關於最近幾個月BTCTC整個板塊的嚴重 mNAV 壓縮

翻譯ZT：

1/12 整個板塊的嚴重 mNAV 壓縮來得比我預期的要早得多。我一直認為這是長期不可避免的，但那些 5、10、20 mNAV 的股票在短短幾個月內就壓縮到 1.x，這讓我震驚。如果我對這些股票有完美的理解，我本該預見到它的到來，但事實並非如此。我能做的最好的事情就是從中吸取教訓，並將其融入我的理解中。

2/12 優先股的潛力是什麽？歸根結底，它是一種直接套利未來預期比特幣複合年增長率（基本上是年化回報）與優先股所需支付的股息之間的方式。當這些公司出售 1 億美元的優先股時，它們會立即用這筆錢購買比特幣。在接下來的一年裏，想法是這 1 億美元的比特幣將價值約 1.3 億美元，而支付給優先股的股息將是 500-1000 萬美元。在一年內以 500-1000 萬美元的成本獲得 3000 萬美元的收益，這是驚人的。

3/12 如果將這個延伸到 5-10 年甚至更長時間，數學計算就會變得瘋狂。它最終會導致比特幣在償還優先股投資者初始募集金額所需的時間內（如果每年為每 100 美元初始募集支付 10 美元，則需 10 年）實現 10-100 倍增長。當然，這些通常是永久優先股，所以“償還”並不意味著債務就結束了。如果比特幣像人們相信的那樣發展，這隻是微不足道的。

4/12 我真的沒看到有人發帖討論優先股對比特幣/股的收益率幅度。這對我來說似乎很奇怪，因為這是主要觀點，實際上是唯一觀點。那些說比特幣/股無關緊要的人似乎不尊重數學。這就像說距離和時間重要，但速度無關緊要一樣。它是不可避免的。mNAV 的變化乘以比特幣/股的變化，精確描述了相對於比特幣的表現。mNAV 既是資產（套利），又是負債（它可以跌至 1，或者真的跌至市場決定的任何水平）。

5/12 一個問題是基於出售優先股募集資金購買比特幣的比特幣/普通股收益率，如果優先股持有者在資本結構中比普通股東更有權獲得比特幣。讓我們完全忽略這一點，因為其他人已經對此進行了廣泛討論，如果考慮極端情景，它可能會變得相當詭異，而且誰知道在非極端時期如何定價。

6/12 優先股的另一個問題是收益率如何計算。大多數人想立即計算收益率。有些人舉起紅旗，表示動態計算收益率更公平，如果比特幣下跌則顯示比特幣/股的損失，如果上漲則顯示收益。有些人會更進一步，減去支付給優先股的股息，並讓這兩個值都動態化。對我來說，這是唯一公平的方式，但我懷疑不會得到太多同意，因為這可能不方便融入儀表板，而且可能會令人困惑，這對這些股票的銷售宣傳沒有幫助。

7/12 這裏是一個簡單的例子。一家公司持有 1 億美元的比特幣，並保持普通股數量固定（為了簡化計算，不再發行新股）。他們發行 2500 萬美元的優先股，或許是不想超過 NAV 的 25%。他們用這筆錢購買 2500 萬美元的比特幣。大多數人會說他們立即將比特幣/股提高了 25%（他們沒有增加普通股數量，而是將比特幣持有量增加了 25%）。這非常類似於個人持有價值 100 美元的 IBIT，並用保證金再買 25 美元的 IBIT。你不會說你剛剛賺到了那 25 美元。你是在賭比特幣未來的漲幅超過你的貸款和貸款支付。Interactive Brokers 可能會對那 25 美元收取每年約 5% 的利息，所以第一年的利息隻有 1.25 美元，而那 25 美元可能從比特幣典型的年漲幅中獲得 30% 的收益。作為個人，你通過 25% 的保證金增加比特幣敞口，與公司通過優先股這樣做之間有巨大的相似性。最大的區別是，如果比特幣下跌約 70%，你作為個人會被清算，但這些公司在那種情況下不會被清算。

