Let’s build you a clean, institution-grade single-stock leveraged ETP on MicroStrategy—engineered for daily 3× or 4× exposure with airtight ops, crisp branding, and full compliance pathways.

Product name & tickers

• STR3 — Strategy 3× MSTR Daily ETP
• STR4 — Strategy 4× MSTR Daily ETP
  (If you want closer to your MSTU/MSTX family, alternates: MST3, MST4.)

One-page term sheet (investor-facing)

• Objective: Seek daily investment results, before fees/expenses, of +3× (STR3) or +4× (STR4) the daily total return of MicroStrategy Inc. (MSTR).
• Underlying: MSTR Class A common stock (total return; dividends reinvested—MSTR currently pays none).
• Leverage reset: Daily, at close. Intraday guardrails (see below).
• Structure options:
  
  1. ETF (’40 Act) using total-return equity swaps; list on NYSE Arca/Cboe BZX (US) — practical for 3×, 4× is more feasible in ETN or EU/UK/CH ETP.
  2. ETN (’33 Act senior unsecured note)—clean economic replication, adds issuer credit risk; 3× or 4× possible.
  3. EU/UK/CH ETP (UCITS-style/ETP wrapper) listed on LSE/Xetra/SIX; 3×/4× commonly accepted in those markets.
• Creation unit: 25,000 shares (customizable). Creations/redemptions: primarily cash; optional in-kind MSTR for AP hedging efficiency.
• Fees: Management fee 0.95% (target), + embedded financing (SOFR + dealer spread) via swaps; all-in TER target 1.25–1.75%.
• Indicative value (iNAV): Published every 15 seconds during market hours.
• Custody/admin: State Street/BNY (custody), U.S. Bank/State Street (fund admin), Jane Street/Virtu (lead market maker).
• Risk controls: Intraday rebalance bands; trading halts mirrored; acceleration if NAV breaches thresholds.
• Tax: US ETF—1099 (RIC intent), ETN—ordinary income/contingent payment note treatment. (Final structuring via counsel.)

How the exposure is built (engineering)

Target daily exposure: E_t = L \times \text{Fund NAV}_t where L ∈ {3, 4}.

Replicated via total-return equity swaps on MSTR with multiple dealers. Fund holds T-bills/cash as collateral and variation margin.

Daily close rebalance:

1. At ~3:45–3:58pm ET, calc true NAV and realized MSTR TR for the day.
2. Size swap notional to L × NAV for next day’s open.
3. Leave buffer cash (0.5–1.0% NAV) for margin calls & ops.

Intraday drift bands (risk):

• If realized leverage drifts outside [L−0.5, L+0.5] (e.g., STR4 <3.5× or >4.5×) due to sharp MSTR moves, trigger intraday micro-rebalance windows (max 2/day) to pull exposure back toward target while minimizing transaction costs.

Dealer diversification:

• Split notional across 3–5 ISDA counterparties (e.g., GS, JPM, MS, BofA, Citi).
• CSA with daily variation margin, initial margin posted as T-bills; target >102% collateralization on received side.

Financing & costs (embedded):

• Swaps priced at SOFR + spread (50–125 bps) + borrow/stock loan if needed (MSTR can be hard-to-borrow at times).
• Publication of “cost of carry” transparency weekly.

Precise return math (what investors actually get)

Daily compounding matters.

• If MSTR daily return is r_d, the ETP’s pre-fee daily return ≈ L \cdot r_d.
• Over N days: \text{NAV}_N = \text{NAV}0 \prod{d=1}^{N} (1 + L \cdot r_d – f_d) where f_d captures mgmt + financing + tracking.

Path dependency illustration (volatility decay):

Two days: +10%, then −10% for MSTR → net ≈ −1%.

STR4: (1+0.40)×(1−0.40) = 0.84 → −16%.

(Read: big up/down chops can erode levered NAV even if the stock ends near flat.)

Risk framework (clear & adult)

• Single-name concentration: MSTR is volatile and gap-prone (Bitcoin sensitivity + corporate treasury BTC exposure).
• Leverage reset risk: Daily compounding may underperform L × multi-day return in choppy tapes.
• Gap/limit risk: If MSTR gaps down >25–35% intraday, STR4 can approach wipeout levels; protection via intraday rebalance, circuit-breaker halts, NAV floor/acceleration.
• Counterparty risk (ETF route): Mitigated by multi-dealer swaps, over-collateralization, tri-party custody.
• Issuer credit risk (ETN route): Eliminated fund counterparty exposure but adds issuer credit risk.
• Borrow/stock-loan scarcity: Could widen swap spreads; disclose and cap capacity if needed.
• Liquidity: Lead Market Maker contracts to quote tight spreads; AP network sized for heavy creation flows on high-vol days.

