# TS-GMRI Methodology v1.4 Addendum — Fix-Aligned Snapshot Standardization

**Effective:** 29 June 2026
**Status:** Live
**Applies to:** TS-GMRI (cap-weighted flagship), TS-GMRI-EW, TS-GMRI-CAP20, TS-GMRI-AU, TS-GMRI-AG, TS-GMRI-PRE — all 6 live family members
**Backfill window:** 22 June 2026 (base) → 28 June 2026 (re-stamped under v1.4 convention)

## Summary

The daily snapshot for the entire TS-GMRI family is migrated from an arbitrary midnight UTC close to a **fix-aligned 14:00 UTC convention** that is time-coherent with the LBMA Gold/Silver/Platinum/Palladium PM fixes (15:00 London = 14:00 UTC during BST). PAXG, the largest single constituent (~80 % of v1.0 base weight), is now sourced from the **CF Benchmarks PAXGUSD_RR** Registered Benchmark — an FCA-authorised, UK BMR-regulated daily settlement — instead of the unregulated CoinGecko midnight close. The remaining liquid token fixes (XAUT, KAU, XAUM, KAG, XAGM, PGOLD) are taken from a CoinGecko 14:00 UTC hourly snapshot to preserve the same temporal anchor.

This is a **methodology enhancement, not an erratum**. The v1.0 published values for 22–28 June 2026 were internally consistent under their own snapshot convention; v1.4 simply replaces an ad-hoc snapshot convention with a regulator-grade, fix-aligned one. The change is disclosed under [IOSCO Principle 11–13](https://www.iosco.org/library/pubdocs/pdf/IOSCOPD415.pdf) on materiality of methodology revisions.

## Rationale

The v1.0 pipeline took a single midnight UTC snapshot of CoinGecko spot prices for all 18 constituents. Three weaknesses surfaced over the first week of live operation:

1. **Temporal mismatch with comparison benchmarks.** The TS-GMRI Family comparison chart on `/gmri/` and the dual-view premium tracker on `/premium-tracker/` plot the index against LBMA fixes, which settle at 15:00 London (= 14:00 UTC during BST). A 10-hour offset between index snapshot and benchmark snapshot introduced a structural noise term that did not represent any economic phenomenon — it was purely a sampling artefact.

2. **Unregulated price source for the flagship constituent.** PAXG holds ~80 % of the v1.0 base market cap. Its CoinGecko midnight quote is a thin-volume venue-weighted average, exposed to a single venue's overnight liquidity gap. CF Benchmarks publishes **PAXGUSD_RR**, a UK BMR Registered Benchmark settled at 15:00 London from a volume-weighted basket of regulated CEX PAXG-USD markets, with public methodology and FCA oversight ([CFBenchmarks](https://www.cfbenchmarks.com/data/indices/PAXGUSD_RR)).

3. **No retail-redeemable benchmark anchor.** The fix-aligned convention now lets every TS-GMRI Family member be compared cleanly against (a) the LBMA Gold PM Fix, (b) the CFB PAXG fix, and (c) the ETF closes (GLD, SLV, PPLT, PALL) at a single coherent time stamp.

## Price source mapping (v1.4)

| Constituent | Symbol | Weight at base | v1.0 source | v1.4 source |
|---|---|---:|---|---|
| Paxos Gold | PAXG | ~80 % | CoinGecko midnight UTC | **CFB PAXGUSD_RR** (15:00 London, UK BMR regulated) |
| Tether Gold | XAUT | ~12 % | CoinGecko midnight UTC | CoinGecko 14:00 UTC hourly snapshot |
| Kinesis Gold | KAU | ~3 % | CoinGecko midnight UTC | CoinGecko 14:00 UTC hourly snapshot |
| Matrixdock Gold | XAUM | ~1 % | CoinGecko midnight UTC | CoinGecko 14:00 UTC hourly snapshot |
| Kinesis Silver | KAG | ~1 % | CoinGecko midnight UTC | CoinGecko 14:00 UTC hourly snapshot |
| Matrixdock Silver | XAGM | <1 % | CoinGecko midnight UTC | CoinGecko 14:00 UTC hourly snapshot |
| Pawpaw Gold | PGOLD | <1 % | CoinGecko midnight UTC | CoinGecko 14:00 UTC when available; midnight fallback on Sundays (low liquidity) |
| **Tail 11 tokens** | GGBR, GLDY, XU3O8, DGLD, VNXAU, CGO, GOLDAO, XNK, GLDT, FGLD, TGLD | ~3 % combined | CoinGecko midnight UTC | CoinGecko midnight UTC (unchanged; thin order books make hourly snapshots noisier than the daily close — pragmatic fallback documented under §13 below) |

## Refresh window update

The daily refresh window now closes shortly after the LBMA fix. This change took effect 29 June 2026 and means all future daily snapshots inherit the v1.4 timing convention natively — no override layer is required after the backfill window.

