In a fixed-rate lending vault, what’s a share worth before the loans backing it mature? If someone withdraws today, should they get none of the unrealized interest? All of it? Or somewhere in between? Every on-chain fixed-rate portfolio eventually has to answer this question. We answered it last year: Term Strategy Vaults have been live in production since February 2025, and as fixed-rate adoption grows, the problem they solve is about to become everyone's problem. So it's worth explaining what they are. The Term Strategy Vault is tokenized fixed-income portfolio whose NAV, maturity profile, credit eligibility, and concentration limits are calculated and enforced by the smart contracts themselves. While this logic was first implemented in an ERC-4626 vault, the portfolio management logic is not limited to ERC-4626 and can be ported more generally. Why is this complexity needed? Fixed-rate portfolios are more complex than floating-rate loans carried at par. Because capital is locked for a defined term and the interest rate is fixed, portfolio construction requires explicit parameters and constraints around maturity, credit, and concentration. And once liquidity is committed, positions cannot be easily rebalanced back toward target allocations. Curators therefore need to answer—and have a mechanism for enforcing—a set of fundamental portfolio management questions: * How far out am i willing to extend liquidity, on average, across the book? * Do we have enough short-term liquidity to handle sudden withdrawals? * What kinds of collateral do I accept, and what haircuts do I require for each of them? * What level of diversification do I want to maintian across loans in the book? * How do I enforce these constraints in permissionless markets? On the depositor side there is also a unique question to be answered when making withdrawal: * What is the "fair" valuation of a share backed by loans that are yet to mature? Should depositors receive none of the unrealized interest, all of it, or somewhere in between? The answers to these questions are well-trodden in TradFi and the math is mostly not difficult in isolation. Portfolios are generally marked at NAV, with assets valued based on market price where available, or discounted to present value using an estimated interest rate curve where market prices are unavailable. While the math for calculating present value (PV) given an interest rate is trivial, determining what curve represents fair value, interpolating maturities, handling stale or missing oracle observations, and dealing with precision and rounding is where it gets tricky. That implementation complexity is the part we think is most interesting. To our knowledge, Term Strategy Vaults are the first onchain implementation of this kind of fixed-income portfolio management framework: marking fixed-rate loans to NAV while enforcing maturity, collateral, margin, and concentration constraints directly in smart contracts. The contracts are fully open source here: Over coming days, I’ll dig into some of the individual pieces, starting with how we built the interest-rate oracles used to value loans before maturity.