Kestrel Auto Components · KACO
DEMO DATAUNDERWRITING ASSUMPTIONPASSReturn analysis — First-Lien Term Loan
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Default (FY2027E) | Default (FY2027E) | Default (FY2027E) | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 84.0 → $84.4M | 84.0 → $84.4M | 84.0 → $84.4M | |
| Cash interest received | $18.6M | $21.6M | $24.6M | |
| Exit price (performing) / recovery proceeds (default) | $102.3M | $53.2M | $39.1M | |
| Capital gain / (loss) vs purchase price | $18.3M | ($30.8M) | ($44.9M) | |
| Total cash proceeds | $120.8M | $74.8M | $63.7M | |
| Valuation recovery % · loss given default | 100% · 0% | 52% · 48% | 38% · 62% | |
| Absolute profit | $36.4M | ($9.6M) | ($20.7M) | |
| MOIC | 1.43x | 0.89x | 0.75x | 1.17x |
| IRR (annual periods) | 14.0% | -4.6% | -10.8% | 5.9% |
| IRR (contractual timing, 1x/yr coupons) | 14.0% | -4.6% | -10.8% | 5.9% |
| 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 (5.9%), not the average of scenario IRRs (4.7%); 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 |
|---|---|---|---|
| 76.0 | 18.2% | -0.8% | -7.2% |
| 80.0 | 16.0% | -2.8% | -9.1% |
| 84.0 | 14.0% | -4.6% | -10.8% |
| 88.0 | 12.0% | -6.3% | -12.5% |
| 92.0 | 10.2% | -7.9% | -14.0% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -28.0% | -26.3% | -24.6% |
| 40.0 | -13.3% | -11.8% | -10.3% |
| 60.0 | -2.7% | -1.3% | 0.1% |
| 80.0 | 5.9% | 7.2% | 8.5% |
| 100.0 | 13.2% | 14.4% | 15.7% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | -2.4% | -7.0% | -12.5% |
| -2.0 pts | 7.6% | -5.8% | -11.7% |
| +0.0 pts | 14.0% | -4.6% | -10.8% |
| +2.0 pts | 19.4% | 0.9% | -10.0% |
| +4.0 pts | 19.4% | 10.9% | -9.0% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 11.4% | -3.7% | -9.8% |
| -5.0 pts | 14.0% | -4.1% | -10.3% |
| +0.0 pts | 14.0% | -4.6% | -10.8% |
| +5.0 pts | 14.0% | -5.0% | -11.3% |
| +10.0 pts | 14.0% | -5.5% | -11.8% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 13.1% | -5.2% | -11.6% |
| -0.5 pts | 13.5% | -4.9% | -11.2% |
| +0.0 pts | 14.0% | -4.6% | -10.8% |
| +1.0 pts | 14.9% | -3.9% | -10.1% |
| +2.0 pts | 15.8% | -3.2% | -9.2% |
Sensitivity 6 — Distressed valuation multiple shift vs target-tranche recovery %
| Multiple shift (x EBITDA) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -2.0x | 65.9% | 51.9% | 38.0% |
| -1.0x | 86.6% | 51.9% | 38.0% |
| +0.0x | 100.0% | 51.9% | 38.0% |
| +1.0x | 100.0% | 51.9% | 38.0% |
| +2.0x | 100.0% | 59.2% | 38.0% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.46x | 0.49x | 0.53x |
| 40.0 | 0.69x | 0.73x | 0.76x |
| 60.0 | 0.93x | 0.97x | 1.00x |
| 80.0 | 1.17x | 1.20x | 1.24x |
| 100.0 | 1.40x | 1.44x | 1.48x |
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)) | $84.4M |
| Current yield (coupon ÷ price) | 11.2% |
| Cash interest received | $18.8M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | $16.0M |
| Total cash proceeds | $118.8M |
| Absolute profit | $34.4M |
| MOIC | 1.41x |
| IRR | 19.5% |