[ARFC] Onboard mWIN (Midas / Wellington Management) to Aave Horizon
Summary
This ARFC proposes onboarding mWIN, a tokenised multi-sector actively managed fixed income portfolio managed by Wellington Management and issued by Midas, as collateral on the Aave Horizon instance.
mWIN provides institutional-grade exposure to an actively managed, fixed income portfolio optimized for yield, liquidity and low volatility. Borrowers on Horizon can utilize mWIN as highly liquid, yield-bearing collateral to execute leveraged carry (looping) strategies, supported by a multi-tiered redemption architecture. mWIN is already live on mainnet with $15M in TVL just a few days after launch, showing strong demand from borrowers and LPs.
Motivation
Horizon exists to give holders of tokenised real-world assets instant, 24/7 liquidity against those holdings while respecting issuer compliance requirements. mWIN extends Horizon’s collateral set into actively managed securitised credit, alongside the existing tokenised treasury and fund exposures.
Why mWIN fits Horizon
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Institutional Manager: Wellington Management is one of the largest investment management firms in the world. Founded in Boston in 1928, Wellington manages over USD 1.3 trillion in assets across fixed income, equities, multi-asset, and alternative strategies, on behalf of thousands of institutional clients globally, including pension funds, sovereign wealth funds, insurers, and endowments.
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Liquid & Low Risk Strategy: The portfolio is an investment-grade, diversified credit portfolio designed to balance yield generation, capital preservation, and structural liquidity. With an optimized duration profile to dampen volatility and low spread duration, it offers institutional-grade stability, minimizing mark-to-market drawdown risk in credit sell-off scenarios, while maintaining an average credit rating of A+.
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Atomic Onchain Liquidity: Midas provides up to $30m of atomic onchain liquidity via MSL, of which $10m are dedicated to mWIN, enabling atomic redemption into USDC across market conditions. This is directly relevant to liquidation feasibility.
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Institutional Legal Structuring: The strategy is issued through a legally segregated compartment of a Luxembourg securitisation fund. This statutory bankruptcy-remote structure isolates assets and liabilities, providing institutional-grade protection and legal clarity for tokenholders and lending markets.
There is significant demand from onchain funds across multiple parties for the looping use case. Depending on Horizon borrow rates being 150-200 bps lower than the strategy’s YTM, borrowers are targeting double-digit returns when looped 4x. In addition, due to the high organic liquidity provided, this strategy is also suited for unlooped yield optimization for treasury management purposes.
The strategy targets a resilient yield profile adaptable across the cycle, driven by dynamic allocation to asset classes depending on prevailing market conditions. The model portfolio generates a gross market yield of 5.23%, achieving a spread of c107 bps over the equivalent US treasury curve.
About the Manager: Wellington Management
Founded in 1928 and independently owned, Wellington Management is a leading global institutional asset manager with over $1.3 trillion in assets under management. Wellington’s dedicated Financial Reserves Management (FRM Team) manages over $200 billion in AUM, combining experienced portfolio managers, deep credit research, and proprietary risk analytics infrastructure. Wellington has decades of experience with this type of strategy, maintaining a long-standing track record focused on portfolios that appropriately balance risk and return. Notably, the mWIN strategy is run by the same institutional franchise that oversees portfolios for major insurance companies.
About the Issuer: Midas
Midas is a platform for composable onchain investment products and is the issuer behind mWIN, with over $4B in cumulative onchain asset issuance and $600M+ in current TVL, backed by a $50M Series A led by RRE and Creandum.
Midas’ mToken suite is already proven across leading venues, serving as an onchain issuer for institutional-grade strategies from managers such as Wellington Management and Fasanara Capital. Aave Horizon itself is direct proof of this track record: Midas’ mGLOBAL, tracking Fasanara’s alternative credit strategy, launched as collateral on Aave Horizon in June 2026, and its $30M supply cap filled almost immediately, showing strong, real institutional demand for Midas-issued RWA collateral within Aave ecosystem.
mWIN extends that same infrastructure, custody, and compliance framework to Wellington’s actively managed multi-sector fixed income strategy, giving Aave Horizon a natural path to onboard a second Midas-issued institutional credit product with an already-proven distribution and liquidity track record.
