关于最近几个月BTCTC整个板块的严重 mNAV 压缩

翻译ZT：

1/12 整个板块的严重 mNAV 压缩来得比我预期的要早得多。我一直认为这是长期不可避免的，但那些 5、10、20 mNAV 的股票在短短几个月内就压缩到 1.x，这让我震惊。如果我对这些股票有完美的理解，我本该预见到它的到来，但事实并非如此。我能做的最好的事情就是从中吸取教训，并将其融入我的理解中。

2/12 优先股的潜力是什么？归根结底，它是一种直接套利未来预期比特币复合年增长率（基本上是年化回报）与优先股所需支付的股息之间的方式。当这些公司出售 1 亿美元的优先股时，它们会立即用这笔钱购买比特币。在接下来的一年里，想法是这 1 亿美元的比特币将价值约 1.3 亿美元，而支付给优先股的股息将是 500-1000 万美元。在一年内以 500-1000 万美元的成本获得 3000 万美元的收益，这是惊人的。

3/12 如果将这个延伸到 5-10 年甚至更长时间，数学计算就会变得疯狂。它最终会导致比特币在偿还优先股投资者初始募集金额所需的时间内（如果每年为每 100 美元初始募集支付 10 美元，则需 10 年）实现 10-100 倍增长。当然，这些通常是永久优先股，所以“偿还”并不意味着债务就结束了。如果比特币像人们相信的那样发展，这只是微不足道的。

4/12 我真的没看到有人发帖讨论优先股对比特币/股的收益率幅度。这对我来说似乎很奇怪，因为这是主要观点，实际上是唯一观点。那些说比特币/股无关紧要的人似乎不尊重数学。这就像说距离和时间重要，但速度无关紧要一样。它是不可避免的。mNAV 的变化乘以比特币/股的变化，精确描述了相对于比特币的表现。mNAV 既是资产（套利），又是负债（它可以跌至 1，或者真的跌至市场决定的任何水平）。

5/12 一个问题是基于出售优先股募集资金购买比特币的比特币/普通股收益率，如果优先股持有者在资本结构中比普通股东更有权获得比特币。让我们完全忽略这一点，因为其他人已经对此进行了广泛讨论，如果考虑极端情景，它可能会变得相当诡异，而且谁知道在非极端时期如何定价。

6/12 优先股的另一个问题是收益率如何计算。大多数人想立即计算收益率。有些人举起红旗，表示动态计算收益率更公平，如果比特币下跌则显示比特币/股的损失，如果上涨则显示收益。有些人会更进一步，减去支付给优先股的股息，并让这两个值都动态化。对我来说，这是唯一公平的方式，但我怀疑不会得到太多同意，因为这可能不方便融入仪表板，而且可能会令人困惑，这对这些股票的销售宣传没有帮助。

7/12 这里是一个简单的例子。一家公司持有 1 亿美元的比特币，并保持普通股数量固定（为了简化计算，不再发行新股）。他们发行 2500 万美元的优先股，或许是不想超过 NAV 的 25%。他们用这笔钱购买 2500 万美元的比特币。大多数人会说他们立即将比特币/股提高了 25%（他们没有增加普通股数量，而是将比特币持有量增加了 25%）。这非常类似于个人持有价值 100 美元的 IBIT，并用保证金再买 25 美元的 IBIT。你不会说你刚刚赚到了那 25 美元。你是在赌比特币未来的涨幅超过你的贷款和贷款支付。Interactive Brokers 可能会对那 25 美元收取每年约 5% 的利息，所以第一年的利息只有 1.25 美元，而那 25 美元可能从比特币典型的年涨幅中获得 30% 的收益。作为个人，你通过 25% 的保证金增加比特币敞口，与公司通过优先股这样做之间有巨大的相似性。最大的区别是，如果比特币下跌约 70%，你作为个人会被清算，但这些公司在那种情况下不会被清算。

8/12 无论是你试图模拟这些公司通过优先股获得的约 25% 杠杆，还是它们自己这样做，玩法都是：每次比特币上涨时，你或 LBE 相对于 NAV 的优先股比例就会低于 25%。如果你或它们杠杆化 25%，然后比特币一夜之间翻倍，你现在只有 12.5% 的杠杆，可以用保证金再买更多 IBIT，或者发行更多优先股回升到 25%。所以，无论你是立即计算收益，还是等到比特币价格上涨后再看你的实际收益，无论哪种方式，这都是一场在比特币攀升时买入更多比特币的游戏。如果你在牛市中达到杠杆饱和，就不会在熊市中发行优先股或增加保证金债务，所以所有这些“他们可以发行优先股在熊市中捍卫 1 mNAV！”的说法需要停下来 lol。如果比特币价格一夜之间腰斩，25% 的杠杆现在就变成了 50%。数学计算会有点偏差，因为杠杆购买的比特币会增加 NAV，但这里我忽略这一点以保持简单。

