mWIN — Midas Wellington Income Opportunities

Aureum is an unregulated securitisation fund without legal personality, acting through Aureum Manco S.à r.l. The Compartment mWIN receives all assets, rights, claims, and agreements relating to the Notes. Limited recourse and non-petition are both statutory and contractual: investors have recourse only to Compartment assets remaining after satisfaction in full of Unitholder claims; claims extinguish once Compartment assets are realised; investors waive attachment and any winding-up petition; these provisions survive redemption, and Clause 9 of the Subscription Agreement prevails over any conflicting provision. The Issuer may under no circumstances be replaced as principal debtor.The orphaning chain: the Midas Purpose Trust, administered by Hawksford (Hawksford Trust Company Jersey Ltd as settlor, Hawksford Trustees Jersey Ltd as trustee, Hawksford Fiduciaries Jersey Ltd as enforcer), holds 100% of the ManCo's shares and the fund units issued by the SF and its compartments. Aureum Manco makes management decisions for the fund and compartments; Ernst & Young Luxembourg appointed as an auditor.

Luxembourg securitisation compartments must have a unitholder, so the Compartment issued 2 Units of USD 1 each, held by the Purpose Trust trustee and not acquirable outside the structure. The Notes rank behind them, but their entire entitlement is USD 2 of principal plus a symbolic USD 42 paid on redemptions, with no participation in portfolio returns: keeping the Units economically empty is what preserves the orphan structure.

The notes are offered without public offering or listing, outside the Securities Act under Reg S, with no Luxembourg or foreign authority approval, and constitute transferable securities under MiFID II. Platform-level eligibility excludes U.S. Persons and restricts the UK, China, and sanctioned jurisdictions (per Midas eligibility documentation).

The token is the note: a ledger-based registered security whose Register is the blockchain. Investors have no direct right to the Underlying Assets (Condition 8.1); exposure is a pass-through profit participation. Annex 2 confirms the Compartment holds the debt securities directly through the Wellington mandate: there is a management mandate at the compartment, custodied at Northern Trust.One clause is built for DeFi: where notes sit in a smart contract, expressly including collateralised lending arrangements, the greenlisted depositor with the contractual withdrawal right is the beneficial owner for the purposes of exercising rights, including redemption (Condition 2.2(e)).

Protection runs through three layers.

• Statutory segregation: the Compartment is a separate estate, with limited recourse, non-attachment, and non-petition undertakings that survive redemption.
• Orphaning: the Purpose Trust holds both the ManCo's shares and the Units, so no Midas party owns or controls the issuance stack, and the trustee can dismiss and replace ManCo managers at any time, without cause.
• Independent custody: assets sit at Northern Trust in a segregated account in the Compartment's name, with no rehypothecation rights (issuer confirmation, Aug 2026). A manager or custodian failure does not impair the assets; both are replaceable by the Issuer. Official notice period is not defined in the T&Cs.

The Income Opportunities Portfolio aims to generate attractive total return and realized income while preserving capital and limiting realized losses; the mandate runs unbenchmarked. Eligible instruments: senior secured and unsecured debt, subordinated debt, REIT corporate debt, inflation-linked securities, loan participation notes, repo and reverse repo, and the full securitized stack (agency MBS, CRT (CAS/STACR), non-agency MBS/CMBS/ABS, TBAs, covered bonds, CMOs including IO/PO and inverse floaters, CLOs); 144A and Reg S permitted; no private placements beyond 144A/Reg S/Section 4(2). Binding limits: IG weighted average rating; BBB/Baa capped at 50%; below-IG capped at 10%; unrated capped at 10% (middle of three agency ratings, lower of two, WMC-equivalent for unrated); single structured issuer or issuing trust capped at 5% of MV (governments exempt); portfolio effective duration 0 to 2 years, no per-security limit; USD-denominated, non-USD securities capped at 10% and 100% FX-hedged (99 to 101% band); no leverage (overdrawn on a settlement basis constitutes leverage); derivatives permitted (rate, credit, index futures; IRS, TRS, CDS; bond and swap options; TBAs) for risk management and in pursuit of the objectives. Limits are measured at time of purchase; passive breaches require client notification within 30 days and consultation; expected ratings may be used for new issues.

The live exposure (Wellington-provided snapshot on the transparency page, 28 August 2026, excluding the liquidity sleeve) puts the book at 55.51% asset-backed securities, 19.88% credit, 18.91% mortgage-backed, and 5.69% cash and equivalents. By rating, the portfolio sits high in the capital structure, with AAA-AA rated securities taking almost 80% of the portfolio. Allocations reflect active management and dated snapshots, and will change as the strategy is managed.

