Halcyon Medical Devices · HLCN
DEMO DATAUNDERWRITING ASSUMPTIONHOLDReturn analysis — Senior Notes 5.90%
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Performing | Performing | Performing | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 96.5 → $97.0M | 96.5 → $97.0M | 96.5 → $97.0M | |
| Cash interest received | $17.7M | $17.7M | $17.7M | |
| Exit price (performing) / recovery proceeds (default) | 100.0 → $100.0M | 90.0 → $90.0M | 70.0 → $70.0M | |
| Capital gain / (loss) vs purchase price | $3.5M | ($6.5M) | ($26.5M) | |
| Total cash proceeds | $117.7M | $107.7M | $87.7M | |
| Valuation recovery % · loss given default | 100% · 0% | 100% · 0% | 100% · 0% | |
| Absolute profit | $20.7M | $10.7M | ($9.3M) | |
| MOIC | 1.21x | 1.11x | 0.90x | 1.14x |
| IRR (annual periods) | 7.1% | 3.8% | -3.5% | 4.6% |
| IRR (contractual timing, 1x/yr coupons) | 7.1% | 3.8% | -3.5% | 4.6% |
| 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 (4.6%), not the average of scenario IRRs (4.5%); 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 |
|---|---|---|---|
| 88.5 | 10.4% | 7.0% | -0.5% |
| 92.5 | 8.7% | 5.3% | -2.1% |
| 96.5 | 7.1% | 3.8% | -3.5% |
| 100.5 | 5.5% | 2.3% | -4.9% |
| 104.5 | 4.1% | 0.9% | -6.2% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -30.3% | -30.3% | -30.3% |
| 40.0 | -17.3% | -17.3% | -17.3% |
| 60.0 | -7.7% | -7.7% | -7.7% |
| 80.0 | 0.3% | 0.3% | 0.3% |
| 100.0 | 7.1% | 7.1% | 7.1% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | 7.1% | 3.8% | -3.5% |
| -2.0 pts | 7.1% | 3.8% | -3.5% |
| +0.0 pts | 7.1% | 3.8% | -3.5% |
| +2.0 pts | 7.1% | 3.8% | -3.5% |
| +4.0 pts | 7.1% | 3.8% | -3.5% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 7.1% | 3.8% | -3.5% |
| -5.0 pts | 7.1% | 3.8% | -3.5% |
| +0.0 pts | 7.1% | 3.8% | -3.5% |
| +5.0 pts | 7.1% | 3.8% | -3.5% |
| +10.0 pts | 7.1% | 3.8% | -3.5% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 7.1% | 3.8% | -3.5% |
| -0.5 pts | 7.1% | 3.8% | -3.5% |
| +0.0 pts | 7.1% | 3.8% | -3.5% |
| +1.0 pts | 7.1% | 3.8% | -3.5% |
| +2.0 pts | 7.1% | 3.8% | -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% | 100.0% | 100.0% |
| -1.0x | 100.0% | 100.0% | 100.0% |
| +0.0x | 100.0% | 100.0% | 100.0% |
| +1.0x | 100.0% | 100.0% | 100.0% |
| +2.0x | 100.0% | 100.0% | 100.0% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.39x | 0.39x | 0.39x |
| 40.0 | 0.59x | 0.59x | 0.59x |
| 60.0 | 0.80x | 0.80x | 0.80x |
| 80.0 | 1.01x | 1.01x | 1.01x |
| 100.0 | 1.21x | 1.21x | 1.21x |
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)) | $97.0M |
| Current yield (coupon ÷ price) | 6.1% |
| Cash interest received | $17.7M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | $3.5M |
| Total cash proceeds | $117.7M |
| Absolute profit | $20.7M |
| MOIC | 1.21x |
| IRR | 7.1% |