Product-related

General Information

Which type of data can you provide? which data sources are you connected to?

We provide different types of data:

1. Market data: Commodities prices, Market caps, Crypto asset prices, FX rates, ETF values, ...

2. Blockchain data/metrics: Staking yields, Total Value Locked (TVL), Active addresses, Protocol revenues, GitHub activity, Social media interest, Transaction volume, Asset ESG rating ...

Here below is a non-exhaustive list of our partners:

1. GreenCryptoResearch.com

2. DefiLlama.com

3. Santiment.net

4. Coingecko.com

5. Coinmarketcap.com

6. Polygon.io

7. Stakingrewards.com

8. Blockchain protocols (such as Cardano, Ethereum, Solana, Polkadot)

9. Staking providers (such Everstake, Kraken, Coinbase)

Where can you disseminate index data?

We can feed two types of data to the below platforms.

1. Index data: contains index values, weights per asset, and rebalancing dates.

2. Product data: contains static information like Issuer, ETP name, underlying, fee, currency, expiry date as well as non-static information that we must update with some frequency like the number of shares, price per share, and AUM.

Platforms:

• ACTIV Financial Systems, Inc.

• baha GmbH

• Bloomberg Finance LP

• FactSet Research Systems Inc.

• Fidessa Trading (UK) Limited

• FIS Financial Systems (France) SAS

• ICE Data Services Europe Ltd.

• Infront AS

• Iress Data Ltd

• Morningstar Real-Time Data Ltd.

• Refintiv Limited

• Royal Bank of Canada; RBC Europe Ltd

• SIX Financial Information Ltd

You can find the price in your contract, if it is not specified you can request a quote from [e-mail].

Which reference rates are you using for your indexes?

Vinter calculates the reference rates for all of its indexes.

To get more details, please check: #how-do-i-find-the-asset-pricing-for-a-specific-crypto-asset

How many crypto assets are you calculating a reference rate for?

As of November 2023, we are calculating the reference rate of +300 pairs.

The assets are not necessarily in the top 100 by market cap though the vast majority are. Vinter can cover the top 200 upon request. For this range, the trading volume becomes a limiting factor for calculating reliable real-time, manipulation-free reference rates.

Note: Assets with low trading volumes are sometimes not supported by market makers and Vinter is often not confident in the precision of those reference rates. For illiquid assets, the trustworthiness of the crypto exchanges' data also comes into play.

For which assets do you calculate the daily staking reward?

As of 21 August 2023, we calculate the daily staking rewards for:

1. Polkdatot (DOT)

2. Polygon (MATIC)

3. Cosmos (ATOM)

4. Solana (SOL)

5. Binance (BNB)

6. Tezos (XTZ)

7. Cardano (ADA)

8. Ethereum (ETH)

9. Tron (TRX)

10. Avalanche (AVAX)

11. Kava (KAVA)

12. Near Protocol (NEAR)

What are the options to launch a single asset staking product in EU?

To launch a single-asset exchange-traded product (ETP) where you would pass on the staking rewards to investors, We have identified 3 configurations.

1. Tracking a total return single asset staking index

• Description

  • You stake parts of the holdings and guarantee to the investor you are passing on a predefined fraction of the staking rewards.

  • The ETP always outperforms the index thanks to the utilization rate.

• Benefits

  • Provides clear visibility on what you do with investors’ assets.

  • Capitalizes on a first-mover advantage as the world's first total return staking ETP on the listing venue of your choice.

  • Uses of a regulated benchmark which is standard practice in the Asset Management industry.

  • Uses a competitive index that adapts to market conditions and provides reliable pricing data.

• Drawbacks

  • Requires setting up a liquidity model to mitigate share redemptions and lock-up periods.

1. Tracking a price return single asset index

• Description

  • You stake parts of your holdings but do not guarantee it is always passing on the staking rewards.

  • You use a benchmark to provide proof it is reinvesting staking rewards in the ETP.

• Benefits

  • Uses of a regulated benchmark which is standard practice in the Asset Management industry. Market makers are used to seeing Vinter’s prices which will increase your approval odds among institutional investors.

  • Uses a competitive index that adapts to market conditions and provides reliable pricing data.

  • Shows in a transparent way that staking rewards are reinvested in the ETP.

  • Keeps some flexibility to stake or unstake holdings dynamically.

• Drawbacks

  • Does not provide clear visibility on what you do with staking rewards.

  • Does not enjoy the same first-mover advantage as a total return index.

