[ARFC] Onboard mWIN (Midas / Wellington Management) to Aave Horizon

Title: [ARFC] Onboard mWIN (Midas / Wellington Management) to Aave Horizon
Author: AaveLabs
Date: 2026-10-22

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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.

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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

• 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.
• 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+.
• 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.
• 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.

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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.

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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:

• 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.
• 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.
• 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

Model Portfolio

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:

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