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Precious Metals
Crypto Assets Benchmark Statement
This document is a benchmark statement of Invierno AB, a company limited by shares registered in the Kingdom of Sweden. This benchmark statement is published in compliance with Article 27 of Regulation 2016/1011 on indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds (the ”BMR”). This benchmark statement was first published on December 30, 2020, and updates are made as per the version control. The key elements for each benchmark provided are published and made available through a methodology. This benchmark statement states the regulatory framework for the administration of the Single Metals Indexes by Invierno AB (the “Company”). Invierno AB provides non-significant benchmarks under the registered trademark “Vinter”.
Invierno AB was authorized by the Swedish Financial Supervisory Authority (“Finansinspektionen”) with an effective date of June 16, 2020, as a registered Benchmark Administrator under the BMR.
The European Securities and Markets Authority (“ESMA”) has included Invierno AB in its register of Benchmark Administrators approved to carry on the regulated activity of administering a benchmark.

About the Methodologies

The Metal Indexes are a family of benchmarks. The indexes are developed to provide a rule-based and transparent way to capture the value of precious metals whether they are presented individually (single asset indexes) or in a basket (portfolio indexes) containing multiple assets and instruments. The methodologies clearly determine what constitutes an active market for the purposes of each index, and establishes the priority given to different types of input data. The methodologies take 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 each benchmark is intended to measure.

Approval Process of New Indexes

The Company’s Product Development Department develops each index listed at vinter.co. The Product Maintenance Department manages the operations of the indexes. The Product Maintenance Department analyses each index, tests its robustness, reliability and performs technical back-testing. The index is then presented to the independent Oversight Function which will review the indexes' regulatory compliance according to Article 5(3) of the BMR before approval. Finally, each index is presented to the Board of Directors of the Company for final approval.

Changes to the Index Calculation

The procedures for consulting on any proposed material change in this benchmark statement and the rationale for such changes are included below. This includes a definition of what constitutes a material change and the circumstances in which the Company is to notify users of any such changes. The procedures required regarding proposed material changes provide for advance notice, with a clear time frame, that allows analyzing and commenting upon the impact of such proposed material changes. Those comments and the Company’s response to those comments are made accessible after consultation with the Oversight Function, except where confidentiality has been requested by the originator of the comments.

Material Change

A material change of a benchmark is any change to the index methodology that would lead to a substantial change in index trajectory. For example and without limitation, material changes could include:
  • Material/significant changes in the methodology used to develop a benchmark
  • Cessation of the provision of a benchmark
  • Change of benchmark administrator or calculation agent
  • Cessation of registration of an administrator

Notice

All material changes are subject to an advance notice published by the Company. The notification will be sent to users as well as published 60 days prior to the change and will include a clear time frame. The notification is made in order to allow index users and market participants to adjust their processes. The Company may apply a shorter notice at its own discretion if the affected index is not being used nor is licensed to any third party using it for its financial product(s). All recipients of the notice will be allowed to comment on the proposed change(s). The Company will publish all comments except when the commenting party explicitly has requested confidentiality.

Discontinuation

If an index is to be discontinued, the Company will publicly announce the decision six months before the end of the index calculation if there are existing financial products linked to the index. A risk analysis will be conducted and presented to stakeholders who will be consulted and offered a transition period to ensure a safe transition before the index is definitely terminated.

Yearly Review

Methodologies and Benchmark Statements are reviewed at least once a year. Feedback from index users and other relevant market participants is considered during the review process. Material changes are communicated in accordance with this benchmark statement.

General Disclosure

Invierno AB has as a registered benchmark administrator under the BMR applied the following policies:
Policy
Article in the BMR
Ethical issues handling policy
Article 14
Rules of procedure for and instruction to the index committee
Article 4 and 11
Control framework and oversight function policy
Article 5-8
Conflicts of interest handling policy
Article 4
Complaints handling policy
Article 7.1, 8.1(g) and 9

Principles and Requirements

The Company’s provision of benchmarks shall be governed by the following principles and requirements with respect to its input data:
  1. 1.
    the input data shall be sufficient to accurately and reliably represent the market or economic reality that the benchmark is intended to measure;
  2. 2.
    the input data shall consist of transactional data, if available and appropriate. If transaction data is not sufficient or is not appropriate to represent accurately and reliably the market or economic reality that the benchmark is intended to measure, input data that is not transaction data may be used, including estimated prices, quotes and committed quotes, and/or other values;
  3. 3.
    the input data shall be verifiable;
  4. 4.
    clear guidelines regarding the types of input data, the priority of use of the different types of input data and the exercise of expert judgment shall be published;
  5. 5.
    the input data shall be of readily available data from eligible exchanges, and no contributed or submitted data will be considered.

