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Octus performed a cross-BDC analysis to identify the total cost and fair value of all tranches held across the BDC sector for any issuer marked as nonaccrual by at least one peer. This methodology provides an adjusted nonaccrual rate that captures the full sectorwide exposure to any nonaccrual name. Our analysis shows that total exposure at cost would have been $10.66 billion, representing a 50% increase over reported values; this translates to 73 bps of additional exposure (2.18% adjusted versus 1.45% reported). The discrepancy is even more pronounced at fair value, where total nonaccrual holdings of $7.02 billion are 86% higher than reported figures. At fair value, adjusted nonaccruals nearly double reported levels (1.44% versus 0.77%).
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Private Credit Defaults 101: Back to School
As Labor Day approaches, the unofficial end of summer is upon us. But, before we get too sad, there is also the familiar back-to-school energy.