Ethena Risk Committee Member Proposes Up to $1 Billion in SAFO Backing for USDe

Blockworks Advisory, an Ethena Risk Committee member, proposed adding the equity-linked Spiko Amundi Overnight Swap Fund (SAFO) to the backing for Ethena’s synthetic dollar, USDe, with a $1 billion cap for 2027.

Blockworks Advisory’s proposed limits are $500 million through Dec. 31, 2026, and $1 billion for 2027. USDe backing stood at $4.84 billion on Sept. 19, making the later ceiling about 20.6% of that total.

SAFO is a tokenized subfund organized under French law, rather than a pool of Treasury bills. Amundi manages its portfolio, and a total-return swap exchanges the basket’s performance for an overnight-rate return. The basket consisted of 99.9% large-cap U.S. equities on Sept. 18, 2026. The fund’s securities are held by its depositary, while swaps settle in cash daily; BNP Paribas is its only active swap counterparty. The proposal would introduce a fund-share route, distinct from Ethena’s earlier tokenized U.S. stock strategy for USDe.

Ethena uses derivatives to offset changes in the value of USDe’s backing, a strategy called delta hedging, to support the token’s dollar peg. The proposed controls would reduce the SAFO position to 5% of USDe backing if BNP Paribas’ five-year credit default swap (CDS) spread rose above 150 basis points, and to zero above 225 basis points. At Sept. 19 backing levels, a 5% position would equal $242.21 million. Daily cash settlement limits accumulated exposure while the swap is performing, but a sudden default can leave the fund exposed to a day of market movement.

Modeled scenarios put a one-day loss at $10.06 million on a $1 billion position after a gated exit and a failure three business days after the second trigger. A separate default case without prior spread widening carried an estimated one-day loss of $98.45 million. “The residual case is a default without prior spread widening, which none of the failures in that sample produced,” Blockworks Advisory wrote. The figures are model estimates, not realized losses.

S&P Global Ratings assigned AAAf credit-quality and S1+ volatility ratings to SAFO’s euro share class on Sept. 29, 2026. Ethena’s proposed allocation would use the USD share class, which shares the same basket and BNP Paribas swap but has a separate dollar financing leg. No allocation or community vote result is recorded in the proposal.