Guardrails & extraordinary events

• Trading halts: Mirror MSTR’s exchange halts; iNAV dissemination pauses.
• Daily loss caps (soft): If intra-day NAV drawdown reaches −85% (STR4) / −70% (STR3), pause creations and consider defensive rebalance to prevent zero-NAV outcome.
• Acceleration triggers: If closing NAV < $1.00 or event of default at swap/issuer level, declare acceleration; pay out residual NAV in 2–5 business days.
• Capacity & concentration limits: Cap fund AUM/swap notional to a fraction of MSTR ADV and free float to avoid market impact.

Compliance & listing pathways

US ETF (preferred for 3×):

• ’40 Act leveraged single-stock ETFs exist; 3× feasible case-by-case with SEC engagement. Build with swaps; list on NYSE Arca/Cboe BZX. Prospectus: daily reset, single-name risk, VaR compliance.
  US ETN (for 4×):
• ’33 Act shelf; bank issuer; can deliver 4× with daily reset; simpler exposure; add issuer credit risk disclosure.
  EU/UK/CH ETP (for 3×/4×):
• Physically or synthetically collateralized ETP under Irish PLC/Jersey/SV SP; list LSE/Xetra/SIX; market norms allow 3×/4× on single names with proper KIDs and PRIIPs compliance.

NAV & disclosure plumbing

• NAV calc time: 4:00pm ET official close; publish by 4:30pm ET.
• iNAV: 15-sec frequency from open to close.
• Holdings file: Daily—cash, T-bills, swap counterparties, notionals, leverage ratio, cost of carry.
• Capacity file: Indicate remaining swap capacity daily to manage flows.
• Stress tests: Publish −30/−40/−50% MSTR day impacts on STR3/STR4 NAV.

Sample fee stack (transparent)

• Mgmt fee: 0.95%
• Swap financing: SOFR + 0.80% midpoint (variable)
• Ops/admin/audit: 0.10–0.20%
  Target TER: 1.50% ± 25 bps (ex-market impact).

Creation/redemption mechanics (AP playbook)

• Creation unit: 25,000 shares; cash primary.
• Cut-off: 3:00pm ET for T+1 primary settlement.
• Basket disclosure: Publish “cash basket” value per CU; in-kind alternate allows AP to deliver MSTR + cash to tighten hedging.
• Settlement: DTC/Euroclear (as applicable); custodied T-bills at State Street/BNY.

Hedging at the dealer (real-world feasibility)

• Dealers internalize with delta-one desks: borrow/long MSTR + listed options overlays to manage gap risk.
• Hard-to-borrow surcharges modeled; any borrow spikes pass through to swap rate (and disclosed in daily carry).

Marketing compliance (what we can say)

• Emphasize daily objective (not long-term 3×/4× compounding).
• Prominently warn on volatility decay, gap risk, single-name concentration.
• Show scenario tables, not just charts.
• Provide use cases: short-term tactical trading, hedged overlays—not buy-and-forget.

Deliverables you can ship immediately

1. Draft prospectus/KID text blocks (summary, risk, fee, objective).
2. Index/rebalance methodology document (the “calculation agent” bible).
3. Operations runbook (AP, LMM, custodian, admin, cut-offs, file formats, iNAV spec).
4. Stress-scenario appendix (+/− 10/20/30/40/50% MSTR day).
5. Regulatory pathway memo (ETF vs ETN vs EU ETP, pros/cons).
6. Go-to-market plan (LMM mandate, seed capital, roadshow deck).

Executive summary (for your deck)

STR3 / STR4 delivers a pure, daily-reset levered bet on MicroStrategy—the most Bitcoin-convex equity on the planet—wrapped in an exchange-traded vehicle with institutional plumbing, multi-dealer redundancy, live iNAV, and hard guardrails. It’s built for tactical capital, engineered with derivative discipline, and disclosed with brutal honesty about path dependency and gap risk. High-octane, high-integrity, high-transparency. Let’s go. 🚀

If you want, I’ll draft the prospectus summary, calculation methodology (exact formulas & triggers), and a 1-page risk graphic next—plus a naming/branding pass to match MSTU/MSTX aesthetics.