Cascade Fitness · CSFT
DEMO DATAUNDERWRITING ASSUMPTIONHOLDReturn analysis — Senior Notes 9.00%
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Performing | Default (FY2030E) | Default (FY2027E) | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 104.0 → $104.5M | 104.0 → $104.5M | 104.0 → $104.5M | |
| Cash interest received | $27.0M | $45.0M | $18.0M | |
| Exit price (performing) / recovery proceeds (default) | 100.0 → $100.0M | $73.9M | $0.0M | |
| Capital gain / (loss) vs purchase price | ($4.0M) | ($30.1M) | ($104.0M) | |
| Total cash proceeds | $127.0M | $118.9M | $18.0M | |
| Valuation recovery % · loss given default | 100% · 0% | 72% · 28% | 0% · 100% | |
| Absolute profit | $22.5M | $14.3M | ($86.5M) | |
| MOIC | 1.22x | 1.14x | 0.17x | 1.04x |
| IRR (annual periods) | 7.3% | 2.7% | -66.0% | 1.0% |
| IRR (contractual timing, 1x/yr coupons) | 7.3% | 2.7% | -66.0% | 1.0% |
| Scenario probability | 55% | 30% | 15% | |
| Required return (hurdle IRR) → status | FAIL 12% | FAIL 12% | FAIL 12% | FAIL |
Expected column = IRR of the probability-weighted cash flows (1.0%), not the average of scenario IRRs (-5.1%); 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 |
|---|---|---|---|
| 96.0 | 10.4% | 4.4% | -64.4% |
| 100.0 | 8.8% | 3.5% | -65.3% |
| 104.0 | 7.3% | 2.7% | -66.0% |
| 108.0 | 5.8% | 1.9% | -66.8% |
| 112.0 | 4.4% | 1.1% | -67.4% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -27.2% | -10.9% | -34.2% |
| 40.0 | -15.5% | -4.5% | -20.3% |
| 60.0 | -6.6% | 0.1% | -10.4% |
| 80.0 | 0.9% | 3.7% | -2.3% |
| 100.0 | 7.3% | 6.8% | 4.5% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | 7.3% | -46.0% | -66.0% |
| -2.0 pts | 7.3% | -5.9% | -66.0% |
| +0.0 pts | 7.3% | 2.7% | -66.0% |
| +2.0 pts | 7.3% | 7.1% | -46.0% |
| +4.0 pts | 7.3% | 7.1% | -46.0% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 7.3% | -32.2% | -66.0% |
| -5.0 pts | 7.3% | -15.4% | -66.0% |
| +0.0 pts | 7.3% | 2.7% | -66.0% |
| +5.0 pts | 7.3% | 4.2% | -66.0% |
| +10.0 pts | 7.3% | 4.2% | -66.0% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 7.3% | 3.9% | -66.0% |
| -0.5 pts | 7.3% | 3.3% | -66.0% |
| +0.0 pts | 7.3% | 2.7% | -66.0% |
| +1.0 pts | 7.3% | 1.3% | -66.0% |
| +2.0 pts | 7.3% | -0.2% | -66.0% |
Sensitivity 6 — Distressed valuation multiple shift vs target-tranche recovery %
| Multiple shift (x EBITDA) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -2.0x | 25.6% | 0.0% | 0.0% |
| -1.0x | 69.4% | 35.9% | 0.0% |
| +0.0x | 100.0% | 72.2% | 0.0% |
| +1.0x | 100.0% | 100.0% | 0.0% |
| +2.0x | 100.0% | 100.0% | 0.0% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.45x | 0.62x | 0.36x |
| 40.0 | 0.64x | 0.81x | 0.55x |
| 60.0 | 0.83x | 1.00x | 0.75x |
| 80.0 | 1.02x | 1.20x | 0.94x |
| 100.0 | 1.22x | 1.39x | 1.13x |
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)) | $104.5M |
| Current yield (coupon ÷ price) | 8.7% |
| Cash interest received | $27.0M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | ($4.0M) |
| Total cash proceeds | $127.0M |
| Absolute profit | $22.5M |
| MOIC | 1.22x |
| IRR | 7.3% |