Will Bitcoin falling to $80,000 break the strategic model?

随着比特币价格变化，市场关注点转向持有大量比特币的DAT公司。Strategy是其中最引人注目的公司之一。关键问题在于，该公司如何积累资产，以及在市场波动加剧的情况下如何管理风险。

要点总结

● 该策略的静态破产门槛预计在2025年约为23,000美元，几乎是2023年12,000美元的两倍。

● 该公司于2024年将其融资模式从简单的现金和小额可转换债券转变为可转换债券、优先股和ATM发行等多元化组合。

● 投资者持有的看涨期权允许他们在到期前提前赎回。如果比特币价格下跌，投资者很可能会行使该期权，这使得2028年成为一个关键的风险窗口期。

● 如果2028年再融资失败，假设比特币价格为9万美元，Strategy可能需要出售约7.1万枚比特币。这相当于日均交易量的20%至30%，将对市场造成重大压力。

1、关于战略稳定性的问题

比特币近期的下跌导致DAT公司股价下跌约50%。这引发了市场的一个核心问题：在股价和公司核心资产双双下跌的情况下，Strategy的稳健性是否依然存在?摩根大通指出Strategy可能被MSCI指数剔除后，这种担忧进一步加剧。

The focus isn’t limited to the stocks themselves. The strategy holds enough Bitcoin to have a significant impact on the entire market, far exceeding the scale of typical large investors. This raises two key questions:

● At what level will the balance sheet of the strategy collapse if Bitcoin prices drop?

● When and under what conditions can the company have a meaningful impact on the market?

This report examines documents from the U.S. Securities and Exchange Commission to determine the threshold for potential bankruptcy, the periods when risks increase, and the possible impacts on the market in case of a crisis.

2. The strategy faces a risk: a threshold of $23,000.

Before analyzing this, let’s clarify the concept of static bankruptcy. Static bankruptcy refers to a situation where a company cannot pay off its debts even after liquidating all its assets.

In short, static bankruptcy occurs when assets are less than liabilities. For example, if Echo Company owns a property worth 1 billion Korean won and has 100 million Korean won in cash, but its liabilities exceed 1.2 billion Korean won, then its balance sheet indicates insolvency. DAT Company also faces similar situations. If Bitcoin prices fall below a certain level, the book value of assets will become negative, and the company will be unable to pay its debts. This level is known as the static bankruptcy threshold.

To determine the static bankruptcy threshold for the strategy, we first need to understand how the company has accumulated its Bitcoin holdings.

This strategy has been treating Bitcoin as a strategic asset since 2020. However, its accumulation methods changed after 2023. Prior to that, the company mainly relied on cash reserves and small amounts of convertible bonds to purchase Bitcoin. The amount of Bitcoin held remained at a low level of 100,000 units, and the need for additional financing was also limited. Starting from 2024, the method of financing changed. The strategy utilized a combination of issuing preferred stocks, ATM stock plans, and large-scale convertible bonds to increase leverage, thereby providing funds for further purchases of Bitcoin. This led to a rapid increase in the rate at which Bitcoin was accumulated. This structure created a cycle: rising Bitcoin prices increased the company’s market value, allowing it to use greater leverage to support further purchases. The goal remains the same, but the financial structure and risk situation have changed. This structural change has now become a key factor contributing to the increased risk of Strategy’s bankruptcy. It is estimated that Strategy’s static bankruptcy level in 2025 will be around $23,000. If the value of Bitcoin holdings falls below this level, the company will be insolvent on its balance sheet. The key point is that this threshold continues to rise. In 2023, the company could withstand Bitcoin prices around $12,000. By 2024, the threshold rose to $18,000, and by 2025, it reached $23,000. As Strategy continues to increase its holdings of Bitcoin, this critical price level also rises.

Therefore, a threshold of $23,000 represents the minimum price at which Bitcoin can operate smoothly. This means that Bitcoin would need to fall by approximately 73% from its current level before it would risk going bankrupt.

3. Convertible bonds: The key issue lies in the put options available to bondholders, not the maturity date.

As mentioned earlier, since the growth rate of liabilities exceeds the amount of Bitcoin held, the static bankruptcy threshold for Strategy has been raised to $23,000. The next question is how these debts are structured.

Between 2024 and 2025, Strategy adopted a new financing model that combined convertible bonds, preferred stocks, and ATM stock plans. Among these instruments, convertible bonds accounted for the largest proportion and had the most significant impact on the market.

What matters isn’t the size or maturity date of convertible bonds, but the timing at which bondholders exercise their put options.

This clause allows investors to demand early repayment, and the company cannot refuse. Most of the large-scale convertible bonds issued between 2024 and 2025 have redemption dates around 2028. Therefore, 2028 will be a crucial year for Strategy to demonstrate its ability to refinance its debt.

If Bitcoin prices reach the bankruptcy threshold or market conditions deteriorate in 2028, investors are likely to exercise their put options rather than waiting until the maturity date. A wave of exercise of put options would require Strategy to raise billions of dollars in cash immediately.

