Vinter Solactive Crypto Indexes

Index Methodology

This document is optimized for reading on the web, not in PDF, please read it on methodology.vinter.co.

Introduction

The Vinter Solactive Crypto Indexes are a family of benchmarks. The indexes are developed to provide a rule-based and transparent way to track the value of a portfolio. Each index measures the value of an investment strategy.

This methodology determines what constitutes an active market for each index and establishes the priority given to different types of input data. The methodology considers factors like the size and liquidity of the market, the transparency of trading, the positions of market participants, market concentration, and the adequacy of any sample to represent the market or economic reality that the benchmark is intended to measure.

Solactive is a Germany-based index provider operating globally and growing quickly. Since 2007, Solactive has been developing tailor-made and multi-asset class index solutions for ETFs and other index-linked investment products with the leading global investment banks and asset managers as clients. Flexibility, proactivity, and efficiency are the heart and soul of Solactive's business philosophy. Read more at solactive.com

Invierno AB ("Vinter") is a pioneering index provider specializing in crypto assets, playing a key role in the emerging crypto ETF industry. The firm collects digital asset data from hundreds of sources, transforming proprietary strategies into investable products. Read more at vinter.co.

Using Solactive's unprecedented understanding of indexing and Vinter's unique knowledge of the crypto market, Solactive and Vinter have partnered to create a unique index series focusing on indexes that use crypto assets as underlying.

Indexes

BTC and ETH

The Benchmark Reference Rates by Vinter and Solactive are abbreviated "BRR". Each index is a TWAP of volume-weighted median prices from 3 to 4 p.m. New York time. This algorithm is designed for US ETFs. The 3 to 4 p.m. window is split into twelve 5-minute slots, each containing the volume-weighted median price.

Publication time: 4 pm New York time.

The following outlier detection is applied to the time window: All trades from a selected exchange are removed if the selected exchange's volume-weighted median price (VWMP) differs more than 10% from the median of all VWMPs.

Only trades in USD are used. Coinbase, Bitstamp, Kraken, Gemini, Itbit and LMAX are eligible exchanges.

Index details	Bitcoin	Ethereum
Asset:	BTC	ETH
Calculation time:	4 pm New York	4 pm New York
Algorithm:	BRR	BRR
Short name:	BTC 4 pm New York BRR VS	ETH 4 pm New York BRR VS
Bloomberg name:	Bitcoin 4 pm New York Benchmark Reference Rate by Vinter and Solactive	Ethereum 4 pm New York Benchmark Reference Rate by Vinter and Solactive
Bloomberg identifier:	SVBIT400	SVETH400
Refinitiv identifier:	.BRRBTCNS	.BRRETHNS
Vinter API:	btc-usd-p-11-d	eth-usd-p-11-d

SVC200

The Solactive Vinter Crypto Top 200 Index ("SVC200") contains the 200 largest crypto assets, all weighted by market capitalization. SVC200 is a passive index capturing the crypto asset market. The index is rebalanced monthly.

Construction

• Universe: All eligible assets.

• Selection: Top 200 by 90 days average market capitalization.

• Weighting: Market capitalization weighted.

• Rebalancing: Monthly on the last business day of the month, starting at the end of January.

• Rationale: Invest in the entire cryptocurrency market

Dissemination

• Currency: USD

• Type: Price return

• Launch date: [to be added]

• Base date: 2018-12-31

• Base value: 100.00

• Calculation: Daily at 4:00 pm London time

• Publication: Daily after 4:10 pm London time

Identifiers

• Full name: Solactive Vinter Crypto Top 200 Index

• Ticker: SVC200

• ISIN: SE0020997807

• FIGI: [to be added]

• Bloomberg: [to be added]

• Refinitiv: [to be added]

• Vinter API: vnsv-mc-200-d

General Construction Parameters

This section defines the general construction parameters used in designing the index, such as the asset universe, the asset selection, and the rebalancing weights. This section contains the details needed to calculate each index.

Universe

The asset universe is a list of all possible index constituents. The default asset universe consists of all eligible constituents. It is possible to restrict the universe to assets containing only a certain label, e.g., Metaverse or Web3, as defined in the Vinter Taxonomy.

Selection

The index constituents are selected from the asset universe. One example is to select the ten largest assets based on the current market capitalization. The selection process can generally be based on several factors, such as market capitalization, trading volume, returns, volatility, or a combination thereof.

Assets are selected on the review date, five business days before rebalancing. Note that the Review Date is not the same as the Yearly Review.

If it is impossible to reach the intended number of constituents, the Index Committee can either include non-eligible constituents or allow the index to have fewer constituents than intended. The decision shall be made publicly available.

Weighting

Rebalance weights are calculated on the review date.

The weight for each asset is always between 0 and 1. The sum of all constituent weights is equal to 100%.

Rebalancing

All indexes are rebalanced periodically, following the rebalancing calendar.