Strategy and Portfolio
The strategy is an institutional-grade actively managed fixed income strategy. Managed by Wellington Management’s Financial Reserved Management (FRM) team, the portfolio is designed to balance yield generation, capital preservation, and structural liquidity.
The strategy utilizes an active, multi-sector approach to deliver a resilient portfolio optimized for market conditions. The strategy invests into a diversified portfolio spanning some of the most liquid asset classes within public fixed income. The underlying assets include collateralised loan obligations (CLOs), commercial mortgage-backed securities (CMBS), agency and non-agency residential mortgage-backed securities (RMBS), asset-backed securities (ABS), and investment-grade corporate bonds.
By prioritizing dynamic risk management and broad diversification over static, single-sector concentration, it provides several distinct structural advantages:
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Active risk management and dynamic sector rotation: Portfolio exposures are adjusted continuously based on macroeconomic data, liquidity constraints, and security fundamentals. During periods of market stress, the management team can tactically reallocate capital from deteriorating sectors into defensive positions.
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Broad diversification: Drawdowns can originate from a wide spectrum of catalysts, including macro-driven liquidity shocks, structural regulatory shifts, or sector-specific credit events. Allocating across multiple fixed-income sectors mitigates single-asset concentration risk, dampens overall volatility, and ensures independent sources of liquidity during localized stress.
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Optimized spread duration profile: The actively managed portfolio is structured to maintain a highly optimized spread duration profile. Single-sector portfolios are inherently more sensitive to spread widening events, experiencing meaningfully higher mark-to-market losses. The strategy’s structurally contained spread exposure makes it highly resilient for mandates where drawdown sensitivity is a primary concern.
Wellington Portfolio Parameters & Mandate
| Item | Detail |
|---|---|
| Strategy | Multi-sector actively managed fixed income |
| Manager | Wellington Management (FRM team) |
| Largest position / concentration limits | Single issuer or issuing trust exposure for structured securities is capped at 5% of portfolio market value (excluding government or government agency guaranteed debt) |
| Leverage | The portfolio does not allow for leverage |
| Portfolio risk limits | Effective Duration: Limited to between 0 and 2 years at the portfolio level. Credit Rating & Quality: Maintained at an investment-grade weighted average credit rating; BBB/Baa capped at 50%, below-investment-grade capped at 10%, unrated capped at 10%. Currency Exposure: Non-USD denominated securities capped at 10% and must be 100% hedged back to USD |
| Fund size / AUM | Current: $25M; expected: >$100M |
| Track record | This custom strategy does not have a realised track record. Backtested annualised return: 5.66% over one year; 6.76% over 3 years; 3.75% from December 2016 to April 2026. The backtested returns assume a static allocation which does not reflect the dynamic portfolio optimisation depending on prevailing market conditions |
| Fees | 40bps per annum management fee. No performance fee |
Model Portfolio
| Item | Detail |
|---|---|
| Average credit rating | A+ |
| Effective duration | ~1 year |
| Spread duration | <2 years |
| Sector allocation | CLOs: 40%; IG Corporates: 25%; ABS: 15%; Agency MBS: 10%; Non-Agency RMBS: 5%; CMBS: 5% |
| Rating distribution | AAA: 5%; AA: 26%; A: 47%; BBB: 22% |
Stress Behaviour
The drawdown analysis below covers the strategy managed by Wellington and the data is based on a simulated backtest. It excludes the 5% liquidity sleeve, which softens the impact shown in all the tables and metrics below. It should be noted that the analysis rests on a static allocation across asset classes based on the model portfolio and thus is not representative of the dynamic and active portfolio management underpinning the strategy.
