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Cascade Fitness · CSFT

DEMO DATAUNDERWRITING ASSUMPTIONHOLD

Recovery waterfall by scenario

ANALYST PROJECTION

Recovery value = MAX(going-concern value, liquidation value) + cash, less administrative costs, then distributed by seniority (strict absolute priority; equal ranks pari passu). Going concern = distressed EV/EBITDA multiple × EBITDA at the valuation event; liquidation = asset base × (1 − decline) × liquidation recovery. Valuation event = the payment-default period, or — if no default is modelled — a hypothetical default at the trough-EBITDA period (so protection is always measured). Specific liens are paid from their own collateral pool; any deficiency joins general creditors. Illustrative appraised / collateral value (DEMO)

Base Case — FY2026E (hypothetical default at trough EBITDA; no default modelled)

Going concern

$1.2B

Liquidation

$120M

Recovery value = MAX (+ cash $125M)

$1.3B · going concern

Target tranche · LGD

100% recovery · 0% loss

Claim (by seniority)	Rank	Claim	Recovery	Recovery %	Loss	Loss %
Recovery value			$1.3B
Less: administrative / DIP costs			($51.2M)
First-Lien Term Loan	1	$707.4M	$707.4M	100.0%	$0.0M	0.0%
Senior Notes 9.00%	3	$460.1M	$460.1M	100.0%	$0.0M	0.0%
Total claims		$1.2B	$1.2B		$0.0M
Equity (residual)			$60.5M	In the money

Downside — FY2030E (modelled payment default)

Going concern

$958M

Liquidation

$102M

Recovery value = MAX (+ cash $0M)

$958M · going concern

Target tranche · LGD

72% recovery · 28% loss

Claim (by seniority)	Rank	Claim	Recovery	Recovery %	Loss	Loss %
Recovery value			$958.2M
Less: administrative / DIP costs			($38.3M)
First-Lien Term Loan	1	$587.4M	$587.4M	100.0%	$0.0M	0.0%
Senior Notes 9.00%	3	$460.1M	$332.4M	72.2%	$127.7M	27.8%
Total claims		$1.0B	$919.9M		$127.7M
Equity (residual)			$0.0M	Wiped out

Severe Downside — FY2027E (modelled payment default)

Going concern

$495M

Liquidation

$78M

Recovery value = MAX (+ cash $0M)

$495M · going concern

Target tranche · LGD

0% recovery · 100% loss

Claim (by seniority)	Rank	Claim	Recovery	Recovery %	Loss	Loss %
Recovery value			$494.6M
Less: administrative / DIP costs			($19.8M)
First-Lien Term Loan	1	$705.0M	$474.9M	67.4%	$230.1M	32.6%
Senior Notes 9.00%	3	$460.1M	$0.0M	0.0%	$460.1M	100.0%
Total claims		$1.2B	$474.9M		$690.2M
Equity (residual)			$0.0M	Wiped out

Recovery lab — change valuation assumptions and watch the waterfall re-allocate

Distressed EBITDA ($M)
Distressed multiple (x)
Asset base decline %
Liquidation recovery %
Admin costs %
Override value ($M)

Going-concern $495.0M vs liquidation $78.0M → recovery value = MAX = $495.0M (used: going concern, $495.0M). Claims = current face value + 3 months accrued interest.

Claim (by seniority)	Rank	Claim	Recovery	Recovery %	Loss	Loss %
Recovery value			$495.0M
Less: administrative / DIP costs			($19.8M)
First-Lien Term Loan	1	$714.5M	$475.2M	66.5%	$239.3M	33.5%
Senior Notes 9.00%	3	$460.1M	$0.0M	0.0%	$460.1M	100.0%
Total claims		$1.2B	$475.2M		$699.5M
Equity (residual)			$0.0M	Wiped out