Rebalancing involves the selection of constituents and the calculation of their rebalancing weights. Calculations are done using the closing prices on the rebalancing date. The new weights per asset are used on the day's opening after rebalancing.

After the rebalance, the portfolio is updated so that its current weights per asset equal the rebalancing weights per asset. The bigger the difference between current and rebalancing weights, the larger the portfolio turnover.

Eligible Assets

Assets are eligible as index constituents if they meet the following eligibility criteria:

1. are not index tokens, stablecoins, or pegged to another asset such as currencies or commodities;

2. have a 30-day average daily trading volume that exceeds USD 1 million;

3. have at least 90 days of historical price data;

4. have a market capitalization above USD 50 million;

5. Enable a reliable estimation of the circulating supply.

Calculation

The index value is given by the weighted sum over all constituents of quantity times price divided by a divisor.

The price per asset is calculated by Vinter, as detailed in the constituent pricing section.

The quantity per asset is set to the Rebalancing Weight per asset after rebalancing. In a price return index, the quantity per asset is unchanged between rebalances.

The divisor enforces index continuity on rebalancing. The divisor is defined so that the index starts at a certain start value, which ensures each index tracks the value of a certain amount of capital invested on the start date.

Constituent Pricing

The Vinter reference rates are used to price assets and can vary from index to index. The algorithms are described in Vinter's single asset reference rates. The Benchmark Statement defines the eligibility criteria for input data.

Market Capitalization

The market capitalization is given by price times circulating supply. Using circulating supply is similar to using public float for an equity index. The market capitalization is calculated at midnight UTC.

Index Provider

Invierno AB, Reg. No. 559207-4172, Box 5193, 10244 Stockholm, Sweden (“Vinter”)

Benchmark Administrator

Vinter is the benchmark administrator and the central recipient of input data, with the ability to evaluate the integrity and accuracy of input data consistently. Vinter is responsible for developing the index and controls all aspects of the provision of the benchmark. Vinter has established a permanent and effective oversight function, governance processes subject to periodic reviews and audits, policies regarding complaints, ethics, conflicts of interest, and contingency, and has established a clear internal organizational structure with consistent roles and responsibilities to identify, prevent, disclose, mitigate, and manage conflicts of interest.

Calculation Agent

Vinter is the calculation agent responsible for determining the index value described in the index methodology. Vinter calculates the index values following the index methodology. Upon the request of the benchmark administrator, the calculation agent shall provide all information available on the composition and details of the calculation of the requested index.

Document Versions

Version	Date of update	Change
1.0.	2023-09-26	Publish initial version

Disclaimer

Any product(s) offered with the indexes described in this methodology as underlying is not in any way sponsored, endorsed, sold, or promoted by Invierno, reg. no. 559207-4172 (“Vinter”). Vinter does not make any warranty or representation whatsoever, expressly or impliedly either as to the results to be obtained from the use of the index(es) “Index” described, licenses, used, or referenced under any Programme or Prospectus and/or the figure at which the Index stands at any particular time on any particular day or otherwise. The Index is compiled and calculated solely by Vinter. However, Vinter shall not be liable (whether in negligence or otherwise) to any person for any error in the Index and Vinter shall not be under any obligation to advise any person of any error therein. Vinter is a registered trademark owned by Invierno AB. Invierno AB and its indexes are protected by various intellectual property rights. All third-party use of Vinter and its indexes require by law a licensing agreement with Invierno AB. The Index is a product of Invierno AB. Any Programme referencing the Index is not sponsored, endorsed, sold, or promoted by Vinter and/or its affiliates, and none of such parties makes any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Index. The Programme is in no way sponsored, endorsed, sold, or promoted by Vinter and its Licensors and neither of the Licensors shall have any liability with respect thereto. Vinter is not a registered investment advisor, tax advisor or broker/dealer. The content of the index methodology or its related documents underlying is intended only to provide general and preliminary information and shall not be construed as investment, tax, legal or financial advice. The reader shall ensure that all of his or her investment decisions are not made based on the content of this document and shall be solely responsible for all financial losses made in connection with investment decisions. Nothing contained in the index methodology or its related documents constitutes a solicitation, recommendation, endorsement, or offer by Vinter or any third party associated with Vinter to buy or sell any financial instruments in this or any other jurisdiction. Although best efforts are made to ensure that all information on the methodology documents is accurate and up to date, occasionally unintended errors and misprints may occur. The index owner grants the benchmark administrator an exclusive, royalty-free, non-transferable, non-sublicensable license to use the index owner's intellectual property rights to fulfill the benchmark administrator's obligations under the index agreement and the Benchmarks Regulation, including registration of identifiers for indexes. Vinter is a registered Benchmark Administrator by Finansinspektionen (FI) and the European Securities and Markets Authority (ESMA) under Article 34 of the European Benchmarks Regulation (2016/1011).