The max one-day drawdown is limited to 2.7%. This is relevant given the daily liquidity of the underlying portfolio.
The largest drawdowns over the last 5 years based on the simulated backtest are shown below. This exercise is conservative as it suggests no active management on Wellington’s part to soften the impact of market moves:
| Peak | Trough | Recovery | Drawdown | Days |
|---|---|---|---|---|
| 2021-09-14 | 2022-10-20 | 2023-08-08 | -7.79% | 693 |
| 2025-04-03 | 2025-04-11 | 2025-04-28 | -1.08% | 25 |
| 2018-12-10 | 2018-12-20 | 2019-01-11 | -1.01% | 32 |
| 2026-02-27 | 2026-03-20 | 2026-04-14 | -0.84% | 46 |
In addition to the simulated backtest, Wellington has performed a forward-looking scenario analysis to evaluate the model portfolio’s resilience across a range of hypothetical macroeconomic, rate, and volatility shocks.
While severe shock scenarios may induce temporary price drawdowns, the portfolio’s starting carry ensures a projected recovery time of less than six months across all modelled events.
It should be noted that in a credit sell-off scenario, where spreads widen and the flows favour high quality assets, the Wellington portfolio is expected to outperform a pure CLO product.
Liquidity and Redemption
| Item | Detail |
|---|---|
| Atomic onchain liquidity | 5% of the mWIN TVL sits in onchain tokenised treasuries redeemable atomically for USDC. Additionally, Midas provides instant liquidity redeemable in USDC via MSL (Midas staked liquidity pool), with $10M dedicated to mWIN. As mWIN TVL grows, Midas will also expand instantly redeemable capacity as well as introduce holdbacks, currently set at 0 |
| Standard subscription flow | Whitelisted investors can submit a subscription request at any time. The minting process is atomic, meaning investors instantly receive their mWIN tokens upon deposit at the latest available NAV onchain corresponding to the total subscription amount less any holdback. Assets are invested in the underlying portfolio as soon as practicable. If a holdback is applied, the investor receives the remaining tokens after the next NAV update such that the subscription price per token of the total subscription amount averages the token price after the NAV update. Currently the holdback is zero |
| Standard redemption flow | The Fund processes standard redemptions on a daily basis for 100% of the NAV, with settlement of 1 business day if the request is made before the daily cut-off time of 1pm CET, subject to underlying asset liquidations having successfully settled |
| Redemption assets | Redemptions are processed in USDC, PYUSD, RLUSD and other stablecoins if made available on the Midas website |
| Behaviour under stress | The portfolio has been designed to allow for standard redemptions up to 100% of TVL in both normal and stressed market conditions. Similarly, atomic redemptions are expected to be available in both normal and stressed market conditions. However, in case of market disruption events, Midas may pause instant redemptions. Regarding standard redemption in extreme scenarios, Wellington optimizes the sale of assets to balance time, slippage, and costs. Backed by a wide network of counterparties, Wellington is well-positioned to liquidate positions efficiently across various market conditions |
| Historical redemption performance | To date, no redemptions have been rejected or experienced delayed settlements |
Technical Specification — Token
| Item | Detail |
|---|---|
| Token name / symbol | mWIN |
| Contract address | 0x4E72025984424E52838cf8953E2863eFf036B67A |
| Chain | Ethereum mainnet |
| Decimals | 18 |
