Brightwater Retail Holdings · BWR
DEMO DATAUNDERWRITING ASSUMPTIONHOLDReturn analysis — First-Lien Term Loan
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Default (FY2027E) | Default (FY2027E) | Default (FY2027E) | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 78.0 → $78.4M | 78.0 → $78.4M | 78.0 → $78.4M | |
| Cash interest received | $20.4M | $23.4M | $26.4M | |
| Exit price (performing) / recovery proceeds (default) | $88.8M | $56.4M | $29.0M | |
| Capital gain / (loss) vs purchase price | $10.8M | ($21.6M) | ($49.0M) | |
| Total cash proceeds | $109.2M | $79.8M | $55.4M | |
| Valuation recovery % · loss given default | 87% · 13% | 55% · 45% | 28% · 72% | |
| Absolute profit | $30.8M | $1.4M | ($23.0M) | |
| MOIC | 1.39x | 1.02x | 0.71x | 1.18x |
| IRR (annual periods) | 13.1% | 0.7% | -13.9% | 6.4% |
| IRR (contractual timing, 1x/yr coupons) | 13.1% | 0.7% | -13.9% | 6.4% |
| Scenario probability | 55% | 30% | 15% | |
| Required return (hurdle IRR) → status | PASS 12% | FAIL 12% | FAIL 12% | FAIL |
Expected column = IRR of the probability-weighted cash flows (6.4%), not the average of scenario IRRs (5.3%); IRR is non-linear. Contractual timing re-times the same coupon dollars to 1 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 55% / 30% / 15%.
Sensitivity analysis — where is the risk / return attractive?
Sensitivity 1 — Purchase price vs IRR
| Purchase price (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 70.0 | 17.8% | 5.1% | -9.8% |
| 74.0 | 15.3% | 2.8% | -11.9% |
| 78.0 | 13.1% | 0.7% | -13.9% |
| 82.0 | 11.0% | -1.3% | -15.6% |
| 86.0 | 9.0% | -3.1% | -17.3% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -24.8% | -22.9% | -21.0% |
| 40.0 | -9.9% | -8.3% | -6.6% |
| 60.0 | 0.9% | 2.4% | 3.9% |
| 80.0 | 9.7% | 11.1% | 12.5% |
| 100.0 | 17.1% | 18.4% | 19.8% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | 4.9% | -21.4% | -46.0% |
| -2.0 pts | 8.9% | -3.9% | -19.7% |
| +0.0 pts | 13.1% | 0.7% | -13.9% |
| +2.0 pts | 25.2% | 4.9% | -8.8% |
| +4.0 pts | 25.2% | 9.1% | -4.4% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 14.0% | 3.1% | -9.5% |
| -5.0 pts | 13.3% | 1.9% | -11.6% |
| +0.0 pts | 13.1% | 0.7% | -13.9% |
| +5.0 pts | 16.9% | -0.6% | -16.2% |
| +10.0 pts | 18.0% | -1.9% | -18.8% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 24.0% | 0.4% | -13.9% |
| -0.5 pts | 12.9% | 0.6% | -13.9% |
| +0.0 pts | 13.1% | 0.7% | -13.9% |
| +1.0 pts | 13.4% | 0.9% | -13.8% |
| +2.0 pts | 13.8% | 1.2% | -13.8% |
Sensitivity 6 — Distressed valuation multiple shift vs target-tranche recovery %
| Multiple shift (x EBITDA) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -2.0x | 85.5% | 54.8% | 28.1% |
| -1.0x | 85.5% | 54.8% | 28.1% |
| +0.0x | 86.6% | 54.8% | 28.1% |
| +1.0x | 100.0% | 54.8% | 28.1% |
| +2.0x | 100.0% | 54.8% | 28.1% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.51x | 0.55x | 0.59x |
| 40.0 | 0.77x | 0.81x | 0.85x |
| 60.0 | 1.03x | 1.06x | 1.10x |
| 80.0 | 1.28x | 1.32x | 1.36x |
| 100.0 | 1.54x | 1.57x | 1.61x |
Green ≥ hurdle IRR (12%) · 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)) | $78.4M |
| Current yield (coupon ÷ price) | 13.2% |
| Cash interest received | $20.6M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | $22.0M |
| Total cash proceeds | $120.6M |
| Absolute profit | $42.2M |
| MOIC | 1.54x |
| IRR | 25.4% |