The document is a report on the Trakx Top 10 DeFi Index for March 2021. It provides analysis of the index's liquidity including asset allocation, cumulative performance, annualized volatility, turnover distribution between trading venues, maximum index capacity for daily and hourly 20% participation levels, daily and hourly participation levels for a $10M and $1M position, components' share of total turnover, and estimated market slippage for a $500k market order. The report also includes a lexicon to define terms used in the analysis.

1. Liquidity Analysis
Trakx Top 10 DeFi Index
March 2021
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2. SUN ZU Lab© All rights reserved, 2021

3. Trakx Top 10 DeFi Index March 2021
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Trading Venues Quotation Currencies
BINANCE BTC
COINBASE BUSD
HUOBI USD
USDT

4. Trakx Top 10 DeFi Index March 2021
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SUN ZU Lab© All rights reserved, 2021 2/6
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5. Trakx Top 10 DeFi Index March 2021
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6. Trakx Top 10 DeFi Index March 2021
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7. Trakx Top 10 DeFi Index March 2021
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8. Trakx Top 10 DeFi Index March 2021
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9. Lexicon
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Asset Allocation (1)
This chart presents the asset allocation of the index at the beginning of the period.
NB: the basket underlying the index is considered constant throughout the period.
Index Cumulative Performance (2)
This chart presents the cumulative performance of the index throughout the period.
Index Annualized Volatility (3)
This chart presents the 2-hour annualized volatility for the index throughout the period.
Volatility is calculated using a Garman-Klass indicator to account for intraday.
Turnover Repartiton (4)
This chart presents the repartition of turnover between the different venues for each
asset in the index.
Index Max Capacity for Daily 20% Participation (5)
This chart presents the max capacity for a daily 20% asset participation. For each asset,
in the index, a volume is calculated each day corresponding to a 20% participation.
The maximum index capacity is then calculated based on those volumes and the individual
weights. The legend shows the average daily capacity over the period.
NB: the calculation is such that each day no asset has an individual participation
above 20%. In other words, the index capacity is limited by the 20% participation
for the least liquid component.
Index Max Capacity for Hourly 20% Participation (6)
This chart presents the max capacity for an hourly 20% asset participation. For each asset,
in the index, a volume is calculated each hour corresponding to a 20% participation.
The maximum index capacity is then calculated based on those volumes and the individual
weights. The legend shows the average hourly capacity over the period.
NB: the calculation is such that each hour no asset has an individual participation
above 20%. In other words, the index capacity is limited by the 20% participation,
for the least liquid component.
Index Daily Participation (7)
This chart presents the daily participation for each asset for an index equivalent of $10M.
For each asset in the index, the size required for a $10M position is calculated and
compared to the volume of the day to obtain the daily participation. Only the 3 least
liquid assets (i.e. the 3 highest participations) are shown each day.

10. Lexicon
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Index Intraday Hourly Participation (8)
This chart presents the hourly participation for each asset for an index equivalent of $1M.
For each asset in the index, the size required for a $1M position is calculated and
compared to the volume of the last hour to obtain the hourly participation. Only the 3
least liquid assets (i.e. the 3 highest average participations) are charted.
Index Components Share of Turnover (9)
This chart presents the share of turnover for index components. For each asset in the index
the turnover of each asset in compared to the total turnover in the index. The chart
shows the 3 assets with the highest average share in the total index turnover.
Index Equivalent Market Slippage for a $500K Market Order (10)
This chart presents the index equivalent slippage for a $500K market order. For each
asset in the index, a quantity is calculated for an index equivalent of $500K. Based
on the 2-hour average order book depth, a slippage is calculated for each asset.
The chart shows the index equivalent slippage based on each asset's weight and
individual slippage.
NB: slippage is the difference between mid-price and average execution price for the
quantity requested.
Market Slippage for a $500K Index Equivalent Market Order (11)
Those 2 charts present the individual slippage for each asset for a $500K index
equivalent market order. For each asset in the index, a quantity is calculated for
an index equivalent of $500K. Based on the 2-hour average order book depth a
slippage is calculated for each asset. The top chart shows the asset slippage for
the 3 largest assets in the index, the bottom chart shows the asset slippage for
the 3 least liquid (i.e. the 3 highest average slippage).
NB: slippage is the difference between mid-price and average execution price for the
quantity requested.
Index Equivalent Market Slippage vs. Market Order Size (12)
This chart presents the 95% confidence interval (CI) for the index equivalent slippage as
a function of index transaction size. Every 2-hour an index equivalent slippage is
calculated for each size on the X-axis based on averaged order book depth for each
asset in the index. Those time series are averaged throughout the period. The chart
shows the 95% confidence interval on both sides (buy and sell) for the index impact.