Guessing What MSTE Has to Earn to Pay the Yield
Harvest doesn't publish up-to-date information showing exactly how many MSTR shares MSTE currently owns, what strikes its covered calls are written at, or exactly what percentage of the portfolio is currently covered. But we can look at the filings, prospectus and portfolio disclosures and start making some reasonable estimates.
Harvest describes MSTE as a fund that gives investors exposure to MSTR while writing covered calls on up to 50% of the position to generate high monthly distributions. They also say the fund uses around 25% leverage, although the prospectus allows them to push that leverage higher, up to roughly 33%.
The prospectus also says covered calls can be written each month on up to 50% of the portfolio and that they will generally be written at the money, although Harvest can write them out of the money at its discretion.
MSTE launched on March 5, 2025. Looking at the annual filing as of December 31, 2025, the fund held 1,711,929 MSTR shares and had written calls covering 671,300 of those shares. That means about 39.2% of the MSTR position was covered by call options at that point.
So while Harvest can write calls on as much as 50% of the portfolio, we have at least one actual filing showing them closer to 39% coverage. We don't know if that is what they are doing today, but it gives us a reasonable historical starting point.
Looking at the website, the July 31, 2026 portfolio breakdown showed MSTR at 128.1% of the portfolio, written options at -1.6%, and cash and other assets and liabilities at -26.5%. So at that point the fund had roughly 128% exposure to MSTR.
The website recently showed AUM of $417.25 million and NAV of $2.29. That works out to roughly 182.2 million MSTE units. The market price has since moved to around $2.53, but the NAV and AUM hadn't updated yet.
Assuming the unit count is still roughly the same and NAV ends up around $2.53, estimated AUM would be about $461 million. If the MSTR exposure is still close to the 128.1% reported in July, that would mean roughly $590.5 million CAD of MSTR exposure. At around 1.38 CAD/USD, that is about US$428 million. MSTR is trading around US$137.40, that works out to roughly 3.1 million MSTR shares.
If Harvest is still writing calls against roughly the same 39.2% of the position we saw in the annual filing, that would mean around 1.22 million MSTR shares covered, or roughly 12,200 covered call contracts.
The latest distribution was announced at $0.075 per unit. With roughly 182.2 million units outstanding, that is around $13.7 million CAD being distributed each month.
The entire $13.7 million does not have to come from option premiums. With a large portion of the portfolio still uncovered, a rising MSTR share price can help rebuild NAV and can also create realized gains if the fund sells shares. The fund can therefore support the distribution through a combination of MSTR appreciation, realized gains, option premiums and other portfolio activity.
But economically, if the fund is paying out $13.7 million every month, it needs to generate at least that much total return after expenses just to stop the distribution itself from pulling NAV lower. If the goal is to actually rebuild NAV, it needs to earn more than that.
MSTR is currently trading around $137.40. If we look at the option chain we can get an idea of what kind of income they could potentially generate.
At roughly one month out and using the midpoint between the bid and ask, the $150 call is around $8.55, the $155 around $7.25, the $160 around $6.13, the $170 around $4.53 and the $180 around $3.33.
If Harvest was writing calls on roughly 1.22 million shares, they would need about US$8.11 per covered share to generate the full $13.7 million CAD monthly distribution from the calls alone.
Based on the current option chain, that would put them somewhere around the $151 to $152 strike. With MSTR trading at $137.40, that is only about 10% out of the money.
If they wanted to capture more of the upside and they went further out of the money like 30% out of the money, the strike would be around $179, so basically the $180 call. That option is currently worth around $3.33 at the midpoint.
Writing that against roughly 1.22 million shares, it would generate about US$4.1 million, or roughly $5.6 million CAD which is a long ways off the $13.7 million the fund is currently distributing each month so more of the distribution would have to come from selling shares or other portfolio activities.
The farther out of the money Harvest writes the calls, the more upside they leave open for MSTR, but the less premium they collect. The closer they write the calls to the current share price, the more income they can generate, but the more upside they potentially give away if MSTR makes a big move higher. At the end of the day the cash distributed to unitholders has to come from the portfolio somewhere, whether that is option premiums, realized gains, selling shares or other available cash
