Blockworks Advisory is seeking to continue its work on the Ethena Risk Committee for a fourth consecutive term. With this application we want to demonstrate the analytical rigor that has defined our contributions, and the enhanced capabilities we’ll bring to the next term.
Since governance launched three terms ago, in June 2024, Blockworks Advisory has taken a proactive, leading role in the Ethena Risk Committee, helping enable Ethena’s growth from $3.5B to $15B TVL at peak. We owned and led a large part of the analyses within the committee’s quantitative risk frameworks. We achieved this not through conservative blockers or gut feel assessments, but through systematic frameworks built on rigorous quantitative analysis. We deliver infrastructure where we show exactly when, how much and under what conditions.
What sets us apart
1. We build infrastructure
- Dynamic models that adapt to real time market conditions (see example in demonstrated impact).
- Live dashboards covering everything from USDe risk and DeFi footprint to Ethereal and Hyena. Risk Dashboard, USDe Transparency, sUSDe and its Term Structure, ENA Token, DeFi Footprint and more.
- Reusable frameworks that governance and internal team can deploy independently (see example in demonstrated impact).
- Interactive calculator apps (like our Ethena - Aave model) that let anyone stress test allocations in real time. Calculator App
- Ongoing bespoke research by our Research and Advisory teams, elevating distribution and gaining visibility from institutional audiences. Forecasting Market Regimes with sUSDe Term Structure
2. We bring statistical rigor to risk analysis
Beyond standard funding rate comparisons, we provide:
- Autocorrelation patterns across exchanges
- Extreme event duration analysis
- Regime specific behavior under stress
- Statistical distributions with p95/p99 tail modeling
Example: Our SOL collateral analysis didn’t just compare averages, we identified that Deribit shows 8 day negative funding events while Binance rarely exceeds 3 days. That level of granularity protects the protocol.
Together with LlamaRisk, we devised a comprehensive framework for determining the appropriate size of the Reserve Fund, which is updated and published monthly.
3. We enable growth
Our philosophy is that rigorous data driven risk assessment creates safe expansion pathways.
- Coinbase INTX: Lower median funding rates, yes. But also 4× more stable distributions, enabling strategic rotation during volatility.
- Aave backing: We didn’t just say “it’s risky”, we built a dynamic stress responsive framework showing exactly when to scale up (49% cap currently safe, 35 - 60% range robust). Based on this analysis, we built the dashboard which shows how Aave’s allocation performs based on our dynamic recommendation and allows anyone to explore how different market conditions affect this allocation. We also integrated our findings into Blockworks’ global dashboard on Ethena, for improved risk transparency.
- Maple integration analysis: Identified that liquidity collapses in the left tail despite healthy medians, preparing for events of thin available liquidity.
4. Real time risk management at scale
Our dashboards serve as operational tools for real-time risk monitoring:
- Financial dashboard covering all major metrics
- Asset specific monitoring (USDe, sUSDe, USDtb, ENA)
- Integration tracking (DeFi Footprint, Whitelabel SaaS)
- Risk charts with live parameters
This infrastructure means governance can act on data.
Our commitment and resources for the 4th term
With this election we not only renew our commitment to safeguarding Ethena’s growth, but strengthen it. The committee has consolidated from 5 to 3 members and this consolidation allows us to do more with greater focus and coordination. With increased responsibility, we will be able to allocate more resources than before, leveraging not just our specialized risk expertise, but the full Blockworks machine:
- Our research team’s market intelligence.
- Our data infrastructure for onchain analytics.
- Our communication platform for transparent governance.
- Faster response times, dedicated risk team members, and deeper quantitative analysis.
Demonstrated impact
Strategic risk assessments that enabled protocol evolution:
- Aave backing asset integration: Provided comprehensive risk assessments that enabled USDe to safely evolve beyond pure delta-neutral collateral, incorporating diversified DeFi yield opportunities including money market positions. This strategic expansion allowed the protocol to scale effectively across varying market conditions, particularly during periods of negative funding rates, while maintaining rigorous risk parameters. Risk Analysis: USDe Backing Assets on Aave
- Custodian framework development: Developed comprehensive custodian evaluation frameworks, successfully onboarding new custody providers (Kraken, Anchorage Digital, Zodia) without compromising standards. Custodian Onboarding Framework
- Market stress analysis: Provided risk assessment during market stress events, including detailed post-mortems on USDe backstop performance and liquidity dynamics. USDe Analysis during the Oct 10th-11th Volatility Event
Deep quantitative analysis examples:
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Dynamic Aave cap model: Stress tested across 1,400 data points, accounting for Pendle PT dynamics and time-weighted risk, built interactive calculator for dynamic cap modeling. Dynamic Cap Model
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Funding rate analysis: Full distributional analysis (mean, median, std dev, kurtosis, skewness) across BTC/ETH/SOL and 5 exchanges, identified Deribit’s 8-day negative funding events vs Binance’s 3-day maximum. Onboarding SOL, Integrating Coinbase INTX
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Maple integration study: empirical analysis of pool level data analyzed, identified that liquidity collapses to 0.2x coverage in the left tail despite healthy medians, providing critical input to allocation design before deployment (internal analysis).
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Ethena cooldown study: 752 days analyzed, identified a potential framework for a dynamic cooldown period, conditional on available liquid cash, which would provide a better user experience while maintaining risk standards (internal analysis).
Amplification examples:
- Communication around the October 10th events and how Ethena performed under stress.
- In-depth research by the Blockworks Research team.
- Announcement of a comprehensive dashboard for Ethena, available for all users and investors.
- Bringing attention to the proposal of onboarding new custodians, by educating the community on its relevance for the protocol.
- Sharing an overview of the risk work that has been done by the Committee.
- Completing academic level research on ecosystem relevant topics.
- Thought leadership based on Ethena’s sUSDe, suggesting a new market signal investors should follow.
This is the standard of work that helped protect Ethena through $15B in growth and what allows for scaling safely. Blockworks Advisory provides systematic and quantitative risk management that enables growth and we look forward to helping Ethena navigate the opportunities and challenges ahead as the protocol continues to scale.