Nest RWA (Plume)

A curated basket of Nest's real-world-asset vaults on Plume as a single entry point for diversified Nest RWA exposure (tokenized Treasuries, private and public credit, basis strategies) without picking individual vaults. Admits Nest vaults at Prime or Core tier above the basket TVL floor, score-weighted with a pivot at the Core floor (5.0). As a single-protocol basket the issuer cap is disabled and the fifty percent single-name cap spreads weight across Nest's vaults. Nest's underlying RWA classifications are currently provisional and pending RWA-specialist sign-off, so the basket reflects conservative risk scores.

Summary

Constituent Type

Vault (each constituent is a DeFi vault holding a qualifying terminal-underlying asset)

Minimum constituents are 3.

Eligibility Rule

A Nest vault on Plume (chain 98866) is eligible when its Philidor risk tier is Prime or Core and its TVL is above the basket TVL floor. The universe is constrained to protocol Nest on Plume. Constituents that drop below Core tier or under the TVL floor are removed at the next rebalance. Because this is a single-protocol basket, the issuer cap is disabled. The single-name cap is the diversifying constraint.

Structured form

The rebalancer reads this exact shape.

{
  "asset_category": [],
  "review_status": ["reviewed"],
  "terminal_underlying_category": [],
  "terminal_underlying_min_backing_offchain_pct": null,
  "tier": ["Prime", "Core"]
}

Weighting Rule

Each Nest vault receives a raw weight proportional to its risk score above 5.0 (the Core tier floor), normalised so the basket sums to the full allocation. Nest vaults currently score in a tight 6.9 to 7.1 band, so weights are near-equal. The pivot keeps every eligible Core/Prime vault positively weighted.

Formula

w_i ∝ max(0, risk_score_i − 5.0); normalize so Σ w_i = 1.0

Worked Example

Constituent	Risk Score	Raw Weight (score - pivot)	Normalised Weight
Constituent A	7.00	2.00	38.10%
Constituent B	6.50	1.50	28.57%
Constituent C	6.00	1.00	19.05%
Constituent D	5.50	0.50	9.52%
Constituent E	5.25	0.25	4.76%
Sum	-	5.25	100.00%

This table shows the raw normalisation step before cap redistribution. If a constituent exceeds the single-name cap or falls below the floor, the rebalancer iteratively trims or removes it and redistributes the excess across the remaining names in proportion to their current weights, repeating until all caps and the floor are simultaneously satisfied within 50 iterations.

Caps

Cap	Value	Meaning
Single-name	50%	No constituent may exceed this share of the basket.
Issuer	100%	Cross-chain deduplicated; aggregate exposure to one issuer is bounded.
Floor	2%	Any constituent below the floor is dropped before final normalisation.

Refresh Schedule

Rebalances run on the last business day of March, June, September, and December at 16:00 UTC. They also fire when any constituent crosses a tier boundary, when a hard-fail flag triggers, when an active-incident clamp applies, when a constituent's score moves up by at least 1.0, or when a constituent's score moves down by at least 0.3. The asymmetric thresholds reflect the institutional client posture because routine upward APY drift should not churn the basket, but any meaningful downward move on a current member must trigger requalification so deteriorating exposures are removed promptly. Rating-triggered rebalances are throttled to at most one every 30 days. Calendar rebalances always fire and are not throttled.

Structured form

The rebalancer reads this exact shape.

{
  "calendar_day": "last_business_day",
  "calendar_months": [3, 6, 9, 12],
  "calendar_time_utc": "16:00",
  "rating_move_throttle_days": 30,
  "rating_move_triggers": [
    "tier_change",
    "score_delta_ge_1_0",
    "score_delta_down_ge_0_3",
    "hard_fail_flag",
    "active_incident_clamp",
    "new_eligible_entrant",
    "methodology_version_change"
  ]
}

Halt Conditions

The rebalancer enforces the following halt-closed invariants. When any of these fails the rebalance aborts and the prior published version is preserved. Alerts page the on-call.

ID	Description
I1	Every constituent must have a non-null issuer_id and risk_score and review_status = "reviewed". Otherwise the constituent is rejected.
I2	The eligible set must contain at least min_constituents names. If it falls below, the rebalance aborts and the prior published version is preserved.
I3	Eligible-set turnover versus the prior version must not exceed 50%. A higher turnover triggers a "universe shock" abort with the prior version preserved.
I4	The indexer must have a successful run within the last 6 hours. Stale ratings abort the rebalance and the prior version is preserved.
I5	Cap-redistribution must converge within 50 iterations. Otherwise the rebalance aborts; equal-weight fallback only runs with an explicit operator flag.
I6	The published weights must sum to 1.0 within 1e-6. The database CHECK constraint refuses to commit a version row that violates this.
I7	Calendar and rating-move rebalances are mutually exclusive per basket via a Postgres advisory lock; a second concurrent rebalance exits cleanly.
I8	Every published version is content-hash signed; the current_version_id pointer is moved atomically only after constituents and signature are written.
I9	Every version is reproducible from frozen inputs stored in basket_version_inputs; CI replays the latest version and asserts byte-equality of canonical JSON.
I10	The methodology doc_url must resolve with HTTP 200 before publish. A missing or 404 doc aborts the rebalance.

Version

Current methodology version 1.0.1

Methodology document URL docs page

Change Log

1.0.1 Voice-compliant human prose reconciliation.

Nest RWA (Plume)

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