vBT Share Price Across the Bond Lifecycle

A Bond Token (bt) is backed 1:1 by publicly traded corporate bonds under regulated custody, each token standing for $100 of face value. It replicates everything a bond does: it pays coupons, can be called or amortized, and matures. A basket Bond Token puts several bonds behind one token; each bond's coupons, calls and maturity reach it at that bond's weight.

Bondi v3 made the Bond Token a full bond primitive onchain. A bond is hard to lend against, though: it pays cash on a calendar, and its supply shrinks as the bond amortizes or when the issuer calls it. In a basket this happens bond by bond, on several calendars at once. The Reinvestment Vault absorbs all of that and issues vBT, a standard ERC-4626 share that lending markets can take as collateral.

For collateral, what matters is how its value is set and what moves it. vBT's value is the vault's net asset value (NAV) per share, and this article covers each event that moves it, from coupons and calls to maturity.

Notation

All quantities are per share. Totals are recovered by multiplying by $N$.

Symbol	Meaning
$N$	vBT shares outstanding
$b$	Bond Tokens per share
$s$	Pending coupons and call proceeds per share, waiting to be reinvested or unwound
$P$	Oracle price of one bt (real-world bond price, in stablecoin)
$P'$	Oracle price of one bt after an event
$P_{call}$	Call price paid per bt
$P_{reinvestment}$	Execution price per bt in a reinvestment swap
$P_{par}$	Par (face) value, $100
$r$	Fraction of the vault's bt that is called/amortized, 0 to 1
$c$	Coupon per bt

Note: Coupon and call amounts are net of commission, unless stated otherwise.

General Formula

The share price is what the vault holds per share:

$$\mathrm{NAV}_0 = b\,P + s$$

Note: $s$ only exists until coupons are reinvested into bt and call proceeds are unwound. By default $s = 0$, so $\mathrm{NAV}_0 = b\,P$.

Where does the growth come from? Between coupon dates $P$ rises every day, because the oracle quotes the dirty price and accrued interest builds into it; that daily rise is what lifts NAV. The coupon then takes that accrued value out of $P$ and puts it into $s$, and the reinvestment turns $s$ into more bt. Each step changes NAV only slightly, as elaborated below; mostly it changes the form of the value, and at the end of it $b$ is larger. The next period's daily accrual now runs on more bonds per share, and that is the compounding.

Bond Token Lifecycle Events

Coupon

The vault receives $c$ per bt; it lands in $s$.

$$\mathrm{NAV}_{coupon} = b\,P + s + b\,c$$ $$\begin{aligned} \Delta\mathrm{NAV}_{coupon} &= \mathrm{NAV}_{coupon} - \mathrm{NAV}_0 \\ &= (b\,P + s + b\,c) - (b\,P + s) \\ &= b\,c \end{aligned}$$

In practice, the coupon reaches the vault in two steps and Bondi charges a 50 bps commission per coupon.

($c_{gross}$ = coupon per bt before commission; $c$ = after commission.)

1. Coupon date: accrued interest leaves the price, which steps down by $c_{gross}$ (a repricing, see Repricing below). $\Delta\mathrm{NAV} = -\,b\,c_{gross}$

2. Settled at the broker and onramped, about five business days later: the net coupon lands in $s$, as above. $\Delta\mathrm{NAV} = +\,b\,c$

Net: $\Delta\mathrm{NAV} = -\,b\,c_{gross} + b\,c = -\,b\,(c_{gross} - c)$

Result: on the coupon date NAV steps down by the gross coupon per bt; about five business days later it recovers by the net coupon, so the cycle ends $b\,(c_{gross} - c)$ lower, the commission.

Cash Out (Supply-reducing events)

Call, partial call, amortization and a maturity of a constituent in a basket Bond Token: called bt leave the vault, reducing $b$.

$$\mathrm{NAV}_{cash\_out} = (1-r)\,b\,P + s + r\,b\,P_{call}$$ $$\begin{aligned} \Delta\mathrm{NAV}_{cash\_out} &= \mathrm{NAV}_{cash\_out} - \mathrm{NAV}_0 \\ &= b\,P - r\,b\,P + s + r\,b\,P_{call} - b\,P - s \\ &= r\,b\,(P_{call} - P) \end{aligned}$$

NAV rises if the call price ($P_{call}$) is above the last oracle price ($P$), and falls if below.

$r$	$P_{call}$	Event
1	call price	Full call
between 0 and 1	call price	Partial call
fraction of principal repaid	$P_{par}$	Amortization
share of the basket that matures (e.g. a bond that is 20% of the basket: 0.2)	$P_{par}$	Maturity of a constituent in a basket Bond Token

Repricing

Oracle update, maturity, extension and default: the bt price moves from $P$ to $P'$.

$$\mathrm{NAV}_{repricing} = b\,P' + s$$ $$\begin{aligned} \Delta\mathrm{NAV}_{repricing} &= \mathrm{NAV}_{repricing} - \mathrm{NAV}_0 \\ &= (b\,P' + s) - (b\,P + s) \\ &= b\,(P' - P) \end{aligned}$$

NAV rises if the new price ($P'$) is above the old one ($P$), and falls if below.

Event	$P'$
Oracle update	new oracle price
Maturity	$P_{par}$
Extension	price the market sets after the extension
Default	price the market sets after the default, expected to converge to $R \cdot P_{par}$ ($R$ = recovery rate)

Note: While $s > 0$, the stablecoin part of the share does not move with the bond, so a percentage move in $P$ moves the share price by less: the bond's percentage move times its weight, $b\,P / (b\,P + s)$.