| Token standard | Standard ERC-20 token |
| Supply mechanics | mWIN has an issuer-controlled mint/burn mechanism. There is a minting cap of $20M per day enforced at the Minter vault smart contract level |
| Transfer restrictions | mWIN requires both the sender and recipient of any transfer to be included on the mWIN greenlist. In addition, after the transfer, each party must hold either zero tokens or at least one token. This model is compatible with Horizon’s non-transferable aToken model |
| Proxy / upgradeability | Proxy Type: Standard OpenZeppelin upgradeable proxy pattern. Upgrade Authority: The ProxyAdmin contract (0xbf25b58cB8DfaD688F7BcB2b87D71C23A6600AaC) is owned by the TimelockController (0xE3EEe3e0D2398799C884a47FC40C029C8e241852), which is ultimately governed by the Midas Proxy & ACL Admin Safe (0xB60842E9DaBCd1C52e354ac30E82a97661cB7E89). While the top-level Safe threshold is nominally 1-of-3 for infrastructure redundancy, every signer is an independent, nested quorum-protected system requiring an effective minimum of at least 3 distinct individuals to execute any action. This includes a Fordefi MPC (4-of-7), a Fireblocks MPC (4-of-7), and the Team Signer Safe (0x82B30194bEae06D991Bc71850F949ec8cB7E0CB7, 3-of-7). Safe wallets are being migrated to an elevated 4-signer minimum threshold in Q3 2026, supported by new hardware from diversified vendors. Timelock Delay: A mandatory 48-hour delay is hardcoded and enforced for all contract upgrades |
| Verified source | Token: Address: 0x4E720259...Ff036B67A | Etherscan — Aggregator: Address: 0x1725A66D...71dA19517 | Etherscan — Data Feed: Address: 0xa27c1658...6A0ea4077 | Etherscan — Deposit Vault: Address: 0xF7F1b944...2eB667db4 | Etherscan — Redemption Vault Swapper: Address: 0x605704d7...5523c7924 | Etherscan — Redemption Vault mToken: Address: 0x14fECa41...706709fca | Etherscan |
Oracle and NAV
| Item | Detail |
|---|---|
| NAV source | The gross value of the Wellington Strategy is calculated by Northern Trust. When computing a new price for the token, the NAV is calculated by Midas aggregating: the independent NAV as provided by Northern Trust in the daily report (notarised onchain by the Attestation Engine); the onchain verifiable tokenised T-bills; in-flight assets and any idle assets held within the portfolio, such as USDC recently received; and applicable fees |
| NAV publication frequency | Every business day |
| Onchain feed | Chainlink Data Feed delivering LlamaGuard-validated NAV |
| Feed address | Aggregator: Address: 0x1725A66D...71dA19517 | Etherscan — Data Feed: Address: 0xa27c1658...6A0ea4077 | Etherscan — Chainlink oracle currently in development |
| Heartbeat and deviation threshold | healthyDiff: 2,592,000 (30d); maxExpectedAnswer: 150,000; minExpectedAnswer: 129,000 |
| LlamaGuard bounds | To be configured by LlamaRisk; Parameter Registry updated via the Horizon operational multisig |
| Proof of Reserve / attestation | The Midas Attestation Engine runs a daily Chainlink CRE workflow to confirm the overcollateralization of mWIN. The attestation is verified independently by Canary. See midas.app/mwin |
Privileged Roles
| Role | Detail |
|---|---|
| DEFAULT_ADMIN_ROLE | 0xB60842E9DaBCd1C52e354ac30E82a97661cB7E89 — Midas Proxy & ACL Admin Safe. The top-level Safe has a nominal 1-of-3 threshold for infrastructure redundancy; however, each of its three signers is itself an independently quorum-protected system, requiring an effective minimum of at least three distinct individuals: Fordefi MPC (4-of-7 quorum), Fireblocks MPC (4-of-7 quorum), Team Signer Safe 0x82B30194bEae06D991Bc71850F949ec8cB7E0CB7 (3-of-7 quorum). Also 0xd4195CF4df289a4748C1A7B6dDBE770e27bA1227 — Access Control Admin, secured by a Fordefi MPC policy requiring a 4-of-7 signer quorum. No timelock currently applied; a new contract iteration introducing timelock functionality is undergoing audit |
