Evergreen Physician Group · EVPG
DEMO DATAUNDERWRITING ASSUMPTIONHOLDReturn analysis — First-Lien Term Loan
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Performing | Default (FY2028E) | Default (FY2028E) | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 93.0 → $93.5M | 93.0 → $93.5M | 93.0 → $93.5M | |
| Cash interest received | $25.0M | $29.5M | $34.0M | |
| Exit price (performing) / recovery proceeds (default) | 100.0 → $100.0M | $102.4M | $67.1M | |
| Capital gain / (loss) vs purchase price | $7.0M | $9.4M | ($25.9M) | |
| Total cash proceeds | $125.0M | $131.9M | $101.1M | |
| Valuation recovery % · loss given default | 100% · 0% | 100% · 0% | 65% · 35% | |
| Absolute profit | $31.6M | $38.5M | $7.7M | |
| MOIC | 1.34x | 1.41x | 1.08x | 1.32x |
| IRR (annual periods) | 11.0% | 10.3% | 2.4% | 9.5% |
| IRR (contractual timing, 1x/yr coupons) | 11.0% | 10.3% | 2.4% | 9.5% |
| 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 (9.5%), not the average of scenario IRRs (9.5%); 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 |
|---|---|---|---|
| 85.0 | 14.7% | 13.3% | 5.3% |
| 89.0 | 12.8% | 11.8% | 3.8% |
| 93.0 | 11.0% | 10.3% | 2.4% |
| 97.0 | 9.4% | 9.0% | 1.1% |
| 101.0 | 7.8% | 7.7% | -0.1% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -25.2% | -19.4% | -17.4% |
| 40.0 | -12.8% | -8.8% | -7.2% |
| 60.0 | -3.4% | -1.3% | 0.2% |
| 80.0 | 4.3% | 4.7% | 6.1% |
| 100.0 | 11.0% | 9.8% | 11.1% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | 9.0% | 1.4% | -23.0% |
| -2.0 pts | 11.0% | 8.6% | -12.9% |
| +0.0 pts | 11.0% | 10.3% | 2.4% |
| +2.0 pts | 11.0% | 10.3% | 8.5% |
| +4.0 pts | 11.0% | 9.4% | 11.7% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 11.0% | 7.8% | -3.9% |
| -5.0 pts | 11.0% | 10.3% | -0.7% |
| +0.0 pts | 11.0% | 10.3% | 2.4% |
| +5.0 pts | 11.0% | 10.3% | 5.5% |
| +10.0 pts | 11.0% | 10.3% | 8.6% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 10.0% | 9.4% | 1.9% |
| -0.5 pts | 10.5% | 9.9% | 2.1% |
| +0.0 pts | 11.0% | 10.3% | 2.4% |
| +1.0 pts | 12.1% | 11.2% | 3.0% |
| +2.0 pts | 13.1% | 12.2% | 3.5% |
Sensitivity 6 — Distressed valuation multiple shift vs target-tranche recovery %
| Multiple shift (x EBITDA) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -2.0x | 100.0% | 81.9% | 43.5% |
| -1.0x | 100.0% | 100.0% | 54.4% |
| +0.0x | 100.0% | 100.0% | 65.3% |
| +1.0x | 100.0% | 100.0% | 76.2% |
| +2.0x | 100.0% | 100.0% | 87.0% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.48x | 0.53x | 0.58x |
| 40.0 | 0.70x | 0.74x | 0.79x |
| 60.0 | 0.91x | 0.96x | 1.01x |
| 80.0 | 1.12x | 1.17x | 1.22x |
| 100.0 | 1.34x | 1.39x | 1.43x |
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)) | $93.5M |
| Current yield (coupon ÷ price) | 9.2% |
| Cash interest received | $25.8M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | $7.0M |
| Total cash proceeds | $125.8M |
| Absolute profit | $32.3M |
| MOIC | 1.35x |
| IRR | 11.3% |