问题在于，通过这些可转换债券筹集的资金几乎全部用于购买比特币。如果这些资金投资于能够产生现金流的生产性资产，公司自然就有了偿还资金的来源。然而，专注于积累比特币的做法导致可用于赎回的现金所剩无几。

因此，偿还债务将需要通过出售资产来实现。如果比特币价格在期权窗口开启时处于低位，Strategy可能会立即面临流动性短缺。强制抛售会进一步压低价格，提高破产门槛，并可能引发恶性循环。

4、优先股：为何选择10%的股息负担

从2025年开始，公司战略从发行近乎零息可转换债券转向发行股息率约为10%的优先股。乍一看，这似乎是一个成本更高的选择。

然而，该决定反映了2027-2028年日益增长的再融资压力。2028年持有人集中投资将显著增加中期偿付风险。在此期间任何持续的现金流出都将增加破产风险。

优先股的关键特点在于股息无需以现金支付。发行策略的设计使得股息​​可以在需要时以股票形式支付。这使得公司能够在不立即造成现金流失的情况下筹集资金，并在不使用现金的情况下履行股息支付义务。实际上，优先股帮助公司避免在关键的2027-2028年期间出售比特币。

Although a 10% dividend rate seems high, paying dividends in the form of shares actually serves as a tool for maintaining liquidity and preventing short-term cash shortages.

However, this structure also brings new challenges. Paying dividends in the form of shares continuously dilutes the equity of common shareholders. The strategy itself faces the risk of equity dilution from the conversion of future convertible bonds, while preferred stocks add another layer of equity pressure.

Preferred stocks also enjoy priority in receiving payments. If a company is simultaneously under pressure from debt repayment and operating costs, the payments owed to preferred stockholders must be made before those to common stockholders. Although preferred stocks do not have a fixed maturity date, their obligation to pay dividends constitutes a structural fixed cost, which affects the company’s actual bankruptcy threshold.

By 2024-2025, this strategy has shifted from a model based on low-cost convertible bonds to a mixed structure that combines convertible bonds, preferred stocks, and ATM issues. This change has allowed Bitcoin holdings to expand rapidly in the short term.

5. What happens if the strategy fails?

If the strategy cannot refinance by 2028, its impact on the market can be estimated based on its repayment obligations.

The large amount of convertible bonds issued between 2024-2025 will result in potential repayments of approximately $6.4 billion in 2028. If market conditions are weak and neither preferred issues, ATM issues, nor new convertible bonds can be issued, the company will have no choice but to sell Bitcoin.

Assuming the price of Bitcoin is $90,000 per unit, the Strategy needs to sell approximately 71,000 units of Bitcoin in order to fulfill these obligations. This amount is not comparable to the typical scale of institutional sales. Currently, the daily trading volume on the spot market ranges from $20 billion to $30 billion. Selling 71,000 units of Bitcoin at a price of $90,000 would result in a value of approximately $6.4 billion, which represents around 20% to 30% of the daily trading volume. Such a large-scale sale in a short period of time will certainly cause significant pressure on prices. What’s more concerning is that such sales aren’t isolated incidents. As the price of Bitcoin drops, the asset value of Strategy will also decrease, thereby weakening its financial ratios. This will further limit its ability to raise funds and may force it to sell more Bitcoin. The result is a vicious cycle: failed refinancing leads to forced sales, forced sales lead to price drops, price drops reduce asset value, and the company is forced to sell more assets. Even if this situation continues for several quarters, it could lead to a deterioration of the balance sheet to an irreparable level. Therefore, the structural risks associated with this strategy are most acute in the year 2028. Outside of this time frame, the leverage model seems manageable. However, if refinancing fails in 2028, it could trigger a sell-off that could affect the entire Bitcoin market. Thus, 2028 is crucial not only for the survival of Strategy, but also for the stability of the entire Bitcoin ecosystem. The Strategy is relatively stable, but those who enter the market later face higher risks.市场叙事通常将DAT风险简化为一个简单的问题：一家公司能否在比特币每次下跌中幸存下来。然而，这项分析表明，决定公司能否生存的关键并非短期价格波动或股票波动性，而是公司的资产负债表及其资本结构设计。

因此，评估数字资产技术公司不仅仅需要关注其股价或比特币价格的下跌。关键指标包括其静态破产门槛的位置、现金偿还压力的时间以及用于弥补融资缺口的工具。这些因素有助于我们了解其结构性韧性，而非短期波动。

并非所有风险都能预测。ETF资金流动、宏观经济状况和监管政策变化都可能随时重塑市场环境。即便如此，最可靠的基准仍然是财务数据所隐含的破产门槛以及公司的基本现金流机制。

Strategy公司在这方面独树一帜。该公司于2020年进入比特币市场，经受住了2022年的低迷期，并在2024年通过杠杆融资加速了积累。其可转换债券和优先股的组合构建了一个多层缓冲。

因此，策略型企业拥有相对稳定的基础。而新进入者尚未建立成熟的数据资产技术框架，其抵御价格大幅下跌的能力则远不如前者稳定。

本报告旨在通过量化信号而非恐惧或乐观来为评估DAT公司奠定基础，并强调真正重要的结构性风险。