1. Not tracking any benchmark (risky)

• Description

  • You stake parts of its holdings but do not guarantee to investors it is always passing on the staking rewards.

• Benefits

  • Avoids selecting a benchmark.

  • Keeps some flexibility to stake or unstake holdings dynamically.

• Drawbacks

  • Does not provide clear visibility on what you do with staking rewards.

  • Does not enjoy the same first-mover advantage as a total return index.

  • Increases the risk of eroding confidence due to the pricing source.

  • Adds a risk that the financial regulator does not have the same interpretation of the regulation as you do, i.e. that a single asset ETP requires a benchmark.

How do total return staking indexes work?

1. From your standpoint

• Principle: You promise to give a fixed part of the staking yield you actually get while staking. The ETP always outperforms the index as you are free to stake more to create a buffer. For instance, if you promise to pass on 50% of the staking rewards while you actually stake 80% of the assets, then you keep 30% of the actual yield.

• Your staking provider(s): You can select the staking providers of your choice.

• Getting our data: Vinter calculates daily staking yields, index values, and asset prices can be fetched daily from our API.

• Mitigating product-related aspects: (1) In certain cases, you will have to pay out an anticipated/reference yield while the actual yield is not yet received. (2) The yields you will get will be sometimes higher, sometimes lower than the staking yield calculated in the index, but overall the theoretical and practical yields will tend to be the same value. (3) The lock-up period impacts the redemption of shares.

• Solutions to mitigate those aspects: (1) Setting a "comfortable" utilization rate. (2) Designing a liquidity model that enables meeting any redemption and continuously building a sufficient buffer. (3) Introducing a rule in the methodology stating that you are not staking for definite periods.

1. From our standpoint

• The following formula is used to calculate the daily updated weight per asset: $Q(t+1)−Q(t)=Y(t)*Q(r)*U(t)$

  • $Q$= the quantity or daily updated weight. It increases every day by $Y*U$. The index is not taking compounding into consideration.

  • $Y$= the yield. It is extracted at 9:00 a.m. London time from the data staking providers' API or website. The yield per asset is then calculated by taking the median of the readily available yield estimates after going through Vinter's data validation and incident management process.

  • $U$= the utilization rate. It is set so that the asset manager can (1) meet any share redemption (2) handle epochs/lock-up periods, and (3) promise a yield that can be paid out.

• The staking yields can vary from one provider to another depending on several factors such as the provider's fees, nature, operating costs, reputation as a validator, etc ... Staking data providers can be classified into 3 tiers.

  • On-chain data providers (for ex: Cardano's public nodes)

  • Staking-as-a-Service providers (for ex: Everstake, Lido)

  • Crypto exchange (for ex: Binance, Kraken, Coinbase)

1. How can you fix the utilization rate?

You can seamlessly calibrate the utilization rate using the following rules of thumb.

• Lock-up period: the longer, the lower the $U$.

• Staking reward: the more volatile, the lower the $U$.

• Redemption mechanism: depending on the time required to meet a redemption, the UR will be in the low or high baselines.

• Investor demand: staking products are increasingly appealing to investors who have long investment horizons. The longer the historical and expected longevity of/demand for an asset, the higher $U$.

• Liquidity: the more working capital an asset manager can allocate to a product, the higher the $U$.

• Your staking provider: the more performant, the lower the $U$.

Asset Universe and Selection

How do you adapt the asset universe to my service providers?

The methodology automatically filters out assets that are not supported by your service providers: market makers, listing venues, custodians, staking providers, and crypto exchanges. We will always take the intersection of all your providers' supported asset lists to derive your asset universe.

Concretely, the reader would:

• go to the section Eligible Assets in the methodology,

• click on the link "eligibility criteria",

• read point number 6. of the eligibility criteria.

In essence, point number 6. is the rule that automatically enables Vinter to adapt to the asset universe in a rule-based fashion.

To get more details, please check the section #how-do-vinter-index-methodologies-work

Can I change the asset selection of an index after launch?

Yes, you can change the asset selection rule after launch. However, there are two points to take into consideration:

• If this change impacts the index construction, it will impact how Vinter's algorithm runs as those will have to be modified. A fixed fee would be applied for the change to be performed.

• Vinter needs to evaluate which type of change it represents, .i.e a material change or not. To get more details on the process, please visit: #what-should-i-know-about-the-crypto-assets-benchmark-statement

Asset Weighting and Rebalancing

When does Vinter rebalance its indexes? When should I rebalance and effectively implement the new weights?

