R2
Senior
Downside Protected
Shield
Mandate
Shield holds $141.8M in four late-stage companies and sells a public technology index against all of it. What is left on the vault is the spread between a private book and the market it will eventually list into.
The hedge ratio is set on the epoch boundary and has run between 0.55 and 0.80 since the vault opened. It costs the vault roughly 4.2% a year in carry, and it is the reason Shield is the only equity strategy in the House rated R2. Members who want the beta buy it somewhere else.
Carrying Mark
1.15× on cost
Capital Deployed
$141.8M in this vault
Risk Tier
R2 · Senior
Capacity
74.6% of $190.0M
Members
118 allocating
Lead Exposure
Fintech at 34%
Lock-up
18 months
Capital deployed
$141.8M
Capacity
$190.0M
Carrying mark
1.15×
Members
118
Risk
Shield is marked at 1.15× and it will always mark below Anchor, because the hedge takes the top off. That is the trade and it is stated before allocation, not after a good quarter.
The hedge is proved rather than promised. Net exposure is attested every block alongside the book, and if the ratio drifts outside its stated band the vault stops taking new capital until it is back inside. It has drifted twice, both times inside one epoch. The residual risk is basis: a private mark and a public index do not move together, and in a dispersion event the hedge can lose on both legs.