# Reference Rates

Crypto reference rates for single assets

Vinter's reference rates are developed to provide a rule-based and transparent way to capture the price of crypto assets. Each reference rate accurately tracks the price of a single asset. The reference rates are regulated, industry-adopted, auditable, manipulation resistant and frequently reviewed.

The Vinter Single Asset Reference Rates are a family of benchmarks. This methodology clearly determines what constitutes an active market for the purposes of each index, and establishes the priority given to different types of input data. The methodology takes into account 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.

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All indexes are calculated from validated transactions on selected exchanges. Index values are published soon after the time window ends. The time window during which transactions are obtained and the calculation method varies depending on the index frequency. There are three possible frequencies with which index values are updated: real-time, hourly and daily. Each index consists of the following parts.

- 1.Trading pair: the base and quote currency.
- 2.Structure: plain or composite.
- 3.Frequency: real-time, hourly or daily.

An index with a plain structure uses transactions from one trading pair. The calculation is described below for the three frequencies real-time, hourly and daily.

**The real-time reference rate is the median price across selected exchanges.**

To be precise, each Vinter real-time reference rate is updated every 10 seconds and calculated as follows.

- 1.Obtain validated transactions on the trading pair from selected exchanges during the last 60 seconds.
- 2.For each exchange, calculate its last price.
- 3.Take the median across all exchanges.

Using a median ensures index values are manipulation-resistant and robust against outliers.

All Vinter hourly reference rates are calculated by taking the average of the real-time reference rates during that hour. Each hourly value is thus a Time Weighted Average Price (TWAP) of non-missing median prices.

**The standard daily reference rate, Vinter’s fixing, is the median spot price at 4 pm**. Vinter’s fixing is abbreviated “VFIX.” It is published at 4 pm London time and 4 pm New York time.

The standard daily reference rate is used in most Vinter indexes. Besides this reference rate, Vinter calculates a TWAP for multiple time windows, including 3-4 pm, as specified under the subsection "VAP."

The daily frequency is the most important since it is used to settle regulated financial derivatives and is used in the valuation of exchange-traded products. The hourly and real-time frequencies are often used for indicative purposes. To ensure accuracy, the daily calculations must pass exhaustive validation tests.

Vinter's Average Price is abbreviated "VAP". The daily values are calculated by taking the average of the real-time values in a certain time window. Each daily value is thus a Time Weighted Average Price (TWAP) of non-missing median prices. The following time windows are used:

- 3 pm to 4 pm London time (the default)
- 3 pm to 4 pm New York time

The abbreviation for Vinter's Fixing is "VFIX". The Vinter daily fixing is calculated by taking the last real-time index value before a certain time of the day. It is the median spot price at 4 pm. The following daily fixings are calculated:

- 4 pm London time (the default)
- 4:30 pm London time
- 4 pm New York time

The identifiers for the Bitcoin reference rate calculated at 4 pm London time (the standard) are as follows.

- Trading pair: BTC/USD
- Algorithm: VFIX
- Calculation time: 4 pm London
- Short name: VFIX BTC 4 pm London
- Long name: Vinter Bitcoin 4 pm London Fixing Index
- Bloomberg name: Vinter Bitcoin VFIX value at 4:00pm London Time
- Bloomberg identifier:
`VBTCUSD`

To get the identifiers for other assets and calculation times, replace the asset name (Bitcoin), the asset ticker (BTC), and the publication time (4 pm London) with the relevant information.

Assume that the selected exchanges for btc-usd are Kraken, Coinbase, and Bitstamp. The index calculation is illustrated in the table below. The last price on Coinbase during the first and second period are denoted

*Pc(1)*and*Pc(2)*, respectively. The median of the individual exchange prices during the first and second period are denoted*Pm(1)*and*Pm(2)*, respectively. In this numerical example, the first median value is $1002 and the second is $998. Notice that even though Bitstamp's $700 is far away from the other exchanges it does not influence the median $998.i \ t | t = 1 | t = 2 | ... | t = T |

Coinbase (c) | Pc(1) = $1001 | Pc(2) = $998 | | Pc(T) = $991 |

Kraken (k) | Pk(1) = $1002 | Pk(2) = $999 | | Pk(T) = $992 |

Bitstamp (b) | Pb(1) = $1004 | Pb(2) = $700 | | Pb(T) = $992 |

| | | | |

median | Pm(1) = $1002 | Pm(2) = $998 | | Pm(T) = $992 |

Vinter's Average price (VAP) is given by

*Pm(1) + Pm(2) + …. + Pm(T)*divided by*T*. It is thus a TWAP of the median prices.The real-time index value at time 15:01:00 is calculated as follows.

- 1.Obtain validated btc-usd transactions from the last 60 seconds since 15:01:00 on Kraken, Coinbase, and Bitstamp.
- 2.For each exchange, calculate its last price.
- 3.Take the median of the three prices.

Vinter's Fixing (VFIX) is calculated by taking the last real-time index value before 16:00.

Vinter's Average Price (VAP) is calculated by obtaining the real-time index values from 15:00 to 16:00, and then averaging these values.

