Bitwise Premium+ RWA Vault

Risks of Tokenized Real World Assets. Tokenized RWAs depend on off-chain legal structures, custodial arrangements, and enforcement mechanisms that differ from traditional securities. The enforceability of claims, accuracy of token-to-asset mappings, and reliability of off-chain custodians are subject to uncertainty. Bitwise may not investigate, or may not be able to fully investigate, the protocols, tokens, assets, or teams underlying the vault’s positions; the information available to BIM may be incomplete, unaudited, or unverifiable. Even where Bitwise conducts due diligence, there is no guarantee that such diligence will identify all material risks or that the assets will perform as expected. Neither BIM nor Ember Protocol independently verifies representations made by third-party RWA providers.

Additionally, changes in the legal treatment of tokenized RWAs may adversely affect the value or transferability of vault holdings.

Leverage Risk. The vault employs 3x–5x leverage, which amplifies both gains and losses. In adverse conditions, leveraged positions may be liquidated automatically by the underlying DeFi protocols, potentially resulting in significant or total loss of vault assets. Liquidation thresholds are set by third-party protocols and may change without notice.

Interest Rate and Negative Carry Risk. The vault’s returns depend on the spread between RWA yields and DeFi borrowing costs, amplified by 3x–5x leverage. Borrowing rates on DeFi platforms are variable and determined by protocol utilization; they may spike rapidly and without warning. When borrowing costs exceed underlying asset yields (negative carry), the leveraged positions generate losses that are magnified by the vault’s leverage ratio. Sustained negative carry could materially erode the vault’s NAV.

Collateral and Credit Risk. The vault holds tokenized RWAs subject to the credit risk of their underlying obligors and issuers. Defaults, payment delays, or credit deterioration may reduce the value of vault holdings. The vault does not independently verify the creditworthiness of underlying obligors.

Concentration Risk. The portfolio may be concentrated in a limited number of asset types, issuers, or protocols, increasing the impact of adverse events affecting any single position. Diversification targets do not guarantee effective loss mitigation. The vault may depend on a small number of token issuers and their affiliated oracle infrastructure for a significant portion of its NAV. Failure, fraud, or delay by a single issuer or oracle provider could affect a disproportionate share of the vault’s reported value.

Counterparty Risk. The vault interacts with multiple third-party protocols, asset issuers, and service providers. The fraud, failure, insolvency, or operational disruption of any counterparty could result in losses. Neither BIM nor Ember Protocol guarantees the performance or solvency of any counterparty.

Smart-Contract Risk. The vault and the third-party protocols it interacts with (including Morpho and other DeFi platforms) rely on smart contracts that may contain exploitable vulnerabilities. Security audits cannot guarantee that all vulnerabilities have been identified. A smart-contract exploit could result in partial or total loss of vault assets.

Liquidity Risk. Withdrawals settle on T+4 (up to 25% of vault) or T+7 (above 25%). Immediate liquidity depends on available reserves, which are not guaranteed. In periods of stress or high redemption volume, the vault may unwind positions at unfavorable prices, and settlement may exceed stated timeframes. Do not deposit assets you may need to access immediately.

Valuation and Oracle Risk. The vault relies on price oracles to deliver off-chain asset valuations onchain for NAV calculation, leverage management, and liquidation monitoring. An oracle is a messenger, not a valuer, and it can only be as accurate and current as the upstream data it relays.

For tokenized RWAs, the underlying value is typically computed off-chain, whether by the token issuer, its affiliates, a fund administrator, or other third parties, and may be updated daily, weekly, or less frequently. A stale feed treated as a live price can cause mispricing of the vault’s assets. Where valuations are computed by a token issuer or its affiliates, those parties have an inherent conflict of interest in how and when they update pricing data, particularly during periods of stress when the incentive to delay recognizing losses is strongest.