| M_WIN_MINT_OPERATOR_ROLE | 0x20D4CeD0EFac28517C1b0a06F98B1180F28f5125 — mWIN Management Vault, 4-of-7 Fordefi MPC policy, used for manual and OTC mints via the backoffice interface; transactions presented as plain-text summaries, cross-checked against independent portfolio spreadsheets, verified via private Slack channels prior to execution. Also 0xF7F1b944FCDe7805F6Ef3088817145d2eB667db4 — mWIN depositVault. No timelock currently applied; new iteration undergoing audit |
| M_WIN_BURN_OPERATOR_ROLE | 0x76e350c5a674db787918e5f728466c7356d4d361 — mWIN Management Vault, 4-of-7 Fordefi MPC policy, used for manual and OTC burn/redemption operations via the backoffice interface, same verification process as above. Also 0x605704d7b36d1677a8d242ded68eD505523c7924 — mWIN redemptionVaultSwapper; 0x14fECa41FB9541Fd8f61a6bA6304c5b706709fca — mWIN redemptionVaultMToken. No timelock currently applied; new iteration undergoing audit |
| M_WIN_PAUSE_OPERATOR_ROLE | 0x20D4CeD0EFac28517C1b0a06F98B1180F28f5125 — mWIN Management Vault. Emergency pause functionality includes a single-signer fast path, accessible through either the backoffice interface or a block explorer, enabling immediate protocol containment when required. Unpausing requires a manual quorum of 3 core signers. No timelock currently applied; new iteration undergoing audit |
| M_WIN_CUSTOM_AGGREGATOR_FEED_ADMIN_ROLE | 0x532FEDcF5837f411646c230CF9b743dFdD0692d3 — mWIN Oracle Admin Vault. Differentiated quorum requirements: setRoundDataSafe requires 2 signers (includes a maximum deviation guardrail and a 1-hour cooldown), while setRoundData requires the standard 4-signer quorum. No timelock currently applied; new iteration undergoing audit |
| Greenlist/Blacklist | Governed by the DEFAULT_ADMIN_ROLE and operationally executed through the Fordefi MPC policy. Greenlisting an address requires a 2-signer quorum; blacklisting requires the standard 4-signer quorum. No timelock currently applied; new iteration undergoing audit |
Audits and Security
| Item | Detail |
|---|---|
| Audits | Midas runs constant audits for releases performed by external auditors. Last audit: 6/7/2026. Reports: docs.midas.app/resources/audits |
| Outstanding findings | Neither critical nor high findings were found in the current codebase |
| Bug bounty | Midas maintains dual active bug bounty programs hosted via Cantina and Sherlock with max rewards up to 500,000 USDC |
| Incident history | Due to Midas’s in-depth defence and layered security architecture, no major incidents have happened in the past |
| Change notification | Midas confirms its commitment to pre-notify Aave and LlamaRisk of material contract or structural changes |
Dependencies
The only hard external dependencies for mWIN are Wellington Management (Portfolio Manager) and Northern Trust (Custodian). Additionally, the Issuer relies on Midas Software GmbH as the provider of the technical and smart contract infrastructure, vLayer & Chainlink for the onchain oracle infrastructure, as well as off- and on-ramping providers for fiat conversions. A failure in these latter operational layers could temporarily disrupt onchain price feeds, minting, or instant redemptions, but the underlying assets would remain fully insulated within the statutory bankruptcy-remote vehicle. Ernst & Young acts as the external auditor of the Securitisation Fund.