Wellington's risk stack is institutional and documented: proprietary enterprise risk system, provides mandate-specific market-risk reporting and firmwide consolidation; the Portfolio Management Tool (PMT) gives real-time exposure views (MV%, CTD, CTSD), pre-trade what-if analysis, and a compliance engine holding each client's guidelines for immediate pre-trade testing; LiEF (Wellington's Liquidity Evaluation Framework) simulates portfolio liquidation timelines and costs, including urgency-cost tradeoffs; Bloomberg PORT and Yield Book supplement. Oversight layers: the lead PM is accountable, with the GPS group (Investment Risk & Performance Strategy) monitoring market risk independently, Product Management investment directors reviewing consistency, and the Investment Risk Review Group reporting into the Investment Risk Oversight Governance Committee and the Executive Committee; management teams formally review each portfolio team roughly every 18 months.

Wellington's LiEF simulation for the mWIN model portfolio (7 July 2026; 82 positions, ~USD 100m market value) quantifies the liquidation profile. In current market conditions, 99% of the book liquidates within 1 week and 100% within 1 month; the expected path clears roughly two thirds of the portfolio on day one and completes within 6 to 8 days, with the conservative (low) path completing in about two weeks. Total transaction cost is 0.24% for an orderly liquidation and 0.71% for an immediate fire sale of the entire book, with the fire-sale premium decaying to near zero by approximately day five.Under LiEF's stressed conditions, approximately 68% of the book liquidates within 1 week and ~98% within 1 month, with expected transaction cost of roughly 120 bps and up to ~295 bps in a stressed fire sale. At sector level, Treasuries and agency passthroughs carry 2 to 5 bps of transaction cost in both scenarios, while CMOs (0.63% normal, 1.88% fire sale) and the structured credit bucket account for most of the liquidation cost. Wellington notes the intervals are simulated on historical market conditions and actual liquidation results may differ.Against the redemption terms: the base-case profile is consistent with the T+1 operational settlement target, while the stressed case, in which roughly one third of the book requires more than a week to liquidate, is the scenario the pass-through payment drafting (settlement on Underlying Asset Receipt) is designed for. Until the holdback mechanism is implemented (targeted Q4 2026), a stressed instant redemption executes at the last published NAV while realized liquidation costs of 120 to 295 bps are borne by the NAV of remaining holders.

NAV per Note equals the value of the Underlying Assets less Costs, other Compartment liabilities, and the Unit Distribution Amount, determined on a fair value basis under applicable law, GAAP, and the Management Regulations, divided by notes outstanding.The Underlying Assets are valued at fair value (market prices), not at amortized cost, so the NAV reflects daily market movements. Northern Trust custodies and independently values daily (each Business Day is a Valuation Day); the Issuer publishes as soon as practicable after receipt of custodian pricing data, at latest within 2 business days, on-chain. Operationally, Midas takes the Northern Trust NAV report, accounts for in-flight deposits and redemptions and the internal liquidity sleeve, and pushes the NAV on-chain; sleeve yield accrues to the NAV. The Issue Price for subscriptions equals NAV per Note at receipt of cleared funds (no subscription fee applies).

Midas operates the primary oracle: vLayer cryptographically authenticates and notarizes the custodian's NAV communication off-chain, Midas combines it with on-chain data and publishes the daily token price, and a CRE (Collateral Reserve Engine) workflow then builds and pushes an independently verifiable attestation. Proof of Reserve flow is developed in collaboration with LlamaRisk and attests adequacy of reserves if >99.5% of assets by value are reconciled (<0.5% de minimis threshold due to slippage or market volatility).Attestation runs on a daily basis: Midas receives the Northern Trust report early morning CET and targets on-chain price publication before 1pm CET every business day (issuer, Aug 2026), aligning publication with the 1pm CET redemption cutoff so that requests submitted before the cutoff price at the freshly published NAV.The deployed CustomAggregator enforces a maximum per-update deviation of 0.27%, confirmed as the production cap, with min/max answer bounds and price submission gated to the oracle-manager role: an update within the onchain safeguards requires 3 signatures including Blockaid, and an update bypassing the safeguards requires 4 (issuer, DDQ Aug 2026). The staleness threshold is one month; a stale price triggers a recovery process requiring 4 approvers plus Blockaid. One month against a daily NAV cadence is a weak freshness guarantee at the contract level: the practical freshness control is operational, not enforced on-chain.On-chain verified: production feed live at Issue-Price scale ($130,822.93, updated 1 Sep 2026 08:07 UTC / 10:07 CEST), 30-day staleness tolerance confirmed on the consuming DataFeed wrapper, aggregator answer bounds immutable at $90,000–$140,000 — but the effective accepted band is $129,000–$140,000, because the wrapper separately rejects anything outside $129,000–$150,000.

The note accumulates coupon yield through daily NAV updates.

KYC/AML completion and greenlisting are conditions precedent; subscription requests specify amount and wallet; payment in USDC/Permitted Stablecoins at the Chainlink exchange rate.Notes are issued at the NAV-based Issue Price and credited atomically. The subscription agreement auto-terminates if no closing occurs within 60 days.

