Certain states have passed self-settled trust legislation, however it is not very effective. The reason is quite simple: Article 4 section 1 of the US constitution states
“Full Faith and Credit shall be given in each State to the public Acts, Records, and judicial Proceedings of every other State. And the Congress may by general Laws prescribe the Manner in which such Acts, Records and Proceedings shall be proved, and the Effect thereof.”
This is known as the full faith and credit clause, and means simply that judicial rulings in one state are valid in every other state. Of course, this means that all your creditors need to do is to find a justification for suing you in a state that does not recognize your trust structure and suddenly your assets are at risk.
In Anguilla, however, US court rulings hold no bearing whatsoever. Moreover, there is literally no standing whatsoever for a creditor to challenge your Anguilla unless a creditor can prove that the assets were fraudulently conveyed. Even then they only have two years from the date the trust was settled to make this hard-to-prove claim.