns into bounded total cost. The table below models a hypothetical scenario where NAV declines in successive -4% steps from entry, with no intervening recovery, and the indicated 30% redemption is executed at each step.
At each step, the realized component is the cumulative locked-in loss from prior redemptions and the unrealized component is the mark-to-market loss on the residual position. Three structural points:
- Total cost is bounded. Each step retains 70% of the prior step’s shares, so the residual position shrinks geometrically. By step 10 the residual position is 2.8% of starting capital and further NAV declines contribute negligibly to total cost. Total cost asymptotes at approximately 12% of starting capital even at a cumulative NAV drawdown of -33.5% and beyond. A passive holder would bear the full NAV drawdown as realised loss in proportion to position size; under the rule the relationship is sublinear.
- Unrealized loss peaks at moderate depth then decays. The unrealized component is largest at step 3 (3.95% of capital, when NAV is down 11.5% and 34.3% of the position remains exposed). From there the unrealized component decays because the position shrinks faster than the NAV drop deepens.
- The rule expands the tolerable NAV drawdown for a fixed loss budget. The §5.3 stress-loss budget (10% of position notional, the basis of the $310M cap) is reached at a cumulative NAV drawdown of approximately -16% under repeated rule application, between steps 4 and 5 in the table. Without the rule, the same 10% loss budget is exhausted at a -10% NAV drawdown.