BTC Risk (MSTR)
The annual probability that a liability’s BTC Rating falls below 1x, estimated via Black-Scholes for asset drawdown.
What is BTC Risk (MSTR)?
BTC Risk quantifies the likelihood of Bitcoin holdings value dropping below the par value coverage for a specific security, using a put option-implied probability from Black-Scholes model with inputs like BTC volatility and ARR. For STRK, it stands at 46% annually under baseline assumptions as of May 2025, adjusting lower with positive BTC returns.
It informs credit assessments but is not an actuarial or agency rating, presented illustratively without recovery assumptions.
Applied across Strategy’s stack, it ranges from 0% for senior converts to 38% for STRF.
Related Terms
Trust Compnay
Fiduciary entities that manage investment trusts holding cryptocurrencies for investors seeking regulated exposure without direct ownership.
Impermanent Loss Amplification
The heightened risk of value loss for liquidity providers when using concentrated positions, exacerbated by price movements outside specified ranges.
Dot Plot
A chart released quarterly by the Federal Reserve showing anonymous projections from FOMC members for future federal funds rates.
Decentralized Data Marketplace
A platform for trading data assets without centralized control.
Federal Open Market Committee (FOMC)
A 12-member committee within the Federal Reserve System responsible for setting U.S. monetary policy, including interest rates and open market operations.
DeFi
Decentralized Finance (DeFi) refers to financial applications built on a blockchain that operate without centralized intermediaries, using smart contracts to enable trustless lending, borrowing, trading, and more.