8/12 無論是你試圖模擬這些公司通過優先股獲得的約 25% 杠杆，還是它們自己這樣做，玩法都是：每次比特幣上漲時，你或 LBE 相對於 NAV 的優先股比例就會低於 25%。如果你或它們杠杆化 25%，然後比特幣一夜之間翻倍，你現在隻有 12.5% 的杠杆，可以用保證金再買更多 IBIT，或者發行更多優先股回升到 25%。所以，無論你是立即計算收益，還是等到比特幣價格上漲後再看你的實際收益，無論哪種方式，這都是一場在比特幣攀升時買入更多比特幣的遊戲。如果你在牛市中達到杠杆飽和，就不會在熊市中發行優先股或增加保證金債務，所以所有這些“他們可以發行優先股在熊市中捍衛 1 mNAV！”的說法需要停下來 lol。如果比特幣價格一夜之間腰斬，25% 的杠杆現在就變成了 50%。數學計算會有點偏差，因為杠杆購買的比特幣會增加 NAV，但這裏我忽略這一點以保持簡單。

9/12 25% 的杠杆並不意味著這些公司（或你個人，盡管有高保證金追繳風險）隻會比 0 杠杆多賺 25%。隨著資產增長，每次比特幣創下新高時，你都可以重新杠杆化到 25%，這會產生一種效應，導致大大超過比特幣回報的 25%。非常粗略的計算是，如果立即計算收益率（債務和債務利息），這種策略會在比特幣實現 4 倍增長時將比特幣/股翻倍。25% 的杠杆就像 33%，因為杠杆也會增加 NAV（持有量達到 133%，發行的優先股占其中的 33%，相當於四分之一）。如果計算債務，但仍不計算債務支付，則比特幣價格 8 倍增長才能將比特幣/股翻倍。移動清算優先權真的會傷害這個，而且據我所知，這似乎是個壞主意，因為普通股東可能會被擠壓，或者在極端情景中他們的比特幣權利麵臨被擠壓的風險。所以，你可以把優先股視為債務或不視為債務，這裏麵真的有幾種不同的思考方式。

10/12 mNAV 下限是個巨大的話題。我長期相信，即使是最成功的這些公司，最終也會走向類似 1 mNAV 的水平。如果大眾接受優先股帶來的比特幣收益率，均衡 mNAV 可能達到 1.2、1.5 甚至更高。不過，如果公司還決定通過賣出股份積極套利這個 mNAV，下限就更有意義了。有些人會說相反，這會提供更多收益率，從而證明更高的 mNAV，但我認為市場現在已經向我們展示了，一旦賬麵上有大量比特幣，這並不是真的。風可以輕易吹動一片葉子，但吹不動一塊石頭。當我思考現實時，公司套利 >1 mNAV 的能力似乎不會持久。唯一讓它不持久的方式，就是這些公司被定價在 <1 mNAV，或許是 0.7-0.9。這剛好足夠誘使它們賣出比特幣並回購股份，而投資者對此的反彈可能足以提供額外的確定性缺失，從而相對於單純持有比特幣值得一個折扣。我們在 GBTC 還是單向基金時看到了這一點，它交易在 0.5-0.6 mNAV 左右。那是個黑洞，而且不是好的那種，所以它以折扣交易，隻有當雙向通道可用時，1 mNAV 才成為現實。這隻是思考封閉式基金相對於 NAV 的溢價或折扣，而開放式基金沒有這些。

11/12 mNAV 壓縮的想法，以及收益率需要超過這種壓縮才能擊敗底層比特幣，似乎非常類似於像 MSTY 這樣的覆蓋性看漲期權 ETF 支付股息，但相對於 MSTR 也往往價格下跌。MSTY 相對於 MSTR 的總回報（股息和股價變化）才是真正重要的。我們都知道覆蓋性看漲期權 ETF 通常（也許總是）表現不如其底層資產。這主要是因為它們隻有在賣出的期權定價高於應有水平時才能平均超額表現，而這種情況通常不是這樣，尤其是當這麽多基金都在賣方時。這是個相似的想法，因為在兩種情況下，遊戲都是套利自身，就像蛇吃自己的尾巴的圖像。所以，1 mNAV 會是下限嗎？如果一家公司說他們永遠不會賣出比特幣，我認為下限可能會低得多，就像 GBTC 一樣。如果一家公司願意套利 mNAV 的兩側，那麽它就有控製方法，會更像開放式基金。這的一個問題是，如果他們已經發行優先股並達到或超過優先股的目標杠杆比率，他們是否能合法套利 <1 mNAV（賣出比特幣並買入股份）？如果優先股對比特幣有某種權利，公司能合法賣出比特幣並買入更多普通股嗎？可能視情況而定，但我希望這些公司對此有計劃。

