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.
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BTC Risk (MSTR)
The annual probability that a liability's BTC Rating falls below 1x, estimated via Black-Scholes for asset drawdown.
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