Abstract
Digital credit instruments—exchange-listed, perpetual preferred shares backed by Bitcoin-heavy corporate treasuries (e.g., STRC, SATA)—have grown rapidly, yet traditional risk models rely on subjective statistical assumptions. This paper introduces an objective, quantitative framework that decomposes digital credit yield into three components: the risk-free rate, the market-implied cost of hedging Bitcoin price risk, and a residual risk premium. By utilizing the live implied volatility surface of liquid Bitcoin/IBIT options, the framework prices a theoretical put option struck at the 1.0x asset coverage impairment threshold. Isolating this objective hedge cost reveals the remaining residual premium, which compensates investors for qualitative, unhedgeable governance, regulatory, and tax risks. This methodology provides a robust relative-value toolkit for institutional investors to identify mispricings and establish an empirical floor for risk compensation.