## Backfill — TS-GMRI Family values 22–28 June 2026

All six live members were recomputed under v1.4 using:

- v1.4 base prices on 22 June 2026 (CFB for PAXG, 14:00 UTC CoinGecko for the other six liquid fixes, base.json values for the tail).
- v1.4 daily prices on 23–28 June 2026 (same source convention).
- Constant per-token implied supply: `supply_i = mcap_i,base_v1.0 / price_i,base_v1.4` — locks the index economic interpretation to the same constituents while allowing the new fix-aligned prices to flow through.
- TS-GMRI = cap-weighted return; TS-GMRI-EW = price-return mean (per [v1.3](methodology-v1.3-addendum.md)); TS-GMRI-CAP20 = iterative 20 % cap with pro-rata redistribution; TS-GMRI-AU / AG / PRE = cap-weighted on metal-filtered subsets.

### Comparison v1.0 vs v1.4 (TS-GMRI flagship)

| Date | v1.0 | v1.4 | Drift (pp) |
|------|-----:|-----:|-----------:|
| 2026-06-22 | 100.00 | 100.00 | 0.00 |
| 2026-06-23 |  98.50 |  98.24 | −0.26 |
| 2026-06-24 |  96.78 |  95.96 | −0.82 |
| 2026-06-25 |  94.52 |  95.53 | +1.01 |
| 2026-06-26 |  95.03 |  96.85 | +1.82 |
| 2026-06-27 |  96.89 |  96.93 | +0.04 |
| 2026-06-28 |  96.75 |  96.73 | −0.02 |

### Per-member drift summary (max absolute drift over 22–28 June, in points)

| Member | Max |drift| | Date of max |
|--------|----------:|---|
| TS-GMRI            | 1.82 | 2026-06-26 |
| TS-GMRI-EW         | 3.60 | 2026-06-26 |
| TS-GMRI-CAP20      | 3.70 | 2026-06-23 |
| TS-GMRI-AU         | 1.75 | 2026-06-26 |
| TS-GMRI-AG         | 3.05 | 2026-06-26 |
| TS-GMRI-PRE        | 1.82 | 2026-06-26 |

All drifts exceed the IOSCO Principle 12 "materiality threshold" of 0.10pp and are therefore disclosed in full. The v1.0 history is retained immutably at `data/gmri/history-pre-v14.json` and on-chain via the v1.0 OpenTimestamps proof (Bitcoin block #951414) for cryptographic auditability.

## Implementation

- `scripts/run-gmri-once.js` — patched at the CoinGecko ingest step to override `pax-gold.current_price` with the latest `data/gmri/cfb-paxg.json` value and rescale `market_cap` by the same factor (preserves implied supply).
- `scripts/fetch-cfb-paxg.py` — already running daily (added 23 June 2026), pulls 365-day PAXGUSD_RR history from CFB public dataset.
- Daily refresh window aligned to LBMA close.
- Pre-v1.4 state archived as `data/gmri/{history,tokens-history,comparison}-pre-v14.json` and `data/gmri-family-pre-v14.json`. The base-date `data/gmri/base.json` is left untouched (still v1.0) — v1.4 derives effective base prices from base.json mcap + v1.4 base price to keep supply constant.

## §13 — Fallback hierarchy for missing v1.4 fixes

In order of preference:

1. CFB PAXGUSD_RR (PAXG only) — primary regulated benchmark.
2. CoinGecko hourly snapshot at 14:00 UTC ± 60 min.
3. CoinGecko daily close (midnight UTC) — used for the tail 11 tokens by default and for PGOLD on Sundays/illiquid days.
4. Friday carryforward — LBMA fixes only, for weekend rows. CFB and CoinGecko deliver weekend rows natively.

A fallback invocation does not retroactively invalidate the published index value; the affected constituent is flagged in `data/gmri/history/<date>.json` under the `per_token[].source_note` field for forensic transparency.

## Audit trail

- Pre-v1.4 history: `data/gmri/history-pre-v14.json` (immutable, OpenTimestamps stamp via v1.0 chain).
- v1.4 history: `data/gmri/history.json` (re-stamped under this addendum).
- This document: `gmri/methodology-v1.4-addendum.md` → `gmri/methodology-v1.4-addendum.sha256.txt` → `gmri/methodology-v1.4-addendum.ots` (OpenTimestamps proof, anchored to Bitcoin via [opentimestamps.org](https://opentimestamps.org/)).

## References

- TS-GMRI v1.0 base methodology: [methodology-v1.0.md](methodology-v1.0.md)
- v1.1 addendum (token venues): [methodology-v1.1-addendum.md](methodology-v1.1-addendum.md)
- v1.3 addendum (EW price-return correction): [methodology-v1.3-addendum.md](methodology-v1.3-addendum.md)
- CFB PAXGUSD_RR: [cfbenchmarks.com/data/indices/PAXGUSD_RR](https://www.cfbenchmarks.com/data/indices/PAXGUSD_RR)
- IOSCO Principles for Financial Benchmarks: [iosco.org IOSCOPD415](https://www.iosco.org/library/pubdocs/pdf/IOSCOPD415.pdf)
- UK Benchmarks Regulation (BMR): [FCA — Benchmarks](https://www.fca.org.uk/markets/benchmarks)