Portfolio Valuation

Total Asset Value Calculation

The Term Strategy Vault's implementation of _harvestAndReport() calculates the total asset value by invoking _totalAssetValue(). This function updates the totalAssets value in the BaseStrategy and provides a comprehensive view of the portfolio’s value. It aggregates three components:

  1. Idle Liquidity: The balance of idle funds held within the idle vault.

  2. Repo Token Holdings: The present value of active repoToken positions, discounted using rates from the discountRateAdapter.

  3. Pending Auction Offers: The present value of any pending auction offers, assuming those offers are filled.

Total Value Implementation

The _totalAssetValue() function aggregates these components to calculate the total portfolio value:

function _totalAssetValue(uint256 liquidBalance) internal view returns (uint256) {        
    return
        liquidBalance +  // Yearn vault + idle balance
        repoTokenListData.getPresentValue(  // Active repo token positions
            strategyState.discountRateAdapter,
            PURCHASE_TOKEN_PRECISION
        ) +
        termAuctionListData.getPresentValue(  // Pending auction offers
            repoTokenListData,
            strategyState.discountRateAdapter,
            PURCHASE_TOKEN_PRECISION,
            address(0)
        );
}

Key Components

1. Repo Token Holdings

  • Managed by the RepoTokenListData struct:

    struct RepoTokenListData {
    address head;
    mapping(address => RepoTokenListNode) nodes;
    mapping(address => uint256) discountRates;
    mapping(address => uint256) collateralTokenParams;
}

  • Purpose:

    • Maintains a linked list of repo tokens held by the vault.

    • Tracks discount rates and collateral parameters for each token.

2. Discount Rate Adapter

  • Interface: ITermDiscountRateAdapter

  • Purpose:

    • Serves as an interest rate oracle for Term repoTokens.

    • Applies redemption haircuts to account for bad debt risks.

3. Pending Offers

  • Managed by the TermAuctionListData struct:

    struct TermAuctionListData {
    bytes32 head;
    mapping(bytes32 => TermAuctionListNode) nodes;
    mapping(bytes32 => PendingOffer) offers;
}

  • Purpose:

    • Tracks all pending auction offers.

    • Estimates the present value of pending offers, assuming they are filled.

Present Value Calculation

The portfolio valuation uses:

  • RepoToken face value adjusted by redemptionValue

  • Actual/360 day count convention from current time to redemptionTimestamp

  • Market rates from Term auctions plus configurable markup

Base Formula:

timeLeftToMaturityDayFraction = ((redemptionTimestamp - block.timestamp) * purchaseTokenPrecision) / THREESIXTY_DAYCOUNT_SECONDS;

presentValue = (repoTokenAmountInBaseAssetPrecision * purchaseTokenPrecision) / 
    (purchaseTokenPrecision + (discountRate * timeLeftToMaturityDayFraction / RATE_PRECISION));

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