Glossary · B
BTC Risk
Strategy's own modelled probability that a security's BTC Rating falls below 1.0x by the end of its duration, given assumed bitcoin returns and volatility. Strategy states it is not an actuarial or agency risk rating.
Revised 22 October 2026 · The issuer's own metric, coined by Strategy Inc. · Suggest a correction
BTC Risk is the issuer's own metric. Strategy defines it as "the probability of an instrument having a BTC Rating less than 1 at the end of its Duration". The probability "is derived from a lognormal distribution modeling of bitcoin's price, adjusted for BTC ARR and BTC Volatility assumptions" (FWP, 24 August 2026).
Inputs
- BTC Rating: current coverage of the security by the bitcoin reserve
- Duration: Strategy uses each security's illustrative Macaulay duration (for example 8.1 years for STRC and 10.2 years for STRF, August 2026)
- BTC ARR: an assumed annual bitcoin return (10% in the August 2026 dashboard)
- BTC Volatility: an assumed annual standard deviation (40% in the same dashboard)
Strategy turns BTC Risk into an annual spread called BTC Credit: −ln(1 − BTC Risk) ÷ duration.
Reported figures (Strategy credit dashboard, 24 August 2026)
These figures assume a bitcoin price of $77,004, a BTC ARR of 10% and volatility of 40%:
| Instrument | BTC Risk | BTC Credit |
|---|---|---|
| STRF | 0.07% | about 1bp |
| STRC | 4.68% | about 59bp |
The STRC figure can be checked: −ln(1 − 0.0468) ÷ 8.1 ≈ 0.59%.
Limits
The result depends entirely on the assumptions. A higher volatility or lower assumed return gives a higher BTC Risk. Strategy states that BTC Risk "does not represent an actuarial risk rating or a rating from any rating agency". It also says the metric is illustrative and "should not form the basis for an investment decision". The model covers only the bitcoin price path. It does not include liquidity, legal, operational or refinancing risks, or the issuer's discretion over dividends.
What to check in the filing
- The BTC ARR and volatility assumptions
- The duration used for each security
- Date of the dashboard snapshot