Real-World Asset Report – 2026-Q1

Below you will find the Q1 2026 update on Sky’s legacy Real-World Asset exposure. Please note that for the deal-specific sections, the data is current through March 2026 month-end and Q2 2026 data will be included in the next RWA report, unless otherwise noted. All RWA transactions are accounted for and summarized below. Overview Sky’s legacy RWA exposure (excluding the PSM) was down roughly 10M this quarter. In Q1, legacy RWAs generate $33.6M in Stability Fees, mostly from the LitePSM. A summary of Sky’s legacy RWA exposure over time is shown in the chart below. 6s Capital Partners (RWA-001) 6s fully repaid its loan to the trust in May 2025 and in early April 2026 all funds were returned back to the DAO. This quarter shows negative fees after costs were paid to service providers and the exchange agent. The funds are now in the MCD Pause Proxy and will be flushed by Sky Core teams in a future spell. As a reminder, the onchain data for the 6s Capital transaction did not accurately reflect the realistic Dai balance or accrued Stability Fees of the vault. While the on-chain data continually accrued a Stability Fee on the Dai in circulation, the actual borrower (6s Capital Partners) was only obligated to pay interest for the time that capital is drawn from the real-world trust (RWA Senior Lending Trust). Fortunafi (RWA-005) Sky currently holds 99% of the outstanding Drop token with a vault debt of 2.9M as January 2025. This debt is supported by three assets totaling $3.125M of par value. One asset representing $450k in par value was scheduled to mature in June 2024. While Fortunafi was originally more optimistic about recovery efforts, they now expect a recovery of roughly 50%. An asset representing $2M in par value, which was previously extended to September 2024, has defaulted, and Fortunafi is working to recover payment with a sale of the company’s property. As of 2026, Fortunafi does not expect a material recovery. The third asset, representing $675k, has been restructured and extended two years from its original maturity in March 2025. Fortunafi took a 25% haircut on the original debt notional (900k) and received 5% equity in the business. As of 2026, This asset continues to operate since its restructuring. The debt ceiling for this vault is at zero, Drop redemptions have been submitted, and there are no additional actions for Sky to take at this time. As a reminder, the assets in this deal are Revenue Based Financing loans, in which each asset is a loan to a business (typically a small business or SaaS company), itself collateralized by a percentage of that business’s gross revenues. Harbor Trade (RWA-004) The Harbor Trade transaction still has 1.6M Dai outstanding from the vault as of the end of July, and the workout process for the portfolio is ongoing. The DAO has reduced the debt ceiling to zero and submitted a redemption for its holdings. The vault’s three assets (totaling $2.1M) are in default. These defaulted assets collateralize the $1.8M in aggregate Drop token market value and were issued by a single consumer electronics company, Snakebyte, which has in turn pledged its receivables as collateral. The default began in April 2023 and Harbor Trade is currently engaged in a workout process to recover as much value as possible for the transaction. As of May 2024, Steakhouse has requested funding for legal expenses from the DAO to assist Harbor Trade in the recovery as it begins litigation in Germany. That litigation is ongoing. April 2026 Update: HTC has continued to advance the California appeal as the primary recovery path. After consulting German counsel, HTC concluded that pursuing the case directly in Germany is not viable, since the underlying contract requires disputes to be heard in the United States. Huntingdon Valley Bank (RWA-009) In December 2025, 8,365,518.57 USDS were sent back to the protocol as an interest distribution. Around the same time, roughly 1,720,058 were paid in taxes in relation to the distribution. Steakhouse is beginning to work on returning the next tranche of interest proceeds from the deal. To see the data behind the above dashboard, click here To see the full Portfolio and Concentration Report, click here [Note: The Portfolio and Concentration Report loan balances will differ slightly from the loan balance shown in the above dashboard. The dashboard uses actual funded cashflows as reported by Ankura, while the loan-level detail is provided by HVB and reflects both Sky’s funded and unfunded loan balance] New Silver (RWA-002) The New Silver upsize and restructuring officially went live at the end of August 2023 and New Silver continues to deploy additional capital from the vault. All covenants are passing and Ankura as Trustee is verifying deal covenants prior to every new loan made by the vault. Below are the latest updates on the inactive and matured deals BlockTower Andromeda (RWA-015) As of May 2025, the t-bill holdings have all matured or have been sold. In line with the legal agreements for Andromeda, roughly $3M will be held in the structure to fund the indemnity provision and future expenses for the structure, which will remain functional. BlockTower Credit (RWA-012 & RWA-013) BlockTower fully repaid their vaults’ debt in November 2024. ConsolFreight (RWA-003) As of February 2025, all funds expected from ConsolFreight have been received and the vault is closed. Monetalis Clydesdale (RWA-007) For all available information on the current state of Clydesdale, please see the reports provided by Monetalis, which can be found in their Clydesdale Vault HQ forum thread. As of September 26th 2024, the vault balance has been reduced to zero as a part of its offboarding. There is still a balance of earned interest being held in related bank-accounts as the underlying entities are wound down. Legal disclaimer This communication is provided for information purposes only. This communication has been prepared based upon information, including market prices, data and other information, from sources believed to be reliable, but such information has not independently been verified and this communication makes no representations about the enduring accuracy of the information or its appropriateness for a given situation. This content is provided for informational purposes only, and should not be relied upon as legal, business, investment, financial or tax advice. You should consult your own advisers as to those matters. References to any digital assets and the use of finance-related terminology are for illustrative purposes only, and do not constitute any recommendation for any action or an offer to provide investment, financial or other advisory services. This content is not directed at nor intended for use by the Sky community (“Sky”) and may not under any circumstances be relied upon when making a decision to purchase any digital asset referenced herein. The digital assets referenced herein currently face an uncertain regulatory landscape in not only the United States but also in many foreign jurisdictions, including but not limited to the United Kingdom, European Union, Singapore, Korea, Japan and China. The legal and regulatory risks inherent in referenced digital assets are not the subject of this content. For guidance regarding the possibility of said risks, one should consult with his or her own appropriate legal and/or regulatory counsel. Charts and graphs provided within are for informational purposes solely and should not be relied upon when making any decision. The content speaks only as of the date indicated. Any projections, estimates, forecasts, targets, prospects, and/or opinions expressed in these materials are subject to change without notice and may differ or be contrary to opinions expressed by others. 1 post - 1 participant Read full topic