Index

Maintenance.

Quarterly rebalance. Two tiers of removal. Operational rules for everything that happens between scheduled cycles.

Calendar

• Rebalance. Quarterly, effective Apr 1, Jul 1, Oct 1, Jan 1.
• Eligibility review. Conducted in the 75 days following each quarter end (matches the BDC 10-Q filing cycle).
• Hedge layer. Continuous against real time proxy prices, independent of constituent rebalance cadence.

Removal triggers

Routine. Wait for next rebalance.

Position holds its weight; hedge stays in place; removed at next quarterly cycle if the trigger persists.

• Distribution coverage below threshold for two consecutive periods.
• Hedge correlation with assigned counterpart drops below class minimum.
• 12-month AUM drop or senior team turnover above documented threshold.
• Strategy drift in two consecutive 10-Q or N-CEN filings.

Force majeure. Immediate removal.

Removed at next index publication. Cash buffer absorbs the freed weight. Hedge stays open until the position is fully exited.

• Bankruptcy or receivership.
• Delisting from primary exchange.
• Distribution suspension or cut greater than 50% on a single declaration.
• Regulatory enforcement action.
• Material accounting restatement covering more than one prior period.
• Loss of qualified custodian status or allowlist enforcement (tokenized constituents).

Cash buffer

Mid-cycle removed weight goes to a notional cash buffer (proxied by a tokenized money market or 3-month T-bill index) until the next scheduled rebalance. It is not proportionally redistributed across remaining constituents, which would create whipsaw and incidental concentration outside the rule book.

Additions

Only at scheduled rebalances. Exception: if the index drops below 5 constituents after a force majeure removal, an emergency addition cycle is published within 10 business days drawing from the documented waitlist of next-eligible names.

Corporate actions

• Distributions. Reinvested into the constituent at the ex date close. Total return calculation captures the distribution.
• Splits and reverse splits. Per share figures adjusted at the effective date. Constituent weight unchanged.
• Mergers and acquisitions. Cash acquisitions: proceeds move to the cash buffer through next rebalance. Stock for stock: receiving entity inherits the constituent slot only if it independently meets eligibility; otherwise treated as force majeure.
• Spin offs. Spun entity inherits a pro rata share of parent weight for the current cycle. Continued inclusion at next rebalance requires independent eligibility.
• Special distributions above 5% of position value. Treated as a distribution; an interim NAV adjustment is published.
• Ticker, name, domicile changes. No methodology impact. Logged in the changelog.

Discretionary action policy

Cases not covered by the published rule set are handled under a documented discretion policy:

• No selection or weighting overrides. Selection and concentration outputs are taken from the rule based engine without override.
• Operational discretion only. Permitted for execution timing and source fallback within published bands. Logged on chain.
• Methodology gaps. Flagged and addressed via the standard versioning process. No retroactive amendments.

Governance

• Versioning. Methodology and maintenance documents are versioned and changelogged.
• Material changes. Published 60 days before effective date with a 30-day public comment window.
• EY oversight. Ernst & Young LLP reviews the rule set and its execution annually. Material changes trigger interim review.
• Auditable rule set. Selection, weighting, hedge sizing, and removal run as deterministic code against the published thresholds.
• Real time keeper monitoring. Keepers running the allocator, hedge sizer, NAV oracle, and roll engine publish run status, last execution, and outputs to a public dashboard.
• On chain audit trail. Every keeper run logged on chain with inputs, outputs, and code commit hash.