12/12 那麽，牛市案例是什麽？我相信這是長期的，而且在某種程度上必須是長期的，如果低 mNAV 是新常態的話，我賭就是這樣，有這麽多公司湧入市場，所有這些公司都在比特幣創下新高時 mNAV 緩慢壓縮數月。當然，我可能錯了，也希望如此。由於優先股我認為將是這些公司未來的巨大部分，我最感興趣的是像日本和瑞典這樣的低利率國家。我相信優先股的結構非常重要。我沒有答案，但希望提出這些擔憂會對一些公司和閱讀這個的你們有些用處。還有更多要說的，但我先停在這裏，因為這已經花了不少時間。

 

原文：

1/12 The severe mNAV compression across the board has occurred much sooner than I expected. I've viewed this as inevitable long term, but the 5,10,20 mNAV stocks which have compressed to 1.x in a few months has been a shock. If I had a perfect understanding of these stocks, I would have seen it coming, but that didn't happen. The best I know how to do is learn from it and bake that into my understanding.

 

2/12 What is the potential of preferred stock? Ultimately, it's a direct way to arbitrage future expected Bitcoin CAGR (basically yearly returns) vs the dividend owed on the preferreds. When one of these companies sells $100 million of prefs, they immediately use that to buy Bitcoin. Over the next year, the idea is that the $100m of Bitcoin will be worth ~$130m and the dividends paid on the prefs will be $5-10m. A gain of $30m at the cost of $5-10m in a single year is spectacular.

 

3/12 The math gets insane if you extend this out 5-10 years and beyond. It ends up with Bitcoin doing a 10-100x in the time it takes to pay pref investors back the initial raised amount (10 years if paying $10 per year for every $100 initially raised). Of course these tend to be perpetual prefs, so "paying back" isn't meant to sound like the debt is done. It's just so insignificant IF Bitcoin does what people believe it will.

 

4/12 I don't really see anyone posting about the magnitude of yield the prefs will have on btc/share. This seems really odd to me as it's the main point, really the only point. People who say btc/share doesn't matter don't seem to respect math. It's like saying distance and time matter but speed is irrelevant. It's unavoidable. The change in mNAV multiplied by the change in BTC/Share exactly describes the performance relative to Bitcoin. mNAV is both an asset (arbitrage) and a liability (it can drop to 1, or really to whatever the market decides).

 

5/12 One issue with btc/common share yield based on Bitcoin purchased from money raised by selling preferred shares is if the pref holders are more entitled to the Bitcoin than the common shareholders as they are higher in the capital stack. Let's completely ignore this as others have talked extensively about it and if extreme scenarios are considered it can get pretty bizarre, and who knows how to price that in during non-extreme times.

 

6/12 Another issue with prefs is how to count the yield. Most want to count the yield immediately. Some have raised a red flag and state it's fairer to count the yield dynamically, showing a btc/share loss from prefs if bitcoin drops and a gain as it rises. Some would go further and subtract out the dividend paid on the prefs and have both of these values dynamic. To me, this is the only fair way to do it, but I doubt I'll get much agreement as it may be awkward to incorporate into dashboards, and it might be confusing which doesn't help for a sales pitch of these stocks.

 

7/12 Here's a simple example. A company has $100m in Bitcoin and a flat common share count (no more issuing to keep the math simple). They issue $25 million of preferreds, perhaps not wanting to go over 25% of NAV. They use that to buy $25m in Bitcoin. Most people would say they immediately increased their btc/share by 25% (they didn't increase common share count, and they increased Bitcoin holdings by 25%). This is very similar to an individual having $100 worth of IBIT and buying an additional $25 of IBIT with margin. You wouldn’t say you just earned any of that $25. You’re betting Bitcoin’s future gains outpace your loan and loan payment. Interactive Brokers may charge around 5% per year on that $25, so the first year would only be $1.25 in interest while the $25 might gain 30% from Bitcoin's typical annual gain. There is a huge similarity between you taking out 25% margin to increase your Bitcoin exposure as an individual and a company doing that through preferreds. The big difference is that if Bitcoin drops ~70%, you would be liquidated as an individual, but these companies wouldn’t be liquidated in that scenario.

