Mt.Gox还款：做多BTC和做空BCH的催化剂?

金色财经Published on 2024-08-07Last updated on 2024-08-07

作者：Peter Chung，Presto Research；编译：陶朱，金色财经

摘要

  • Mt. Gox的赔偿计划在2024年7月1日至10月31日期间将向Mt. Gox债权人分发价值数十亿美元的BTC和BCH。在这4个月期间，这可能会导致BTC和BCH的供需动态发生变化，从而可能开启配对交易机会。

  • 我们的分析表明，BCH 的抛售压力将是 BTC 的四倍。假设是：1）对于 BTC，只有一小部分会被出售，因为债权人大多是“手握钻石”的富有的比特币持有者； 2) 对于 BCH，鉴于其投资者基础要弱得多，短期内将出售 100%。

  • 多头 BTC 永续合约与空头 BCH 永续合约配对是表达这一观点的最有效的市场中性方式，除非存在资金利率风险。那些希望锁定融资利率的人可以探索其他方法，例如短期期货或在现货市场借入 BCH。

图 1：BTC/BCH 比率呈上升趋势

9e6Tx5IbieoGZne2y0NAl6BM0dbEpdXJ4odDdIST.jpeg

资料来源：TradingView、Presto Research

前言

Mt.Gox 发布的《关于开始使用比特币和比特币现金还款的通知》于 6 月 24 日明确表示，Mt.Gox选择所谓“早期一次性付款（如下所述）”的还款将于 2024 年 7 月 1 日至 10 月 31 日之间进行。这将导致 BTC 和 BCH 在这 4 个月期间的供需动态发生变化，可能会开启配对交易机会。本报告将详细探讨这一点。

Mt. Gox的偿还计划

Mt.Gox 曾经是全球最大的比特币交易所，直到 2014 年初因损失了客户持有的近 100 万比特币而关闭。其中一些资产后来被找到。受托人正在努力根据计划偿还债权人。

根据该计划，Mt. Gox 债权人可以选择根据迄今为止收回的资产进行小幅削减，“提前”获得补偿，而不是等待“完全收回”。这种选择通常被称为“提前一次性付款（ELSP）”对于想要确定预付款的债权人来说，这将是首选。另一种选择是坚持下去，希望资产追回取得进一步进展，同时承担可能影响还款金额的各种风险，例如目前正在进行的 CoinLab 诉讼。由于这两个问题的结果都不确定，也没有明确的时间表，因此大多数债权人更愿意提前退出。 ELSP的亮点如下（图2）。

图 2：ELSP 详细信息

tDcwWbRlcqq1xVB4HJAyir3qoUvwt6kjXp1iiZUg.jpeg

资料来源：CoinTelegraph、@intangiblecoins、Presto Research

目前的主流说法是，数十亿美元的还款将淹没供应并导致抛售，因为还款的接受者会成群结队地套现。虽然这样的前景肯定会令市场感到不安，但评估它是否真的会产生重大影响需要更仔细的分析。一般来说，只有当 1) 卖方面临时间压力，或 2) 持有资产的机会成本被认为很高时，任何市场中所谓的“悬而未决”风险才会出现。评估所讨论的两种资产（即 BTC 和 BCH）的这两点，我们可以观察到不同的动态在发挥作用。

分析Mt. Gox的债权人

我们的分析受到 Galaxy Digital 研究主管 Alex Thorn 的“X”主题的启发，该主题为思考该问题提供了一个出色的框架。我们在下面复制了他的表格，并补充了其他数据以确保清晰。

图 3：分析 ELSP 还款

6dz9AKB0THlmc8YCdWNmF6UK6gT5nxQjj5xRU5T5.jpeg

资料来源：@intangiblecoins，Presto Research

评估债权人在收到还款后可能会如何行事，需要更仔细地了解他们是谁。上表显示，除个人债权人外，最大的两个债权人群体是“索赔基金”和Bitcoinica。索赔基金本质上是机构“秃鹫基金”，其目的是以大幅折扣购买破产索赔。Fortress Investment Group和Off The Chain Capital是Mt. Gox交易中的主要参与者。在过去的几年里，索赔基金已经从陷入困境的卖家那里积累了大量的BTC索赔，根据Alex的估计，现在有20,000个BTC。Bitcoinica是一家已经倒闭的新西兰比特币交易所，在Mt. Gox上有多达1万比特币的存款。

Alex 在他的帖子中指出：

  • 他的分析假设 75% 的债权人接受 ELSP。

  • 索赔基金不太可能立即出售，因为他们的有限合伙人由早期的比特币持有者组成，他们已经很富有，并希望以折扣价积累更多资金。

  • 作为一家正在经历破产程序的不存在的交易所，Bitcoinica 不太可能清算其所持股份。

  • 目前的个人债权人群体可能是“大手笔”，因为他们选择将其债权保留十年，抵制债权基金的积极出价。实力较弱的债权人有很多机会退出，而且他们很可能已经这么做了。

考虑到上述情况，我们通过添加债权人偿还进入市场的部分的假设来扩展Alex的原始分析。具体来说，对于 BTC，我们假设由于上述原因只会出售一小部分。对于 BCH，我们假设 100% 将在短期内出售（图 4）。考虑到比特币现金分叉是在 Mt. Gox 破产事件发生三年后发生的。这里的假设是 Mt. Gox 债权人并没有意识到比特币现金的原因，并且更有可能像任何加密货币狂热交易者处理空投一样对待他们的 BCH 付款 —— 即立即兑现或兑换成 BTC。我们将这些假设应用于图 3 中的数据，以得出可能的 BTC 和 BCH 清算的美元价值。与 BCH 相比，其交易量要小得多。 由于BCH的交易量比BTC小得多，因此BCH的抛售压力要比BTC大得多——即BTC的日交易价值占6%，而BCH的日交易价值占24%。

图 4：BCH 的抛售压力是 BTC 的 4 倍

WBxdyPigUkAZL6MN259MtKnhR67Tqv9ZfPagAL68.jpeg

资料来源：@intangiblecoins，Presto Research

以市场中性的方式利用这种不对称供应风险的最佳方式是做多 BTC 敞口，同时做空 BCH 敞口。这可以用几种不同的方式来表达，但最有效的是永续期货（perps）市场。永续经营者面临资金利率波动的风险，但与快速建立和解除双边赌注的便利性相比，这种风险很容易相形见绌。

例如，让我们看一下通过币安 USD-M 期货来表达这一交易。 2024 年，做多 BTCUSDT 永续合约和空头 BCHUSDT 永续合约的平均年化净资金利率为 13%（图 5）。如果您进入该交易 3 个月，盈亏平衡门槛将为 3.25%。鉴于 BTC/BCH 比率目前为 161，该比率升至 193 的局部最高点（+20% 的上涨空间）将清除障碍率，并产生扣除融资成本后 17% 的市场中性回报。该比率的历史最高点是 2023 年 5 月的 252。

图 5：配对交易的融资成本

eAoR8O3uPvDSHHmElLTVHH90jYy0ssSMugqNhGqz.jpeg

资料来源：Binance、Presto Research

此外，那些希望锁定融资利率的人可以探索其他方法，例如短期期货或在现货市场借入标的资产。一些交易所提供 BCH/BTC 货币对交易，尽管流动性较低（图 6）。

图 6：BCH/BTC 交易对 24 小时交易量为 230 万美元

FoOex6miLJ2b8npza98fHTa9P3dT3WApouf3j47u.jpeg

资料来源：Binance

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