9/12 25% 的杠杆并不意味着这些公司（或你个人，尽管有高保证金追缴风险）只会比 0 杠杆多赚 25%。随着资产增长，每次比特币创下新高时，你都可以重新杠杆化到 25%，这会产生一种效应，导致大大超过比特币回报的 25%。非常粗略的计算是，如果立即计算收益率（债务和债务利息），这种策略会在比特币实现 4 倍增长时将比特币/股翻倍。25% 的杠杆就像 33%，因为杠杆也会增加 NAV（持有量达到 133%，发行的优先股占其中的 33%，相当于四分之一）。如果计算债务，但仍不计算债务支付，则比特币价格 8 倍增长才能将比特币/股翻倍。移动清算优先权真的会伤害这个，而且据我所知，这似乎是个坏主意，因为普通股东可能会被挤压，或者在极端情景中他们的比特币权利面临被挤压的风险。所以，你可以把优先股视为债务或不视为债务，这里面真的有几种不同的思考方式。

10/12 mNAV 下限是个巨大的话题。我长期相信，即使是最成功的这些公司，最终也会走向类似 1 mNAV 的水平。如果大众接受优先股带来的比特币收益率，均衡 mNAV 可能达到 1.2、1.5 甚至更高。不过，如果公司还决定通过卖出股份积极套利这个 mNAV，下限就更有意义了。有些人会说相反，这会提供更多收益率，从而证明更高的 mNAV，但我认为市场现在已经向我们展示了，一旦账面上有大量比特币，这并不是真的。风可以轻易吹动一片叶子，但吹不动一块石头。当我思考现实时，公司套利 >1 mNAV 的能力似乎不会持久。唯一让它不持久的方式，就是这些公司被定价在 <1 mNAV，或许是 0.7-0.9。这刚好足够诱使它们卖出比特币并回购股份，而投资者对此的反弹可能足以提供额外的确定性缺失，从而相对于单纯持有比特币值得一个折扣。我们在 GBTC 还是单向基金时看到了这一点，它交易在 0.5-0.6 mNAV 左右。那是个黑洞，而且不是好的那种，所以它以折扣交易，只有当双向通道可用时，1 mNAV 才成为现实。这只是思考封闭式基金相对于 NAV 的溢价或折扣，而开放式基金没有这些。

11/12 mNAV 压缩的想法，以及收益率需要超过这种压缩才能击败底层比特币，似乎非常类似于像 MSTY 这样的覆盖性看涨期权 ETF 支付股息，但相对于 MSTR 也往往价格下跌。MSTY 相对于 MSTR 的总回报（股息和股价变化）才是真正重要的。我们都知道覆盖性看涨期权 ETF 通常（也许总是）表现不如其底层资产。这主要是因为它们只有在卖出的期权定价高于应有水平时才能平均超额表现，而这种情况通常不是这样，尤其是当这么多基金都在卖方时。这是个相似的想法，因为在两种情况下，游戏都是套利自身，就像蛇吃自己的尾巴的图像。所以，1 mNAV 会是下限吗？如果一家公司说他们永远不会卖出比特币，我认为下限可能会低得多，就像 GBTC 一样。如果一家公司愿意套利 mNAV 的两侧，那么它就有控制方法，会更像开放式基金。这的一个问题是，如果他们已经发行优先股并达到或超过优先股的目标杠杆比率，他们是否能合法套利 <1 mNAV（卖出比特币并买入股份）？如果优先股对比特币有某种权利，公司能合法卖出比特币并买入更多普通股吗？可能视情况而定，但我希望这些公司对此有计划。

12/12 那么，牛市案例是什么？我相信这是长期的，而且在某种程度上必须是长期的，如果低 mNAV 是新常态的话，我赌就是这样，有这么多公司涌入市场，所有这些公司都在比特币创下新高时 mNAV 缓慢压缩数月。当然，我可能错了，也希望如此。由于优先股我认为将是这些公司未来的巨大部分，我最感兴趣的是像日本和瑞典这样的低利率国家。我相信优先股的结构非常重要。我没有答案，但希望提出这些担忧会对一些公司和阅读这个的你们有些用处。还有更多要说的，但我先停在这里，因为这已经花了不少时间。

 

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.