Total Return Indexes

In a price return index, the quantity per asset is unchanged between rebalances, whereas in a total return index, the quantity per asset is updated daily. The quantity per asset tomorrow is given by today’s quantity plus the quantity generated from staking. We use this quantity to calculate the index value using Vinter’s reference rates and the standard formula described in the section Calculation of our Basket Indexes. The three key variables in a total return index are

• $Y$: Yield,

• $Q$: Quantity, and

• $U$: Utilization rate.

Using informal notation, we can say that the index stakes the quantity $Q*U$, which increases the quantity per asset with $Y*Q*U$. More formally, the daily quantity increase of an asset $i$ between day $t$ and day $t+1$ is given by

$Q_i (t+1)-Q_i (t) = Y_i (t). Q_i (r).U_i (t)$

where $Y_i(t)$ is the daily staking yield, $U_i(t)$ is the utilization rate, $Q_i(r)$ is the quantity, and $r$ is the most recent rebalancing date on day $t$. Notice there is no compounding as $Q_i(r)$ is unchanged between rebalances.

The yield per asset is calculated as the median of readily available yield estimates from selected staking providers. The median is robust against fluctuations in yield values and is a representative measure of the market yield for a typical investor. There is a natural lag in the calculation, where the data used to calculate the yield on a particular day must be in the database the previous day for validation purposes.

The utilization rate per asset can be thought of as the percentage of the assets under management that is staked. The rate is determined based on factors including lock-up periods and liquidity and ranges between 0% and 100%. The rate is set on the rebalancing day and is constant between rebalancing dates. Before a rebalance, all staked assets are unwound for a brief period. No yield is generated during this period, and the utilization rate is set to zero. The duration of this period depends per asset, based on the lockup period for each asset.

Vinter ADA Staking Index ("CASL")

The Vinter ADA Staking Index (“CASL”) is a total return index with only ADA as a constituent. The index does not reinvest the obtained yield. The staking yield is not fixed but floating, meaning that higher staking yields will translate into a better return on investment. This is a total return index where investors reap the rewards from staking. The index is not rebalanced.

Dissemination & Construction

• Currency: USD

• Type: Total return

• Utilization rate: 100%

• Reinvesting: No

• Launch date: 2024-03-06

• Base date: 2024-03-06

• Base value: 0.7137

• Calculation: Daily at 4.00 pm London time

• Publication: Daily after 4.10 pm London time

Identifiers

• Full name: Vinter ADA Staking Index

• Ticker: CASL

• ISIN:

• FIGI:

• Bloomberg:

• Refinitiv:

• Vinter API: vntr-stada-1-d