About this Chart

The Reserve Fund is sized to cover costs from a worst-case scenario: unwinding all perpetual positions within 24 hours during severe market stress. Two-component calculation:

• Funding Rate Exposure: Uses a dynamic model that evaluates Ethena's specific portfolio composition—which assets (BTC, ETH, SOL, etc.) and which venues/exchanges are used. The model applies the worst 0.1% of historical funding rates for each asset-venue pair to current allocations. This approach recognizes that risk varies significantly based on deployment details: the same total perpetual allocation carries different risk depending on asset volatility (e.g., SOL vs ETH) and venue capabilities during stress.
• Slippage Costs: Adds 50 basis points (0.5%) to account for execution costs when closing short perpetual positions and selling spot holdings. This estimate is based on maximum observed slippage during the Bybit hack incident.