Key Risks for Strategy
- •JPMorgan warns that Strategy could be excluded from the MSCI USA index, risking up to $9.000 million in outflows.
- •The risk stems from Strategy’s Bitcoin holdings exceeding 50% of its total assets.
- •The company’s flywheel has broken: its market value almost equals the value of its BTC holdings.
Strategy, the world’s largest corporate holder of Bitcoin, faces its most severe structural risk in the last 5 years, since Michael Saylor transformed the firm into a leveraged Bitcoin vehicle.
JPMorgan, through a note, warns that the company could be removed from major equity indices, including the MSCI USA Index, a benchmark that tracks the performance of large- and mid-cap companies in the U.S.
In the last month, Strategy’s shares have fallen up to 40% and 68% from their all-time high. The firm still holds 649,870 Bitcoin, purchased at an average price of $74,433. This means that an additional 15% drop in Bitcoin’s price would push the company’s entire position into negative territory.
The Collapse of the “Bitcoin-on-Nasdaq” Model
For years, Strategy’s corporate strategy—issuing debt or shares to buy more BTC and increase market cap through appreciation—worked like a virtuous flywheel. However, as Bitcoin fell from its all-time high of $126,000 to less than $89,000 this week, that engine has weakened.
The market-implied net asset value (mNAV), which measures the company’s premium over the value of its Bitcoin holdings, has plummeted to almost 1x. This premium compression is critical, as it eliminates the company’s ability to issue high-priced shares and buy more BTC without diluting shareholders.
The risk of MicroStrategy exclusion goes beyond simple liquidity. MSCI is consulting on the exclusion of companies whose digital asset holdings represent 50% or more of their assets, a threshold that Strategy widely exceeds.
If MSCI proceeds (a final decision is expected by January 15), up to $2.8 billion in passive fund shares could be forced out. If other index providers follow suit, total outflows could approach $9 billion.
The exclusion of Michael Saylor’s company would eliminate the company’s “invisible engine,” the one that attracted institutional allocators and legitimized its model within traditional equity frameworks. That scenario would not only tighten its liquidity but also dramatically raise its funding costs, an alarm signal already flashing in the company’s preferred financing markets.