Brandywine Realty Trust · BDN
PUBLIC DATA CASEHYPOTHETICAL INVESTMENT TERMSHOLDReturn analysis — Hypothetical Senior Secured Term Loan (S+525, 1% floor)
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Performing | Default (LTM Jun-28E) | Default (LTM Jun-28E) | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 98.0 → $98.5M | 98.0 → $98.5M | 98.0 → $98.5M | |
| Cash interest received | $26.9M | $21.1M | $24.1M | |
| Exit price (performing) / recovery proceeds (default) | 100.0 → $100.0M | $102.6M | $103.0M | |
| Capital gain / (loss) vs purchase price | $2.0M | $4.6M | $5.0M | |
| Total cash proceeds | $126.9M | $123.8M | $127.2M | |
| Valuation recovery % · loss given default | 100% · 0% | 100% · 0% | 100% · 0% | |
| Absolute profit | $28.4M | $25.3M | $28.7M | |
| MOIC | 1.29x | 1.26x | 1.29x | 1.28x |
| IRR (annual periods) | 9.6% | 8.7% | 9.9% | 9.3% |
| IRR (contractual timing, 4x/yr coupons) | 9.9% | 9.0% | 10.3% | 9.6% |
| Scenario probability | 50% | 35% | 15% | |
| Required return (hurdle IRR) → status | FAIL 10% | FAIL 10% | FAIL 10% | FAIL |
Expected column = IRR of the probability-weighted cash flows (9.3%), not the average of scenario IRRs (9.3%); IRR is non-linear. Contractual timing re-times the same coupon dollars to 4 payment(s) per year (settlement on a coupon date, no accrued interest); principal/recovery stay on annual dates. Fees: 0.5% of cost, paid at t=0. Per $100M face. Timing: coupons at period ends; default → recovery cash 1 period after the default period; performing exit at the hold period at the lesser of the scenario exit-price cap and valuation coverage at the exit multiple. Floating coupons include the scenario rate shock. Scenario weights 50% / 35% / 15%.
Sensitivity analysis — where is the risk / return attractive?
Sensitivity 1 — Purchase price vs IRR
| Purchase price (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 90.0 | 13.0% | 12.2% | 13.5% |
| 94.0 | 11.3% | 10.4% | 11.7% |
| 98.0 | 9.6% | 8.7% | 9.9% |
| 102.0 | 8.0% | 7.1% | 8.3% |
| 106.0 | 6.5% | 5.6% | 6.8% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -25.6% | -31.0% | -29.5% |
| 40.0 | -13.7% | -17.2% | -15.8% |
| 60.0 | -4.5% | -7.1% | -5.9% |
| 80.0 | 3.0% | 1.0% | 2.1% |
| 100.0 | 9.6% | 7.9% | 9.0% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | 8.3% | 8.7% | 9.9% |
| -2.0 pts | 9.6% | 8.7% | 9.9% |
| +0.0 pts | 9.6% | 8.7% | 9.9% |
| +2.0 pts | 9.6% | 8.7% | 9.9% |
| +4.0 pts | 9.6% | 8.7% | 9.9% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 7.5% | 8.7% | 9.9% |
| -5.0 pts | 7.9% | 8.7% | 9.9% |
| +0.0 pts | 9.6% | 8.7% | 9.9% |
| +5.0 pts | 9.6% | 8.7% | 9.9% |
| +10.0 pts | 9.6% | 8.7% | 9.9% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 8.6% | 7.9% | 9.1% |
| -0.5 pts | 9.1% | 8.3% | 9.5% |
| +0.0 pts | 9.6% | 8.7% | 9.9% |
| +1.0 pts | 10.6% | 9.5% | 10.7% |
| +2.0 pts | 11.6% | 10.3% | 11.6% |
Sensitivity 6 — Distressed valuation multiple shift vs target-tranche recovery %
| Multiple shift (x EBITDA) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -2.0x | 100.0% | 100.0% | 100.0% |
| -1.0x | 100.0% | 100.0% | 100.0% |
| +0.0x | 100.0% | 100.0% | 100.0% |
| +1.0x | 100.0% | 100.0% | 100.0% |
| +2.0x | 100.0% | 100.0% | 100.0% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.48x | 0.42x | 0.45x |
| 40.0 | 0.68x | 0.62x | 0.65x |
| 60.0 | 0.88x | 0.82x | 0.85x |
| 80.0 | 1.09x | 1.03x | 1.06x |
| 100.0 | 1.29x | 1.23x | 1.26x |
Green ≥ hurdle IRR (10%) · amber = positive but below hurdle · red = loss (recovery table: green = full recovery, amber ≥ 60%). Every cell is the same calculation as the Excel Sensitivities tab; margin, growth, rate and multiple tables re-run the entire model (statements → debt → default → recovery → returns).
Return calculator
| Face value (legal claim) | $100.0M |
| Cash investment (face × price × (1 + fees)) | $98.5M |
| Current yield (coupon ÷ price) | 9.3% |
| Cash interest received | $27.5M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | $2.0M |
| Total cash proceeds | $127.5M |
| Absolute profit | $29.0M |
| MOIC | 1.29x |
| IRR | 9.8% |