1. Our perspective

Rebalancing effectively occurs at the Rebalancing Date's closing. Vinter implements the new weights (also called rebalancing/rebalance weights) as soon as the closing prices for the day have been calculated, validated, and published.

1. Your perspective

From a product perspective, the best practice is to implement the new weights as soon as the closing prices are known, i.e. published by Vinter, to reduce the tracking error and trading spreads.

There is no rule in the methodology stating when the trading to implement the new weights should happen at the product level. In any case, the new weights need to be implemented before the end of the rebalancing day (00:00 UTC). The new constituents and new weights will be needed to represent the "opening" index values on the first day after rebalancing. For instance, if the closing time is at 5:00 pm CET, then you have 8 hours to implement the new weights: between 5:00 pm CET (15:00 UTC) and 00:00 UTC.

Note: In the Vinter's deliveries, the "current weights" will not be equal to the "rebalancing weights" at rebalancing. Current weights represent the previous rebalancing weights which have been drifting since the last rebalancing.

How does rebalancing work if we are integrated via API?

If the review date is fixed at 5 Business Days ("BDs") before the Rebalancing Date ("Rebal"), the process is as follows.

• 5 BDs before Rebal: Vinter calculates the new weights.

• 4 BDs before Rebal: The new weights will be published after 5:00 p.m. CET. You can fetch those via the Active Multi Assets endpoint.

• At Rebal: Vinter will rebalance the index at closing.

  • Prices of the current constituents can be fetched via the Multi Assets Daily endpoint.

  • Prices of the new/entering constituents will have to be fetched one by one via the Single Assets Daily endpoint.

• After Rebal.: Prices of all the constituents will be published after closing as usual. You can fetch those via the Multi Assets Daily endpoint.

Note: The next_rebalance_weights field in the Active Multi Assets endpoint becomes the weights field after rebalance, and the next_rebalance_weights field is set to empty.

How does rebalancing work if we are integrated via Email?

If the review date is fixed at 5 Business Days ("BDs") before the Rebalancing Date ("Rebal"), the process is as follows.

• 5 BDs before Rebal: Vinter calculates the new weights.

• 4 BDs before Rebal: The new weights will be published after 5:00 p.m. CET. Those weights will be enclosed in an email under the name "rebalance_weights" file.

• At Rebal: Vinter will rebalance the index at closing.

  • Prices of the current constituents can be found in the daily "end_of_day" file.

  • Prices of the new/entering constituents can be found in the "closing_prices_new_assets" file.

• After Rebal.: Prices of all the constituents will be published after closing as usual. Closing prices will be sent daily via the "end_of_day" files.

How does rebalancing work if we are integrated via SFTP server?

If the review date is fixed at 5 Business Days ("BDs") before the Rebalancing Date ("Rebal"), the process is as follows.

• 5 BDs before Rebal: Vinter calculates the new weights.

• 4 BDs before Rebal: The new weights will be published after 5:00 p.m. CET. Those weights will be uploaded on the server under the name "rebalance_weights" file.

• At Rebal: Vinter will rebalance the index at closing.

  • Prices of the current constituents will be uploaded on the server in the "end_of_day" folder.

  • Prices of the new/entering constituents will be uploaded on the server under the file name "closing_prices_new_assets".

• After Rebal.: Prices of all the constituents will be published after closing as usual. Closing prices will be uploaded daily on the server in the "end_of_day" folder.

When are you calculating the weights at review date? and why are they delivered the business day after?

At Review Date, Vinter extracts the circulation supply and market prices from CoinMarketCap at 00:00 UTC (23:59:59 to be exact). The extracted data correspond to the closing market caps on that day.

The calculations are done right afterward and will be typically delivered during the next business day, after 4:00 pm London time.

Index Data and Product Files

Why is the Portfolio Composition File (PCF) date one day in the future?

The date is in the future as Vinter provides the closing prices which are also the opening prices for the next day.

How does Vinter calculate the Net Asset Value (NAV)?

$NAV = \frac{A-B}{C} - D$

Where,

• $A$ = Today’s Portfolio Value

• $B$ = Yesterday’s Total Management Fee

• $C$ = Outstanding Shares

• $D$ = Today’s Daily Performance Fee

You can find the precise calculation in the "Documentation" tab of the Portfolio Composition File (PCF). You can find a Demo file in the section #what-are-the-demo-files-you-send

Which exchange rate source are you using for FX rates?

Vinter is using polygon.io

When do I receive end-of-day files?

Daily, around 10 minutes after publication.

Note: end-of-day files at the rebalancing date only contain the current constituents and prices.