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DEMO-08 · D16 · SAMPLE DATA · fund finance
NAV facility LTV stress calculator
A fund-finance deal team's first question on a NAV loan is how far NAV can fall before the LTV covenant trips. This calculator runs the test on a fictional fund: 12 portfolio assets, $1,250m NAV, $225m drawn. Eligible NAV caps any single asset at 15% and the top three at 40% of eligible NAV. The cash sweep starts at 20% LTV, and the maximum LTV covenant is 25%. Companion to .
With no stress, LTV is 19.1%. A uniform NAV decline of 4.3% starts the cash sweep, and 23.4% breaches the 25% covenant. If the largest asset is first marked down 50%, the covenant breaks at a further 21.1% uniform decline. Concentration caps already cut eligible NAV $75m below reported NAV.
SAMPLE portfolio
| Asset (fictional) | NAV |
|---|---|
| Asset A (software buyout) | $210m |
| Asset B (healthcare services) | $175m |
| Asset C (industrials) | $160m |
| Asset D (consumer) | $120m |
| Asset E (financial services) | $105m |
| Asset F (software growth) | $95m |
| Asset G (logistics) | $90m |
| Asset H (business services) | $80m |
| Asset I (specialty chemicals) | $70m |
| Asset J (education) | $60m |
| Asset K (media) | $45m |
| Asset L (energy transition) | $40m |
Method
- Apply the uniform haircut to every asset, then the extra haircut to the largest asset.
- Eligible NAV: cap each asset at 15% of eligible NAV and the top three together at 40%. Because the caps depend on eligible NAV itself, iterate until it converges.
- LTV = drawn ÷ eligible NAV. Breakeven declines are found by bisection.
- The browser calculator and the Python reference (
data/nav/nav_ref.py) are separate implementations. An independent check confirms they agree on an 33-point grid.
Real facility definitions vary a great deal: eligibility criteria, valuation dates, LTV step-downs, cure rights. Read the actual agreement. Not investment advice.