Income, Fees & Yield
Income
The Fund invests in crypto basis positions (spot and futures on the same underlying crypto commodity), staking and/or U.S. Treasury securities. Interest income from these securities is recognized each Market Day and is reflected in the Fund's NAV.
A market day is each day that both the New York Stock Exchange and the Federal Reserve Bank of Philadelphia are open. Each market day starts at 5:00pm ET and continues until 4:59pm ET on the following day, on a given day that NYSE and FRBP are open.
Fees
The Fund incurs certain expenses necessary for daily operations, including custodial, administrative, and audit fees, and pays a 75bps management fee to the Investment Manager. These expenses are accrued each market day and are reflected in the Fund's NAV.
The Investment Manager has elected to waive the management fee and cover all fund expenses until the Fund's AUM exceeds $50MM. Until that threshold is reached, investors incur no expenses.
NAV per share
How is USCC NAV calculated?
USCC’s Net Asset Value per Share (NAV/S) is calculated as total assets minus total liabilities, divided by outstanding shares. NAV/S fluctuates daily based on accrued income and mark-to-market movements across all portfolio positions. While the 30-day yield reflects performance over a trailing period, the daily NAV/S captures snapshots of the economic value of the portfolio.
USCC’s NAV is calculated each business day using 4:00 PM ET market marks across all holdings. Each position is valued at its respective closing or reference price at the daily mark, and these values are aggregated to determine total fund assets. Outstanding shares are determined based on prior-day balances adjusted for subscriptions and redemptions.
Marking Methodology:
Spot Assets (BTC, ETH, SOL, XRP): 4:00 PM ET Coinbase closing price
CME Futures: 4:00 PM ET CME settlement price
Liquid Staking Tokens (lsETH, weETH, JitoSOL): 4:00 PM ET conversion rate
Staking Income: Accrued rewards from 5:00 PM ET (prior trading day) to 5:00 PM ET
OTC Forwards and Options: Dealer-provided OTC marks
Daily mark-to-market adjustments ensure that NAV accurately reflects current portfolio valuations, providing transparency and enabling subscriptions and redemptions even when positions experience temporary valuation fluctuations.
Why does the USCC NAV sometimes decline?
Daily NAV reflects mark-to-market gains and losses, including unrealized valuation changes that have not been realized through trade execution. When market prices move between daily valuation points, those changes flow through NAV even if the economic value of the strategy remains intact.
For example, on December 1st, the fund enters a basis trade by purchasing 100 SOL spot at $130 and selling 100 November SOL futures at $131. By December 2nd, spot rises to $135 (+$500), while the futures price increases to $136.5 (−$550 on the short) as the basis widens from $1.00 to $1.50. This results in a $50 mark-to-market NAV decline driven by basis expansion.
This loss is unrealized, as no positions have been closed, and reflects temporary mark-to-market basis movement, which can cause the NAV to decline even though the expected value of the trade remains the collection of the $500 basis as the futures contract converges to spot at expiry.
Interest accrual
USCC works in a similar way to Lido's wstETH. You are minted a static amount of tokens and your token balance stays the same unless you mint, burn, or transfer. The NAV increases over time, allowing you to redeem a share of USCC for an increasing amount of U.S. Dollars or USDC.
How is USCC yield calculated?
USCC’s 30-day yield is calculated based on the change in NAV over the applicable period and incorporates all realized and unrealized income, including basis accrual, staking rewards, and mark-to-market effects. The yield reflects the economic performance of the portfolio rather than cash distributions alone.
Last updated