Re-check, 20 October 2026: the three leveraged-JAAA rows were re-measured at block 26,233,101 (table below); the wstETH rows were not refreshed and remain dated 7 September.
20 October 2026 re-check: leveraged JAAA rows
Pinned at Ethereum block 26,233,101 (2026-10-20 10:08:59 UTC). JAAA accrued 3.46% over the trailing 30 days and 4.42% over 90 days (vault pricePerShare()), against 4.86–4.87% (30 days) on 7 September; the fund printed its first NAV declines on 29 September to 1 October (−8.3bp in total). Evidence sits beside each strategy: ../../strategies/3f-jaaa-leveraged-carry/snapshot-2026-10-20.json and ../../strategies/aave-horizon-jaaa-loop/economics-latest.json.
| Strategy | 7 September | 20 October |
|---|---|---|
| 3F JAAA “8×” | Not executable at $1M: $16k intent cap, NOCA blocked by the transfer guard, $534k of borrowing liquidity | Still not executable at $1M. Intent caps are $4,000; the NOCA Safe still reverts with TransferBlocked on a fork while prior holders succeed; $235,524 of borrowing liquidity from a single lender vault. Carry on the product’s own terms: −2.94% on 30-day JAAA inputs (borrow 4.35%), +4.45% after the performance fee on 90-day inputs |
| 3F JAAA “10×” | Not executable at $1M: no open intent, same liquidity | Still not executable at $1M. Same caps, guard and liquidity. Carry −4.76% on 30-day inputs, +4.58% after fee on 90-day inputs |
| Aave Horizon JAAA → GHO, 4× | 10.36%, $103,556 a year; NOCA Safe not a JAAA member | 3.92%, about $39,186 a year on 30-day inputs (GHO raised from 3.00% to 3.25% APR on 16 September); 7.78% on 90-day inputs. Capacity covers $1M: 10.72M JAAA of supply headroom and $25.7M of GHO headroom. The NOCA Safe is still not a JAAA member, so the route cannot start |
A finding common to both routes: a Centrifuge BalanceSheet manager key can move JAAA out of 3F’s wJAAA wrapper and out of Horizon’s aJAAA reserve without either venue’s signature (fork-verified; ../../strategies/janus-henderson-anemoy-jaaa/memo.md, Risk R6).
7 September 2026 tables
Uses the verified 7 September 2026 snapshots: 13:17 UTC for the updated Prime, V4 and 3F state; 12:50 UTC for asset-yield measurements, Horizon and the starting state of the Curve projection. These are dated calculations, not refreshed live quotes.
Every strategy starts with $1M equity. wstETH routes assume the wstETH is already held, 40% starting LTV, unchanged ETH/USD and stablecoin par. Asset yields are the measured trailing/model inputs, not promised future yields. Borrow interest is compounded; Curve uses actual simulated daily accrual. Gas and swap costs are excluded from modeled income. Additional costs and execution restrictions are stated in each table.
| Strategy | Curve wstETH → crvUSD → sGHO |
|---|---|
| Step 1: deposit and supply yield | $1M wstETH; 2.31% staking APY, 0% separate lending yield |
| Step 2: borrow amount and APR | $400k crvUSD; approximately 3.13% average APR over the simulated year, starting at 2.21%; approximately $12,723 interest |
| Step 3: reinvestment and APY | Swap to GHO; approximately $400k into sGHO at 4.60% modeled APY (4.50% target APR) |
| Additional fees | Gas and crvUSD/GHO entry/exit swap costs; excluded from income below |
| Modeled net APY on $1M | 2.88%, including wstETH staking |
| Annual income | $28,755 |
| Execution status | Loan entry verified on a local fork; swaps quoted separately. The average APR assumes frozen external market activity with daily policy/debt updates |
| Strategy | Existing Aave Prime wstETH → GHO → sGHO |
|---|---|
| Step 1: deposit and supply yield | $1M of existing supplied wstETH; 2.31% staking APY + 0.0314% lending APR |
| Step 2: borrow amount and APR | $400k existing GHO debt, normalized; 3.75% spot APR / 3.82% APY after the repayment. Observed earlier today: 10.99% APR / 11.62% APY |
| Step 3: reinvestment and APY | $400k GHO into sGHO at 4.60% modeled APY |
| Additional fees | Gas; excluded from income below |
| Modeled net APY on $1M | 2.65% only if the current rate persists; no stable forward APY established |
| Annual income | $26,518 under that constant-rate assumption |
| Execution status | Existing-position normalization. A fresh $1M collateral deposit is cap-blocked. A further $400k GHO borrow would raise APR to approximately 6.75%, holding other balances fixed |