Issuer expectation: standard redemptions are processed within 1 to 2 business days in practice; the Underlying Asset Receipt condition is characterized as market-disruption protection, not a basis for indefinite delay, with the Compartment's liability fixed at the NAV lock. No contractual long-stop.At launch the live paths are instant (50 bps), standard, and Repay-and-Redeem; the holdback mechanism is announced but not yet implemented.

A documented unwind route for mWIN used as lending-venue collateral, contractually grounded in the T&Cs: the investor requests the unwind, posts a deposit of up to 2% of the redemption value, Midas reserves the redemption liquidity, and the position unwinds iteratively (redeem to USDC, repay debt, release collateral, repeat) at zero redemption fees, settling per cycle on standard-redemption timelines. Completing within the agreed timeframe returns the deposit; liquidation, abandonment, or timeout lets Midas release the reserved liquidity and apply the deposit against the cash drag incurred.

The Internal Liquidity Sleeve (up to 5%: cash, USDC/Permitted Stablecoins, tokenized T-bill exposure) is the first layer; the $10m MSL line sits on top, dedicated to mWIN and scaling with TVL under a platform policy of 10% of TVL for instant liquidity across Midas products. Contractually, facility borrowings are Compartment liabilities ranking ahead of the Notes in the Costs waterfall, and instant redemptions remain conditional on availability, with explicit reject, defer, and partial-processing powers.On an instant redemption, USDC is paid from the sleeve or the MSL pool net of the fee, tokens are burned, and the facility is repaid within 2 business days from asset liquidation. The holdback mechanism protecting remaining holders from stale-price redemptions is targeted for Q4 2026, with a proposed structure of ~5 to 10% withheld over the standard redemption period; until it is live, instant redemptions execute in full at the last published NAV.

Midas may halt deposit and redemption processing when market conditions cast uncertainty on the validity of the latest price, expected hours to days (per Midas platform documentation). Note-terms level: pass-through payment contingency, Pricing Disruption deferral, Depeg postponement, and the availability condition on instant paths collectively perform the gating function; there is no separate suspension clause.

USDC is canonical with the Chainlink USDC/USD feed as the Exchange Rate. It is worth noting that in case of a depeg event (>2% deviation of USDC), the Issuer is permitted to postpone until re-peg, or make a USD payment, at the Issuer's discretion with 2 BD notice.

Addresses provided by the Midas team and independently verified against the mainnet section of the official repository; all six are TransparentUpgradeableProxy instances in the repository's OpenZeppelin manifest.

mWIN enforces its allowlist at the token level: _beforeTokenTransfer requires the transferring parties to hold the mWIN-specific greenlist role (M_WIN_GREENLISTED_ROLE), so mWIN can only move between wallets and smart contracts whitelisted by Midas, with no enable/disable toggle at that layer. Transfer additionally requires the sending user to hold at least 1 mWIN in balance. The vaults' separate greenlist toggle (greenlistEnabled() = false on-chain) governs the platform-general GREENLISTED_ROLE and is off for mWIN because the token-level check supersedes it.

All six mWIN contracts are TransparentUpgradeableProxy instances under a single platform-wide ProxyAdmin, owned by the mainnet MidasTimelockController with a 48-hour minimum delay. Operational roles (greenlist, pauser, minter/burner, feed admin, vault admin) sit on the shared MidasAccessControl registry under M_WIN-prefixed roles. Management vaults are dedicated per product, so the token, feed, and vault-manager keys are specific to mWIN; the deposit-vault and redemption-vault admin roles are the exception, shared across the Midas product range (issuer, Aug 2026). Two consequences follow: the administrative surface is largely product-segregated, with the dv/rv admins as a shared residual, and everything below the upgrade layer (fees, limits, pauses, greenlisting, price submission) executes without timelock delay. Signers operate on ForDefi MPC infrastructure. Addresses verified against the midas-apps/contracts repository (mainnet deployment configuration and OpenZeppelin manifest).On-chain state independently verified 17 August 2026 via public RPC (Ethereum mainnet only). Confirmed: ProxyAdmin owned by the timelock, all six proxy admin slots, 48-hour minimum delay, production fees, oracle parameters, role assignments.

Fordefi team representative confirmed that the Midas team manages the following EOA addresses through Fordefi: 0xd419...1227 0x532F...92d3; the X-of-N thresholds are internal MPC policy, not observable on-chain.

Daily role-gated submission bounded by the 0.27% deviation cap and min/max bounds, with the vaults' 0.2% variation tolerance as a second guard between feed and executable prices.

Platform stack: private review (Côme du Crest), contest-based public audits on Sherlock; $1,000,000 dual-platform bounty with Sherlock and Cantina, up to $500,000 for criticals.mWIN's deployment has been independently verified by Côme du Crest in two audits (Deployment Audit, 2026-06-25; Update Audit, 2026-08-21): deployed bytecode for the mWIN token, custom aggregator feed, and redemption vaults exactly matches source at identified repo commits, with contract state, proxy admin/timelock structure, and role assignments verified on-chain.

The product's daily operation runs through a chain of providers, each a potential single point of failure for a different function.