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Refreshing the latest version...
Inputs
Pick a BDC, then set the annual default rate and fair value discount. Assets and debt load from our BDC database.
Portfolio FV
Total Debt
Current LTV
Wtd. Recovery
Results
Run the stress test
Pick a BDC, check the default rate and fair value discount, and click Calculate. Results open here in four tabs:
Overview
Current NAV vs market value vs stressed NAV, LTV and asset coverage.
FV Sensitivity & Heatmap
NAV, LTV and coverage at your FV discount and +10 to +50 points, plus the stress heatmap.
Defaults & Cash Flows
12-month cash flows from the annual default rate and weighted recovery.
Debt & Refinance
Each debt facility, maturities by year and refinancing cost.
A Business Development Company (BDC) lends to private middle-market companies and funds those loans partly with debt. Its Net Asset Value (NAV) is the fair value of its loan portfolio plus cash and other assets, less its debt - so even small fair-value markdowns can move NAV per share a lot when the BDC is levered.
Pick a BDC and the calculator loads its portfolio (aggregated by asset type), each debt facility, shares outstanding, market price and current default rate from our BDC database. You set two stress assumptions: an annual default rate, applied flat to all loans, and a fair value discount, an immediate markdown of the portfolio. The result compares the stressed NAV, in aggregate and per share, with the current NAV and the current market value, alongside current and stressed LTV and asset coverage against the 1.5x regulatory minimum.
The sensitivity view reruns the stress at your discount plus 10, 20, 30, 40 and 50 points, with a heatmap that also varies debt. The defaults view projects 12 months of cash flows from the monthly default rate and the fair-value-weighted recovery rate, and the debt view shows when facilities mature and what refinancing would cost. Results can be downloaded to Excel. It is a simplified model meant for testing sensitivity to assumptions, not a full BDC valuation.
It shows what a Business Development Company's Net Asset Value (NAV) would be after stress, compared with its current NAV and current market value, in aggregate and per share. NAV is the fair value of the portfolio plus cash and other assets, minus debt. You pick a BDC and set an annual default rate and a fair value discount; the calculator also shows current and stressed LTV, asset coverage, and the results at your discount plus 10 to 50 points.
Asset coverage is total assets divided by total debt. BDCs must keep it at or above a regulatory minimum - 150% (1.5x) for most BDCs today - before they can take on more debt or pay dividends. The calculator flags every scenario that falls below the minimum, both in the coverage chart and in the sensitivity table.
From our BDC database. Selecting a symbol loads the fund's investments aggregated by TPE asset type (first lien, second lien, unsecured, preferred, equity), each of its debt facilities, shares outstanding, market price and current default rate. The asset and debt tables show amounts in thousands of dollars; results show millions or billions and NAV per share in dollars.
The fair value discount is an immediate markdown of the whole portfolio: a 10% discount on $1B of fair value leaves $900M. The annual default rate is applied flat to all loans and converted to a monthly rate, 1 - (1 - annual rate)^(1/12). Defaulted balances recover at the recovery rate of their asset type, weighted by fair value across the portfolio; the rest is credit loss. The stressed NAV subtracts both the discount and a year of credit losses, and the defaults tab projects the 12 monthly cash flows.
Debt maturing in the near term is assumed to be refinanced at the base rate (SOFR) plus a refinance premium. The debt tab shows that all-in rate, the estimated annual cost of refinancing, and how much debt matures in each year, split into secured and unsecured facilities.
Yes. After you calculate, Download Excel exports a workbook with five sheets: Summary, Discount Scenarios, Assets, Debt Facilities and Cash Flow Projection, built from the same inputs as the results on screen.
No. It is a simplified model meant to test how sensitive NAV and asset coverage are to fair-value marks, leverage and defaults. It doesn't model income, dividends, fees, new originations or how fair values are actually determined.