Reinvestment

Pending stablecoin (assume all of $s$) is swapped into bt at $P_{reinvestment}$.

$$\mathrm{NAV}_{reinvest} = \Big(b + \frac{s}{P_{reinvestment}}\Big)\,P$$ $$\begin{aligned} \Delta\mathrm{NAV}_{reinvest} &= \mathrm{NAV}_{reinvest} - \mathrm{NAV}_0 \\ &= b\,P + \frac{s\,P}{P_{reinvestment}} - b\,P - s \\ &= s\,\Big(\frac{P}{P_{reinvestment}} - 1\Big) \end{aligned}$$

NAV rises if the oracle price ($P$) is above the reinvestment price ($P_{reinvestment}$), and falls if below. The effect scales with the amount reinvested, not the position, so it is small.

Execution price ($P_{reinvestment}$)

When reinvesting, the vault buys bt from a pool, so the execution price can differ from the oracle price. Two numbers describe the gap: $d$, how far the quote sits above $P$ (negative if below), and $d'$, the share of quoted bt lost to slippage.

The vault reverts the swap if either exceeds 2.5%.

Guard	Limit
Quote vs oracle price ($d$)	within ±2.5%
Slippage ($d'$)	up to 2.5%

The quote is $P\,(1+d)$ and the vault receives $(1-d')$ of the quoted bt, so:

$$P_{reinvestment} = P\,\frac{1+d}{1-d'}$$

Substituting into $\Delta\mathrm{NAV}_{reinvest} = s\,(P/P_{reinvestment} - 1)$:

$$\begin{aligned} \Delta\mathrm{NAV}_{reinvest} &= s\,\Bigg(\dfrac{P}{P\,\dfrac{1+d}{1-d'}} - 1\Bigg) \\ &= s\,\Big(\frac{1-d'}{1+d} - 1\Big) \\ &= s\,\frac{(1-d') - (1+d)}{1+d} \\ &= -\,s\,\frac{d + d'}{1+d} \end{aligned}$$

Worst case

Beyond any of the limits above the swap reverts, so the worst execution that goes through is $d = d' = 2.5\%$:

$$\Delta\mathrm{NAV}_{reinvest} = -\,s\,\frac{0.025 + 0.025}{1.025} \approx -0.0488\,s$$

Every reinvestment that goes through therefore costs NAV at most ~4.88% of the amount reinvested.

Vault events

Deposits and redemptions change $N$ but not NAV. Unwind changes both $N$ and NAV.

Deposit and redemption

A deposit of $A$ bt is worth $A \cdot P$ at the oracle price. In the default state $\mathrm{NAV} = b\,P$, and at launch each share holds one bt ($b = 1$), so $\Delta N = A$.

After the first reinvestment or call this no longer holds: reinvestment adds bt and calls remove bt without changing the number of shares, so $b$ moves away from 1.

The vault therefore mints shares at the current share price, which gives two cases:

State	Oracle price	New shares	Why
$s = 0$ (default)	not needed	$A / b$	each share holds only $b$ bt
$s > 0$ (coupon or call cash pending)	needed; rejected if older than 24 hours	$A \cdot P / \mathrm{NAV}$	each share also holds stablecoin

In both cases the depositor receives exactly the value they put in and existing holders are unaffected: $\Delta\mathrm{NAV} = 0$. Redemption is the reverse but never depends on the oracle: the exiting holder takes $b$ bt per share, and their slice of $s$ is swapped into bt; if a guard (staleness, oracle deviation, or slippage) blocks that swap, the slice is paid in stablecoin instead, or as Coupon and Principal Tokens without KYC.

Unwind

Unlike a deposit, an unwind changes NAV. After a call, the proceeds sit in $s$ earning nothing while borrowers pay interest on the full collateral value. Unwinding is the expected path; what it does to the remaining shares depends on $P$ against $P_{call}$, as below. Holders burn up to $r \cdot N$ shares (the called fraction $r$ of all $N$ shares), and receive $b \cdot P_{call}$ per share burned, plus the share's slice of any coupon still pending.

Start from the state right after a call with nothing else pending, so $s = r \cdot b \cdot P_{call}$. The formulas assume all $r \cdot N$ shares are unwound; a pending coupon would be paid out pro rata alongside and does not change the result.

$$\mathrm{NAV}_{before} = (1-r)\,b\,P + s = (1-r)\,b\,P + r\,b\,P_{call}$$ $$\mathrm{NAV}_{after} = b\,P$$ $$\begin{aligned} \Delta\mathrm{NAV}_{unwind} &= \mathrm{NAV}_{after} - \mathrm{NAV}_{before} \\ &= b\,P - (1-r)\,b\,P - r\,b\,P_{call} \\ &= b\,P - b\,P + r\,b\,P - r\,b\,P_{call} \\ &= r\,b\,(P - P_{call}) \end{aligned}$$

NAV rises if the bond's price ($P$) is above the call price ($P_{call}$), and falls if below.

This reverses the supply reduction: the call's gain or loss leaves with the exiting shares, and the rest return to $\mathrm{NAV} = b\,P$ with $s = 0$. $s$ is brought back to zero on purpose, by unwind here and by reinvestment for coupons: idle cash earns nothing while borrowers pay interest on it.

The risk that remains

Put together, vBT's value comes down to one formula. By default $\mathrm{NAV} = b\,P$: a share is worth the bonds it holds at the oracle price. Coupons, cash-outs and repricings each move it by a formula known in advance, reinvestment costs at most 4.88% of the amount reinvested, deposits and redemptions leave it unchanged, and an unwind brings it back to $b\,P$.

What remains for a lending market is the price and credit risk of the bonds behind the token: everything else those bonds do is handled inside the vault. A lender can therefore set terms on vBT from the underlying bonds' price and credit, leaving coupons, calls and KYC to the vault.