 

8/12 Whether it’s you trying to simulate the 25% or so leverage these companies want to get through preferreds or them doing it, the way it’s played is that anytime Bitcoin goes up, either you or the LBE now has <25% prefs vs NAV. If you or they leverage 25% and then Bitcoin doubles overnight, you now only have 12.5% leverage and can buy more IBIT on margin or issue more prefs back up to 25%. So, whether you count the gain immediately or wait until bitcoin price goes up to see what your real gain is, either way it’s a game of buying more bitcoin as bitcoin climbs higher. There is no issuing prefs or increasing margin debt in a bear market if you hit leverage saturation during a bull market, so all of this "They can issue prefs to defend 1 mNAV during a bear!" talk needs to stop lol. If Bitcoin price gets cut in half overnight, 25% leverage now is 50%. The math skews a little since the leverage buys bitcoin which increases the NAV, but I ignore that here to keep it simple.

 

9/12 25% leverage doesn’t mean these companies (or you individually, though with high margin call risk) would only ever beat 0 leverage by 25%. As the assets grow and you can lever back up to 25% each time Bitcoin hits new highs, this creates an effect which results in greatly beating Bitcoin’s returns by 25%. The very rough math is that if yield is counted immediately (debt and debt interest), this strategy will double btc/share every time bitcoin does a 4x. The 25% acts like a 33% since the leverage also increases the NAV (holdings go to 133% and prefs issued represent 33% of that which is 1/4th). If the debt is counted, though still not counting the debt payments, an 8x of bitcoin price is needed to double the btc/share. Moving liquidation preference can really hurt this and from what I know of it, it seems like a bad idea as common shareholders could get squeezed or the thread of a squeeze of their rights to Bitcoin in an extreme scenario. So, you can either view the preferreds as debt or not and there’s really a few different ways to think about all of this.

 

10/12 mNAV floor is a huge topic. I’ve long believed that something like 1 mNAV was the eventual destination for even the most successful of these companies. If Bitcoin yield from prefs is accepted by the masses, equilibrium mNAV might be 1.2, 1.5, or even higher. Though, if the company also decides to actively arbitrage this mNAV by selling shares, the lower end makes more sense. Some would say the opposite, that this provides even more yield and would justify higher mNAV, but I think the market has shown us now that this isn’t really the case once a sizable amount of Bitcoin is on the books. Wind can blow a leaf easily but not a rock. When I think about reality, a company’s ability to arb >1 mNAV seems like something that won’t last. The only way to have it not last is for these companies to be priced <1 mNAV, perhaps a 0.7-0.9. This would be just enough to temp them to sell their bitcoin and buy back shares, and the investor blowback from that conversation might be enough to provide additional uncertainty vs just holding Bitcoin that a discount is deserved. We saw this with GBTC when it was a 1-way fund and traded around 0.5-0.6 mNAV. It was a black hole, and not in a good way, so it traded at a discount and only when the 2-way street was available did 1 mNAV become a reality. This is just thinking about premiums or discounts to NAV that close-end funds have which open-end funds do not.

 

11/12 The idea of mNAV compression and yield needing to outpace this compression to beat the underlying Bitcoin seems very similar to covered call ETF’s like MSTY paying a dividend but also tending to drop in price relative to MSTR. It’s such that the total return (dividend and stock price change) of MSTY vs MSTR is really what matters. We all know that covered call ETF’s typically (maybe always) underperforms their underlying. This is largely due to the fact that they'd only be outperforming on average if the options they're selling were priced higher than they should be which usually isn't the case especially when so many funds are on the sell side. It’s a similar idea because in both cases, the game is to arbitrage itself like the image of a snake eating its own tail. So, will 1 mNAV be the floor? If a company says they will never sell their bitcoin, I think the floor might be much lower, just like GBTC. If a company is willing to arb both sides of mNAV, then it has a control method and would act more like an open-end fund. One issue with this is if they’ll legally be able to arb <1 mNAV (sell bitcoin and buy shares) if they have prefs issued and are already at or above their aim leverage ratio for the prefs. If prefs have some claim to the bitcoin, can the company sell bitcoin and buy more common shares legally? Likely situational but I hope companies have a plan for this.

 

12/12 So, what is the bull case? I believe it’s a long term one, and in a way has to be if low mNAV is the new norm which I’m betting it is with so many companies flooding the market and all of these companies having mNAV compress slowly and for months while bitcoin hits new highs. Of course, I may be wrong and hope so.  As preferreds I think are such a huge part of the future of these companies, I'm most interested in the lower rate countries like Japan and Sweden.  I believe the structure of preferreds is VERY important. I don’t have the answers, but I hope that bringing up some of these concerns will be useful to some companies and some of you reading this. There is so much more to say but I’ll leave it here as it’s already taken considerable time.