Neither BIM nor Ember Protocol independently verifies or audits these valuations, and neither has the ability to compel timely or accurate updates from third-party oracle providers or issuers. BIM’s strategy recommendations are based on information that is largely provided by or derived from the same parties whose assets the vault holds; BIM has limited ability to independently verify this information or to detect fraud, manipulation, or error in third-party valuations. The credit quality, performance, and condition of off-chain assets underlying the vault’s RWA positions are not observable in real time onchain; deterioration in off-chain asset quality may not be reflected in oracle-delivered valuations for an extended period. The vault’s NAV and reported returns have not been compiled, reviewed, or audited by an independent accountant.

Oracle-delivered data is also subject to manipulation (particularly where sourced from thin or single-source markets), single points of failure, and circuit-breaker gaps that may freeze reported values during periods of extreme volatility.

NAV per share is calculated using these oracle-sourced inputs and may not reflect the real-time or realizable value of the vault’s underlying assets at the time of deposit or withdrawal. Because withdrawals are processed at NAV per share on the settlement date, a depositor who withdraws before a downward oracle correction or valuation restatement may receive more than the vault’s assets would support at corrected values. Any resulting shortfall is borne by remaining depositors, and no clawback or adjustment mechanism exists at the smart-contract level.

Regulatory Risk. The regulatory treatment of digital assets, tokenized securities, and DeFi protocols is uncertain and evolving. Regulatory changes could affect the vault’s operations, the legality of deposits or withdrawals, the transferability of PPLUS tokens, or the vault’s availability in certain jurisdictions.

Strategy Risk. The vault’s performance depends on BIM’s strategy recommendations and Ember Protocol’s execution. There is no guarantee the strategy will achieve its target return. BIM’s recommendations are non-discretionary—Ember Protocol may reject, modify, or override any proposed transaction. Changes in market conditions or protocol parameters may render the strategy less effective or unviable. BIM earns management and performance fees based on the vault’s assets and returns, which may create an incentive to recommend higher-risk or higher-returning strategies. BIM and its affiliates may have financial interests in, or commercial relationships with, protocols, issuers, or service providers used by the vault.

Protocol Risk. The vault depends on Ember Protocol’s technical capabilities, financial viability, and regulatory compliance. Ember Protocol controls the vault’s smart contract infrastructure, private key and multi-signature arrangements, front-end interfaces, and all transaction execution. A compromise of Ember Protocol’s key management, operational security, or front-end systems, whether through external attack, insider action, or operational failure, could result in the loss or theft of vault assets. The vault operates on the Ethereum blockchain, which may experience network congestion, gas-price spikes, outages, hard forks, or chain reorganizations; any of these could prevent timely rebalancing, liquidation management, or withdrawal processing, with outsized consequences for a leveraged strategy. Depositors have no direct contractual relationship with Bitwise and limited practical recourse against Ember Protocol, which is incorporated in Panama. Enforcement of any rights may be difficult, costly, or impractical given the pseudonymous nature of blockchain transactions and cross-jurisdictional complexities. If Ember Protocol ceases operations or faces regulatory action, depositors may experience withdrawal delays or total loss of deposited assets.

Stablecoin and Depeg Risk. USDC and any other stablecoins used by the vault may deviate from their intended dollar peg. A sustained depeg could result in material losses. Stablecoins are also subject to the credit risk and reserve adequacy of their issuers.

Variable and Non-Guaranteed Returns. The target return of 10%+ is not guaranteed. Actual returns may be zero or negative. Returns depend on strategy performance and market conditions, not on any algorithmic interest rate model. Past performance is not indicative of future results.

Geofencing and Access Control Risk. The vault relies on Ember Protocol’s geofencing to restrict access by U.S. Persons and sanctioned persons. No access-control technology is infallible. Circumvention could expose the vault, its service providers, and depositors to regulatory risk or enforcement actions. Geofencing failure constitutes a Material Breach under the Vault Curator Agreement.

No Insurance or Government Protection. Deposits are not insured by the FDIC, SIPC, or any other governmental or private insurance program. There is no guarantee of return of deposited assets.

Tax Risk. The tax treatment of DeFi vault deposits, vault tokens, and related transactions is uncertain and varies by jurisdiction. You are solely responsible for determining and satisfying all tax obligations arising from your participation in the vault, including any obligations related to deposits, withdrawals, token transfers, and the receipt of returns.