Research

Proxy baskets, CVaR methodology, and underwriting walkthroughs.

ResearchMarch 6, 20268 min read

When Illiquid Assets Trade: The $500B Market Tokenized RWAs Are Trying to Replicate

BDCs, closed end funds, and mREITs turn illiquid strategies into tradeable securities. How they work, how they break during stress, and why RAVA uses them as proxy baskets.

FrameworkMarch 1, 20265 min read

How CVaR Sets the Vault Discount

CVaR 97.5 for the main vault, CVaR 90-95 for asset manager vaults. How confidence level sets the discount and what the Basel standard means for vault pricing.

Case StudyFebruary 28, 20266 min read

Underwriting mF-ONE: Proxy Basket Construction and Vault Pricing

Building the proxy basket for Midas Fasanara ONE, running CVaR on the returns, and setting the vault discount. Full pricing walkthrough for a live private credit token.