Pricing mF-ONE: From Monte Carlo to Discount
The SLF (Secured Lending Facility) buys mF-ONE at an 8.64% discount to NAV (net asset value). The vault buys it at 12.27%. These numbers come from a pricing engine that combines CVaR (Conditional Value at Risk) tail risk, onchain liquidity signals, and tier multipliers. This post walks through how two independent CVaR engines, one historical and one Monte Carlo, validate the risk anchor that feeds those discounts.
1. The Live Discounts
Every RAVA product that holds mF-ONE buys it at a discount to NAV. The discount is the price of illiquidity risk: how much margin the protocol needs between the purchase price and the redemption value to stay solvent in a tail scenario. Four products, four confidence levels, four discounts:
The SLF, the primary lending facility, operates at the CVaR 95 tier. It buys mF-ONE at 91.36 cents on the dollar. The vault, which absorbs the deepest tail risk, buys at 87.73 cents. Every product has a different risk tolerance, and the discount widens accordingly.
These are not static parameters. They update daily as the pricing engine recalculates CVaR from market data and reads onchain liquidity signals. The rest of this post explains the CVaR component of that engine, specifically how two independent estimation methods produce the risk anchor that feeds the discount formula.