Tidewater Office Partners · TWOP
DEMO DATAUNDERWRITING ASSUMPTIONPASSReturn analysis — Second-Priority Term Loan
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Default (FY2026E) | Default (FY2026E) | Default (FY2026E) | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 72.0 → $72.4M | 72.0 → $72.4M | 72.0 → $72.4M | |
| Cash interest received | $8.6M | $10.1M | $11.6M | |
| Exit price (performing) / recovery proceeds (default) | $102.2M | $49.0M | $0.0M | |
| Capital gain / (loss) vs purchase price | $30.2M | ($23.0M) | ($72.0M) | |
| Total cash proceeds | $110.8M | $59.1M | $11.6M | |
| Valuation recovery % · loss given default | 100% · 0% | 48% · 52% | 0% · 100% | |
| Absolute profit | $38.4M | ($13.3M) | ($60.8M) | |
| MOIC | 1.53x | 0.82x | 0.16x | 1.11x |
| IRR (annual periods) | 24.9% | -10.5% | -84.0% | 5.8% |
| IRR (contractual timing, 1x/yr coupons) | 24.9% | -10.5% | -84.0% | 5.8% |
| 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 (5.8%), not the average of scenario IRRs (-2.0%); 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 |
|---|---|---|---|
| 64.0 | 32.9% | -4.5% | -82.0% |
| 68.0 | 28.7% | -7.6% | -83.0% |
| 72.0 | 24.9% | -10.5% | -84.0% |
| 76.0 | 21.4% | -13.0% | -84.8% |
| 80.0 | 18.2% | -15.4% | -85.6% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -41.1% | -40.0% | -38.8% |
| 40.0 | -19.5% | -18.3% | -17.2% |
| 60.0 | -2.8% | -1.7% | -0.6% |
| 80.0 | 11.3% | 12.4% | 13.5% |
| 100.0 | 23.7% | 24.7% | 25.8% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | 24.9% | -10.5% | -84.0% |
| -2.0 pts | 24.9% | -10.5% | -84.0% |
| +0.0 pts | 24.9% | -10.5% | -84.0% |
| +2.0 pts | 28.5% | -10.5% | -84.0% |
| +4.0 pts | 28.5% | -10.5% | -84.0% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 24.9% | -10.5% | -84.0% |
| -5.0 pts | 24.9% | -10.5% | -84.0% |
| +0.0 pts | 24.9% | -10.5% | -84.0% |
| +5.0 pts | 28.5% | -10.5% | -84.0% |
| +10.0 pts | 28.5% | -10.5% | -84.0% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 24.0% | -11.2% | -85.4% |
| -0.5 pts | 24.5% | -10.8% | -84.7% |
| +0.0 pts | 24.9% | -10.5% | -84.0% |
| +1.0 pts | 25.8% | -9.7% | -82.6% |
| +2.0 pts | 26.7% | -8.9% | -81.2% |
Sensitivity 6 — Distressed valuation multiple shift vs target-tranche recovery %
| Multiple shift (x EBITDA) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -2.0x | 100.0% | 47.8% | 0.0% |
| -1.0x | 100.0% | 47.8% | 0.0% |
| +0.0x | 100.0% | 47.8% | 0.0% |
| +1.0x | 100.0% | 47.8% | 0.0% |
| +2.0x | 100.0% | 72.0% | 0.0% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.40x | 0.42x | 0.44x |
| 40.0 | 0.67x | 0.69x | 0.71x |
| 60.0 | 0.95x | 0.97x | 0.99x |
| 80.0 | 1.22x | 1.25x | 1.27x |
| 100.0 | 1.50x | 1.52x | 1.54x |
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)) | $72.4M |
| Current yield (coupon ÷ price) | 11.9% |
| Cash interest received | $17.2M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | $28.0M |
| Total cash proceeds | $117.2M |
| Absolute profit | $44.8M |
| MOIC | 1.62x |
| IRR | 28.6% |