Cloudspire Technologies · CSPR
DEMO DATAUNDERWRITING ASSUMPTIONHOLDReturn analysis — First-Lien Term Loan
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Performing | Default (FY2028E) | Default (FY2027E) | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 91.0 → $91.5M | 91.0 → $91.5M | 91.0 → $91.5M | |
| Cash interest received | $29.6M | $34.1M | $26.0M | |
| Exit price (performing) / recovery proceeds (default) | 100.0 → $100.0M | $92.3M | $57.4M | |
| Capital gain / (loss) vs purchase price | $9.0M | $1.3M | ($33.6M) | |
| Total cash proceeds | $129.6M | $126.3M | $83.4M | |
| Valuation recovery % · loss given default | 100% · 0% | 90% · 10% | 56% · 44% | |
| Absolute profit | $38.1M | $34.9M | ($8.1M) | |
| MOIC | 1.42x | 1.38x | 0.91x | 1.33x |
| IRR (annual periods) | 13.5% | 9.9% | -3.6% | 10.3% |
| IRR (contractual timing, 1x/yr coupons) | 13.5% | 9.9% | -3.6% | 10.3% |
| 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 (10.3%), not the average of scenario IRRs (9.9%); 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 |
|---|---|---|---|
| 83.0 | 17.4% | 13.0% | -0.0% |
| 87.0 | 15.4% | 11.4% | -1.9% |
| 91.0 | 13.5% | 9.9% | -3.6% |
| 95.0 | 11.7% | 8.5% | -5.2% |
| 99.0 | 10.1% | 7.2% | -6.7% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -22.0% | -16.8% | -26.3% |
| 40.0 | -10.0% | -6.5% | -12.5% |
| 60.0 | -0.8% | 0.9% | -2.4% |
| 80.0 | 6.9% | 6.8% | 5.8% |
| 100.0 | 13.5% | 11.8% | 12.8% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | 13.5% | -2.0% | -11.7% |
| -2.0 pts | 13.5% | 7.0% | -7.4% |
| +0.0 pts | 13.5% | 9.9% | -3.6% |
| +2.0 pts | 13.5% | 12.4% | -0.0% |
| +4.0 pts | 13.5% | 12.4% | 7.0% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 13.5% | 2.9% | -9.6% |
| -5.0 pts | 13.5% | 6.2% | -6.6% |
| +0.0 pts | 13.5% | 9.9% | -3.6% |
| +5.0 pts | 13.5% | 12.4% | -0.6% |
| +10.0 pts | 13.5% | 12.4% | 2.3% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 12.5% | 9.8% | -4.4% |
| -0.5 pts | 13.0% | 9.9% | -4.0% |
| +0.0 pts | 13.5% | 9.9% | -3.6% |
| +1.0 pts | 14.6% | 10.5% | -2.7% |
| +2.0 pts | 15.7% | 7.1% | -1.8% |
Sensitivity 6 — Distressed valuation multiple shift vs target-tranche recovery %
| Multiple shift (x EBITDA) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -2.0x | 88.5% | 64.1% | 39.7% |
| -1.0x | 100.0% | 77.0% | 47.7% |
| +0.0x | 100.0% | 89.8% | 55.6% |
| +1.0x | 100.0% | 100.0% | 63.6% |
| +2.0x | 100.0% | 100.0% | 71.5% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.54x | 0.59x | 0.50x |
| 40.0 | 0.76x | 0.81x | 0.72x |
| 60.0 | 0.98x | 1.03x | 0.94x |
| 80.0 | 1.20x | 1.25x | 1.16x |
| 100.0 | 1.42x | 1.47x | 1.38x |
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)) | $91.5M |
| Current yield (coupon ÷ price) | 11.1% |
| Cash interest received | $30.3M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | $9.0M |
| Total cash proceeds | $130.3M |
| Absolute profit | $38.8M |
| MOIC | 1.42x |
| IRR | 13.8% |