Moody’s values Bitcoin with a 28% discount and establishes conditions for mandatory liquidation.

On March 31, Moody’s assigned provisional Ba2 ratings to up to $100 million in taxable revenue bonds for the Waverose Finance Project. These bonds are backed by a loan to NH CleanSpark Borrower Trust 2026-1, with Bitcoin (BTC) serving as the pledged collateral.

These figures establish the parameters under which traditional finance has agreed to engage with Bitcoin: 72.06 cents of credit for each dollar of collateral value, a two-day exposure period to respond to price fluctuations, and an initial collateral coverage of 1.60x, which necessitates action if it falls to 1.40x.

Bitcoin has spent years seeking recognition as a store of value, a reserve for corporate treasuries, and an asset for ETFs. The New Hampshire arrangement highlights Bitcoin’s role as collateral.

Collateral is where an asset gains credit utility, allowing institutions to borrow against it within frameworks that credit markets can comprehend, price, and, when necessary, liquidate swiftly. This is the threshold Bitcoin has just crossed.

Why this matters: This marks the first instance where Bitcoin has been formally articulated in credit terms that public markets can grasp. Rather than merely being held or traded, BTC is now being assigned a borrowing value, a liquidation threshold, and a stress price, transforming it from an asset into functional financial collateral. This transition creates a new liquidity source for holders but also establishes a system where price declines can trigger automatic sales across multiple structures simultaneously.

The opening price of trust

The Waverose structure is a taxable conduit revenue bond.

New Hampshire’s involvement concludes at the conduit, with bondholders assuming all loss risk. This represents limited-recourse, institutional infrastructure.

Two implications arise from this structure. First, it isolates risk: if the collateral fails, bondholders incur the loss. Second, it delineates the specific terms under which traditional finance has permitted Bitcoin to enter the credit system.

With an initial collateral coverage of 1.60x, the bond begins with debt approximately equal to 62.5% of the collateral value. The 1.40x trigger, which activates automatic action, suggests a debt level of about 71.4%.

The structure activates its wire trip when BTC declines by roughly 12.5% from the issuance price, a movement Bitcoin has frequently executed.

A bar chart illustrates the Waverose bond’s three collateral thresholds, reference value, trigger point, and Moody’s stress floor, normalized to a 100-point Bitcoin price scale.

Moody’s assessed the collateral value at 72.06% of the market price. Mapped to Bitcoin’s price on April 1 in the $68,000 range, the stress zone is approximately $49,600.

Standard Chartered projected its near-term bearish scenario for Bitcoin at $50,000, and traditional finance firms calibrated their initial public finance haircut on Bitcoin almost precisely along a downside trajectory that one of the world’s largest banks still considers plausible.

From owned to pledged

New Hampshire’s involvement coincided with two other recent developments pointing in the same direction.

In February, S&P assigned the first-ever rating to a structured finance transaction backed by Bitcoin. This transaction was the Ledn Issuer Trust 2026-1, involving approximately $199.1 million in loans secured by 4,078.87 BTC, with a fair market value of around $356.9 million, indicating a loan-to-value (LTV) ratio of about 55.8% at inception.

In March, Better and Coinbase introduced what they termed the first crypto-backed conforming mortgage, where a borrower pledges $250,000 in BTC to facilitate a $100,000 down payment, while the first lien remains Fannie Mae-backed.

Bitcoin has received three credit wrappers in about six weeks, each with distinct haircuts, liquidation mechanics, and regulatory constraints. Collectively, they illustrate a process in which Bitcoin enters credit markets through multiple avenues simultaneously, and these avenues are moving closer to conventional household finance.

