Underwriting mF-ONE: Proxy Basket Construction and Vault Pricing
How RAVA builds a proxy basket for Midas Fasanara ONE, runs CVaR on the return history, and sets the vault discount for a live private credit token.
The Asset
mF-ONE is a tokenized private credit fund from Midas, backed by Fasanara Capital. Short duration direct lending, yield accrues daily onchain, NAV reported via oracle.
No price history to model against. But the underlying strategy (direct lending to mid market corporates) has been running in public markets for decades through BDCs and leveraged loan funds.
Proxy Basket
The oracle maps mF-ONE to four public instruments with the same risk profile: credit, duration, and leverage.
| Ticker | Name | Weight |
|---|---|---|
| BKLN | Senior Loan ETF | 35% |
| HYG | High Yield Corporate Bond ETF | 20% |
| ARCC | Ares Capital (BDC) | 25% |
| MAIN | Main Street Capital (BDC) | 20% |
BKLN and HYG give you broad credit exposure. ARCC and MAIN are BDCs running direct lending books similar to Fasanara. Together, decades of daily data to run CVaR on.
The proxy basket and mF-ONE NAV track closely. The Dec 4 divergence was an idiosyncratic NAV adjustment, not a proxy basket failure. The proxy captures the systematic risk, which is what the vault prices against.
Return Distribution and Tail Risk
1,255 daily returns. Slightly negatively skewed with fat tails, which is what you expect from credit strategies. Most days are boring small gains. The left tail is where the vault earns its money.
The left tail contains the stress events the vault is pricing against. CVaR 97.5 measures the expected loss in the worst 2.5% of these observations.
Vault Discount Breakdown
Main vault discount for mF-ONE: about 12.5%. That is not just CVaR. Four layers stack up, each covering a different risk.
CVaR 97.5 accounts for 4.8% of the 12.5%. The other 7.7% covers illiquidity (no secondary market for these tokens), model error (proxy baskets are approximations), and redemption friction (time and cost to get your money back from the issuer).
The Midas mF-ONE asset manager vault runs at CVaR 90-95 with a total discount of approximately 11.1%. The tighter discount is possible because Midas puts up first loss capital. If the vault takes a loss, Midas absorbs it first.