| Strategy | 3F JAAA “8×” |
|---|---|
| Step 1: deposit and supply yield | Proposed $1M USDC into JAAA; 4.86% underlying JAAA APY, 0% separate collateral lending yield |
| Step 2: borrow amount and APR | Requires $7.16M USDC debt. The 3.66% spot APR cannot be applied to this size: only approximately $534k shared borrowing liquidity is available |
| Step 3: reinvestment and APY | Intended $7.16M additional JAAA at 4.86% APY; $8.16M total exposure if financed |
| Additional fees | 10% performance fee; gas and bridge/settlement financing costs, with bridge costs unverified |
| Modeled net APY on $1M | N/A — not executable at $1M |
| Annual income | N/A |
| Execution status | Current deposit intent has a $16k cap. NOCA’s $11k and $16k fork deposits failed the transfer guard; $1M failed the cap |
| Strategy | 3F JAAA “10×” |
|---|---|
| Step 1: deposit and supply yield | Proposed $1M USDC into JAAA; 4.86% underlying JAAA APY, 0% separate collateral lending yield |
| Step 2: borrow amount and APR | Requires $9.20M USDC debt. The 3.66% spot APR cannot be applied to this size; it uses the same approximately $534k liquidity pool as 8× |
| Step 3: reinvestment and APY | Intended $9.20M additional JAAA at 4.86% APY; $10.20M total exposure if financed |
| Additional fees | 10% performance fee; gas and bridge/settlement financing costs, with bridge costs unverified |
| Modeled net APY on $1M | N/A — not executable at $1M |
| Annual income | N/A |
| Execution status | No open deposit intent listed in the app; insufficient borrowing liquidity independently blocks the proposed loop |
| Strategy | Aave Horizon JAAA → GHO, 4× |
|---|---|
| Step 1: deposit and supply yield | $1M USDC subscribed into JAAA and supplied to Horizon; 4.87% trailing 30-day JAAA APY, 0% separate lending yield |
| Step 2: borrow amount and APR | Loop to $3M GHO debt at 3.00% APR. Both utilization slopes remain zero, so the added borrowing does not raise APR under the current configuration |
| Step 3: reinvestment and APY | Swap GHO to USDC; subscribe $3M additional JAAA at 4.87% APY; $4M total JAAA exposure |
| Additional fees | Gas; GHO/USDC entry and exit swaps; subscription delays reduce first-year income. These costs and delays are excluded below; fund costs reflected in NAV are already included |
| Modeled net APY on $1M | 10.36% once fully deployed, assuming measured asset yield and borrowing rate persist |
| Annual income | $103,556 for a full year at modeled exposure and rates |
| Execution status | Measured capacity covers this size, but the NOCA Safe is not currently a valid JAAA member on-chain. Wallet onboarding and full subscription/loop execution remain outstanding |
Horizon refreshed at 7 September, 15:46:59 UTC; see the new pinned measurements.
| Strategy | New Aave V4 Core → Maple |
|---|---|
| Step 1: deposit and supply yield | $1M wstETH; 2.31% staking APY, 0% lending yield |
| Step 2: borrow amount and APR | $400k USDC at 15.54% gross APR after entry, versus 8.80% before, calculated from the updated live rate model |
| Step 3: reinvestment and APY | $400k into syrupUSDC at 4.92% APY |
| Additional fees | Gas; incentives shown below. Maple pool fees are already reflected in measured syrupUSDC yield |
| Modeled net APY on $1M | −2.45% without incentives, assuming the post-entry rate persists |
| Annual income | −$24,518 without incentives |
| Execution status | Earlier-state fork verified V4 supply/borrow and Maple deposit via the existing NOCA Safe. Updated borrow APR comes from the live IRM; Maple immediate redemption failed the queue restriction |
The V4 2% APR borrowing rebate is separate from gross interest. It reduces the modeled post-entry net APR to 13.54% while it runs, ending 10 September 2026 at 13:00 UTC. Only approximately $65.49 of rewards remain scheduled on $400k debt from the updated pin. Including those scheduled rewards gives approximately −$24,452 / −2.45% for the constant-rate year. A full year of renewed rebates would give −$16,518 / −1.65%, but renewal is unverified and excluded. The Core Hub and Main Spoke campaigns forward the same reward; it is counted once.
Primary measurements, addresses, block hashes, repayment history, execution failures and modeling limitations are documented in the verification report.