Structure	Date	Wrapper type	Collateral / pledge	Haircut / Rationale	Who bears risk	Why it matters
Waverose / New Hampshire	Mar. 31, 2026	Taxable conduit revenue bond	Bitcoin pledged as collateral for bonds secured by a loan to NH CleanSpark Borrower Trust 2026-1	Moody’s stressed collateral at 72.06% of market value; 1.60x initial collateral coverage; action triggered at 1.40x; implied debt-to-collateral starts around 62.5% and rises to 71.4% at trigger	Bondholders absorb losses if collateral fails; no New Hampshire public funds pledged	Indicates Bitcoin entering public-finance-adjacent credit as rated collateral, not merely as an owned asset
Ledn Issuer Trust 2026-1	February 2026	Structured finance / ABS	Approximately $199.1 million in loans secured by 4,078.87 BTC with a fair market value of about $356.9 million	About 55.8% LTV at inception	Investors in the structured-finance deal; risk tied to collateral, operations, and liquidation mechanics	Marks Bitcoin’s entry into rated structured finance
Better / Coinbase mortgage product	March 2026	Crypto-backed conforming mortgage / down-payment loan	Borrower pledges $250,000 in BTC to secure a $100,000 loan for a home down payment, while the first lien remains Fannie Mae-backed	Example implies a 40% advance rate on pledged BTC	Risk resides with the crypto-backed loan structure, while the first mortgage remains separately conforming/Fannie-backed	Advances Bitcoin collateral closer to household finance and mainstream mortgage infrastructure

The US municipal market had $4.4 trillion in outstanding bonds as of the fourth quarter of 2025. Households directly held 48% and approximately 21% through mutual funds.

Municipal bonds occupy a specific psychological position in American savings culture, serving as a place where advisors allocate funds for clients seeking safety alongside tax efficiency.

The Waverose bond falls within the taxable conduit category. Taxable municipal issuance was only about $33 billion in 2025, representing less than 6% of the total market. At $100 million, this deal accounts for roughly 0.0023% of the outstanding municipal market.

One mechanism for two potential futures

For Bitcoin holders and firms with substantial treasury reserves, the utility of collateral can have opposing effects depending on price movements.

Strategy held 762,099 BTC as of March 31. Between March 4 and 25, MARA sold 15,133 BTC for approximately $1.1 billion to finance a debt repurchase, which were direct spot sales to fulfill a balance sheet obligation.

A functioning BTC-collateral market exists between the two positions of complete accumulation and total liquidation, while providing credit against reserves that allows holders to raise capital while maintaining their Bitcoin holdings.

A dual-path flowchart illustrates how Bitcoin’s emerging collateral market mitigates spot selling in stable conditions and concentrates forced liquidations during price stress.

Fidelity noted in March that public companies and ETFs together hold approximately 12% of Bitcoin’s circulating supply, and that 2025 was Bitcoin’s least volatile year on record, based on annualized realized volatility.

If this trend continues and Bitcoin approaches the $100,000-$150,000 range projected by Bernstein for late 2026, the collateral channel becomes genuinely appealing. BTC-rich firms maintain large reserves with lower realized volatility, lenders gain confidence in liquidation assumptions, and the haircut required to access credit diminishes across successive deal cycles.

Each rated transaction contributes data to Bitcoin’s nearly nonexistent track record as pledged collateral. A second deal, a third, a cluster, and the pricing of trust begins to tighten.

The bearish scenario runs counter to the same mechanism. If Bitcoin revisits $50,000, near Standard Chartered’s downside estimate and close to the Moody’s stress zone from current prices, the operational question becomes pressing.

Firms may begin to question whether the liquidation mechanics function smoothly when every BTC-backed structure needs to exit simultaneously.

S&P’s rating work on the Ledn ABS highlighted operational and counterparty risk, event risk, and liquidation mechanics as the primary uncertainties for Bitcoin-backed credit. It noted the market’s capacity to absorb forced selling from multiple structures triggering their thresholds within the same price window.

A structure that mitigates forced selling in stable markets can concentrate it in volatile ones. This is the inherent geometry of collateralized credit, and Bitcoin’s volatility sharpens this geometry compared to any conventional pledged asset.

The initial iteration of Bitcoin-backed public finance is small, speculative-grade, and designed for taxable conduit territory. The framework is limited because these constraints were the only terms under which the credit system would engage.

What Moody’s released on March 31 was a pricing schedule for Bitcoin’s entry into credit markets: the conditions established by bond investors for accepting it as collateral.

Future transactions will be negotiated based on that schedule, tightening haircuts if volatility decreases, widening them if it increases, testing various custody arrangements, and moving toward the investment-grade threshold.

Each iteration adds institutional knowledge to a market that currently possesses very little.

Bitcoin took years to evolve into something institutions could purchase through regulated channels. Transitioning into something they can lend against will follow the same pattern of gradual, conditional growth, built on an accumulating track record.

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