Current Indexes

For a full description of the market or economic reality measured by the benchmarks, read the Single Metals Methodology available at methodology.vinter.co.
The methodology for each index referred to above comply with article 12 of the BMR and:
  1. 1.
    is robust and reliable;
  2. 2.
    has clear rules identifying how and when discretion may be exercised in the determination of that benchmark;
  3. 3.
    is rigorous, continuous, and capable of validation including, where appropriate, back-testing against available transaction data;
  4. 4.
    is resilient and ensures that the benchmark can be calculated in the widest set of possible circumstances, without compromising its integrity;
  5. 5.
    is traceable and verifiable.

Maintenance

The Product Maintenance Department is responsible for the daily operations of the indexes which includes determination of index values, calculations, rebalancing, and dissemination of indexes. The department is responsible for the provision of benchmarks.

Lack of Input Data

If a pricing source does not publish market quotations during the time window, the course of action will be determined by the Index Committee in accordance with the Index Committee Policy.
Reasons for lack of input data include but are not limited to: closure for public holidays, introduction of limited trading hours, irregular trading activities, and technical breakdown in the systems or means of communication.

Monitoring and Validation of Input Data

The Company continuously assesses the reliability of the data provided regarding the availability and consistency of each data source. Data is compared across independent data sources. Anomalies, such as abnormal deviation from the median, are investigated. Data sources with substantial and persistent anomalies are at risk of being removed from the list of eligible data sources. Accuracy is verified by comparing the available data with other trusted data sources.
Validated transactions from eligible data sources are used as input data and are monitored to ensure reliability and to detect manipulated transactions. The time between each request for data and the number of times a request was denied is registered. The number of missing values, the number of received data points and the time interval between consecutive transactions are also registered in order to control the data quality.
Stakeholders are informed about removed transactions if the impact on index return is considered to be substantial.

Data Corruption Procedure

The Product Maintenance Department uses an anomaly detection procedure to identify potential data corruption. In the case of data corruption. An investigation into the reasons behind the corrupted data will take place in order to remove possible vulnerabilities from the data-collection process and to locate the source of the corrupted data. Erroneous internal computations are corrected whenever possible. If correction is not possible, the source is removed as a component in the calculation of the index. If the erroneous source is external, the reason behind the error will be investigated. If the error is not corrected, the source will be removed as a component in the calculation of the index. A consequence analysis will be performed where financial and legal consequences, with respect to corrupted data, are assessed and a structural review of relevant computational schemes are performed. Affected clients will then be informed about the error, its potential legal and financial consequences, and relevant recalculations. Any conduct that may involve manipulation or attempted manipulation of an index is reported to the Swedish Financial Supervisory Authority. Calculation errors are corrected and made available to stakeholders if technically possible and economically viable. Stakeholders have the right to require a corrected value if they can show that the absence of a corrected value would risk the financial stability or drastically damage the stakeholder's reputation. In these situations, the company should act promptly.

Extraordinary Events

In extraordinary cases, discretion may be exercised in the administration of an index. A benchmark administrator shall have a methodology with clear rules identifying how and when discretion may be exercised in the determination of a benchmark (Art.12(1)(a) BMR). For the avoidance of doubt, all benchmarks governed by this statement shall, after an internal reasonableness control, have the possibility to be subject to discretion in the determination of the benchmark if:
  • the input data used in the determination of the benchmark is or appears to be of lower quality than equivalent input data that is not priorly designated in the methodology; or
  • a situation not covered by the methodology risks investor protection if discretion is made in the determination of the benchmark; or
  • an extraordinary event occurs which includes, but is not limited to, hacking of market participants, hacking of platforms providing input data, trading halts, regulatory action, legal action, suspected fraud by a regulatory authority, minimization of custodial capabilities, or loss of support from the industry including, but not limited to, market makers, custodians, regulated exchanges and publications with tier 1 domain authority.
Invierno AB will keep a record of discretion events exercised if applicable. The exercise of discretion is made in compliance with applicable policies and methodologies with respect to benchmark users, the integrity of the market, investor protection, and other market participants.

Responsibility, Authorisation and Distribution

  • Responsible for the implementation of this Statement: CTO.
  • Responsible for implementation control: CCO and Oversight Function.
  • Responsible for yearly review: Board of Directors.
  • Regulatory requirements: Article 11, 12, 13 and Annex II of the Benchmarks Regulation.

Disclaimer

Invierno AB is not a registered investment or tax advisor or a broker/dealer. The content of this document 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 on this document constitutes a solicitation, recommendation, endorsement, or offer by Invierno AB or any third party associated with Invierno AB to buy or sell any financial instruments in this or any other jurisdiction. Although best efforts are made to ensure that all information on this document is accurate and up to date, occasionally unintended errors and misprints may occur. Invierno AB (559207-4172) 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). 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.
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Outline
About the Methodologies
Approval Process of New Indexes
Changes to the Index Calculation
Notice
Discontinuation
Yearly Review
General Disclosure
Principles and Requirements
Current Indexes
Maintenance
Lack of Input Data
Monitoring and Validation of Input Data
Data Corruption Procedure
Extraordinary Events
Responsibility, Authorisation and Distribution