Define

$\{d\}$

as a set of trades on a given trading pair where each trade consists of the following information: timestamp, price, volume, and exchange. A daily index value can then be expressed as a series of aggregation functions on the set trades:

$f_3(f_2(f_1(\{d\})))$

where

$f_1, f_2,f_3$

are the first, second and third aggregation function - respectively - on suitable chosen information dimensions such as (1) price, (2) exchange, and (3) time.For Vinter's daily TWAP index value, the set of trades are grouped by exchange and divided into time-partitions (e.g. 10 seconds) inside a time-window (e.g. 60 minutes). Once the trades are grouped by these three dimensions, the first, second and third aggregation functions (as illustrated in the table above) are

- 1.last paid price,
- 2.median across exchange,
- 3.average of the exchange-medians.

In general, other available aggregation-functions include: mean, median, volume-weighted average, volume-weighted median and last. Available time-partitions range from seconds to 24 hours. Available time-windows range from 1 to 24 hours.

An index with a composite structure pools transactions from several trading pairs, whereas an index with a plain structure only uses transactions from one trading pair.

Liquid assets (such as BTC and ETH) rarely need a composite structure. Illiquid assets, however, might need to add transactions from several trading pairs to be accurately priced.

The plain bnb-usd indexes measures the price of one BNB in USD using transactions in BNB/USD, whereas the composite bnb-usd indexes measures the same price by using several trading pairs. The composite bnb-usd real-time index is calculated as the price of BNB/USDT on Binance and then converted into USD using the Vinter USD/USDT Real-time index.

Most indexes have the plain structure. Some indexes have a composite structure.

The calculation method for a composite index is as follows.

- 1.Obtain the relevant trading pair indexes.
- 2.Convert each trading pair index into USD utilizing the appropriate Vinter index as a conversion pair.
- 3.Apply the same calculation method as described under the previous section (e.g. for a real-time index take the median).

Assume we want an index for PAXG/USD when the PAXG/USD needs to be complemented with transactions from PAXG/USDT and PAXG/BTC. The calculation method for one real-time index value is illustrated in the table. The three calculation steps for paxg-usd-c-h are as follows.

- 1.Obtain the real-time index values for paxg-usdt-p-r and paxg-btc-p-r.
- 2.Convert from PAXG/USDT and PAXG/BTC into USD utilizing the Vinter USD/USDT and Vinter BTC/USD indexes, respectively.
- 3.Take the median of the three PAXG/USD indexes to get paxg-usd-c-r. Calculate a TWAP of 60 paxg-usd-c-r to get paxg-usd-c-h.

Base | Quote | Price | Conversion Pair | Conversion Rate | Price ($) |

PAXG | USD | 1801 | None | 1 | 1801 |

PAXG | USDT | 1820 | USDT/USD | 0.99 | 1801.8 |

PAXG | BTC | 0.1 | BTC/USD | 18001 | 1800.1 |

median | | | | | 1801 |

The index naming convention is based on the trading pair, the structure and the frequency with which values are updated. The table provides an illustration of the naming convention. Note that the Vinter API might prefix “vntr” and suffix ID number(s) to each Ticker.

btc/usdt | real-time (r) | btc-usdt-p-r |

eth/btc | hourly (h) | eth-btc-p-h |

The p stands for primary. Certain reaference rates also has a complimentary reference rate denoted by a c.

Assets are eligible as index constituent if they meet the eligibility criteria listed in Vinter’s benchmark statement.

Daily reference rates are monitored before and after the publication time to ensure the high accuracy of our published values.

Real-time reference rates are monitored Monday to Friday 07:00-22:00 London time BST (equivalent to 02:00-17:00 New York time EDT, or 14:00-05:00 Hong Kong time HKT).

Outside monitoring shifts, real-time reference may produce stale prices.

The Benchmark Administrator is the central recipient of input data with the ability to evaluate the integrity and accuracy of input data on a consistent basis. The Benchmark Administrator is responsible for the development of the indexes and controls all aspects of the provision of benchmarks. The Benchmark Administrator 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.

The Calculation Agent is an individual or entity that is responsible for determining the value of an index and/or a financial instrument. The Calculation Agent calculates the index values in accordance with 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.

The Publication Agent is an entity responsible for the publication of index values.

Vinter is the benchmark administrator, calculation agent and publication agent of this index family. Calculation agent services include development, integration and technical maintenance of benchmarks. Benchmark administrator services include legal maintenance and oversight of benchmarks. Publication services include distribution of benchmarks, methodologies and benchmark statements.

**Crypto asset:**A digital representation of value that is cryptographically secured.**Base currency**: The first currency in a trading pair.**Quote currency**: The second currency in a trading pair.**Trading pair**: A pair consisting of a base and a quote currency.**Transaction**: A trade between two parties occurring on an exchange that consists of time, price, volume.**Validated transaction**: a transaction registered and validated by Vinter.**Volume**: the quantity of a transaction expressed in the base currency.**UTC**: Coordinated Universal Time.**Selected exchange:**An exchange that contributes with input data in the calculation.**Eligible exchange:**An exchange that fulfills all eligibility criteria.

Initial version. June 22, 2020.

- December 3, 2020.
- Forked from index calculation framework.
- Extended the list of eligibility criteria.
- Removed index universe.
- Renamed introduction to overview.
- Expanded the calculation section by adding frequencies.
- Added indexes with composite structure.
- Moved governance structure and maintenance into the benchmark statement.

- February 23, 2021
- Changed notation to Pi(t) where i is an exchange and P is the last price.
- Added Mathematical Formulation.

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 fulfil 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).

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