Legal and Structural
| Item | Detail |
|---|---|
| Issuing entity and jurisdiction | The issuer is the Compartment mWIN of the Aureum Securitisation Fund in Luxembourg |
| Fund structure | The Aureum Securitisation Fund operates through legally segregated compartments, each of which constitutes a separate estate by law. Assets and liabilities of a given compartment are fully ring-fenced from all other compartments, the management company, the originator or sponsor, and any other related parties. Tokenholders therefore have exclusive and limited recourse to the assets of the specific compartment backing their notes, and are insulated from any insolvency or distress elsewhere in the structure. The issuance is therefore statutory bankruptcy-remote |
| Regulatory status | The Aureum Securitisation Fund is an unregulated securitisation fund (fonds de titrisation non réglementé), registered with the Luxembourg companies and business register under number O136, subject to the Luxembourg act dated 22 March 2004 on securitisation, as amended (the Securitisation Act 2004) |
| Investor eligibility | mWIN is a fully permissioned token available to whitelisted institutional and eligible investors. The initial subscription requires a minimum of 1 token bearing an Authorised Denomination and initial value of $130k. Beyond 1 token, fractional holdings are permitted. Investors must complete Midas’s identity verification (KYC/KYB) and compliance checks to have their wallet address whitelisted |
| Insolvency treatment | The statutory bankruptcy-remote structure on which tokenholders have sole claims is supported by a legal opinion from Allen & Overy confirming that investors are protected from the insolvency of the issuer and other Midas entities |
| Allowlist administration | The allowlist (whitelist) is legally administered by the Issuer (the Aureum Securitisation Fund acting on behalf of Compartment mWIN). Operationally, the KYC/KYB and compliance onboarding process is facilitated by Midas Software GmbH. Once an investor is approved by the Issuer, their wallet addresses are added to the onchain whitelist via the Midas Proxy & ACL Admin Safe, utilizing a Fordefi MPC policy |
Liquidations
Liquidators must be allowlisted at the token level to receive mWIN collateral. Horizon does not select or whitelist liquidators; eligibility is controlled by the issuer.
| Item | Detail |
|---|---|
| Eligible liquidators | Eligible onboarded liquidators that Midas can publicly disclose include Keyrock, Dialectic, Vault Street, Metalayer, Fission, and Midas. Midas itself, through MSL, is also a liquidator with $10M of dedicated capacity |
| Liquidation facility | The onboarded liquidators have a capacity of more than $100M per week. Midas liquidity capacity of $10M per day is visible onchain, as it would be cycled using T+1 standard redemptions to process more liquidations if needed |
| Onboarding path for new liquidators | Any party interested in being a liquidator can reach out to Midas through the mWIN page “Get Access” button and will be invited to fill out onboarding forms; onboarding can occur within a few days. Midas is actively engaged with more liquidators and can share that new liquidators are currently being onboarded. Midas is also integrating mWIN into the Symbiotic RFO system for increased onchain liquidity |
| Expected liquidation route | The expected liquidation route is for liquidators to use standard redemptions, as indicated by liquidators themselves. Economically, this is the best route to capture the full upside of a liquidation while taking limited risk due to the low volatility of the asset, its max daily drawdown risk, and high liquidity. Instant redemption is also possible for liquidators wishing to redeem instantaneously following liquidation |
Risk Assessment
LlamaRisk is conducting the independent risk review of mWIN, covering the legal structure and the market/portfolio analysis. Their report, including the recommended risk parameters, will be published in this thread ahead of any Snapshot vote.
Specification
Risk parameters for mWIN will be specified by LlamaRisk in their published risk report and reflected here prior to escalation.
Useful Links
Disclaimer
This proposal is presented by Midas Software GmbH (“Midas”), on behalf of Aureum Securitisation Fund, acting in respect of Compartment mWIN. Midas confirms that it has no commercial relationship with Aave Labs.
This proposal, together with any related marketing, technical, or explanatory materials, is provided for informational purposes only. Nothing herein constitutes an offer to sell, or a solicitation of an offer to buy, securities or other financial instruments in any jurisdiction, nor does it constitute investment, legal, tax or financial advice.
Next Steps
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Gather community and delegate feedback on this ARFC.
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Publication of the LlamaRisk risk report and recommended parameters.
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Technical review of the listing payload.
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Escalation to Snapshot, and if passed, to AIP for onchain execution.
Copyright
Copyright and related rights waived under CC0.
