A capital stack priced tranche by tranche: each lender's all-in yield, the borrower's blended cost, and the enterprise value at which each layer stops being money-good. Every input is encoded in the URL. All arithmetic runs in the browser.
Tranches are listed most senior first and stack contiguously: each one attaches where the one above it detaches. Amounts are derived from adjusted EBITDA and the leverage turns, so editing either the detachment point or the amount moves the other. Amounts, EBITDA, and enterprise value are all in the same units.
| Tranche | Attach | Detach | Amount | Basis | Spread / coupon (bps) | OID (pts) | PIK (bps) |
|---|
Claims are stated as at the assumed take-out year, so a PIK coupon enlarges the claim it has accreted onto. Recovery is the strict waterfall: each tranche takes what is left of enterprise value after every claim senior to it has been paid in full.
Bars are the cumulative capital stack in amount terms, senior at the bottom, read left to right. The dots and connecting line are each tranche's all-in yield to the assumed take-out, on the right axis. The dashed horizontal line is enterprise value; a bar segment crossing above it is a tranche that is not money-good.
Every figure above is produced by the identities below. They are reproduced here in full so the page is readable without running anything.
The rate actually payable is the greater of the base rate and the floor, plus any credit spread adjustment, plus the credit spread. The floor is an option written by the borrower to the lender on the base rate, and it contributes nothing once the base rate clears it. First lien, unitranche last-out, and second lien tranches are treated as floating on that base; mezzanine and holdco PIK tranches are treated as fixed-rate, so their quoted figure is the whole coupon rather than a margin.
Worked: B = 0.30, F = 1.00, CSA = 10 bps, S = 500 bps gives B_eff = 1.10 and r = 6.10 percent. The floor contributed max(1.00 - 0.30, 0) = 70 bps and the CSA 10 bps more. At B = 4.00 the same terms give r = 9.10 percent and the floor contributes nothing.
The yield is the internal rate of return on the actual cash flows over the actual holding period, computed on the lender's net outlay. Original issue discount reduces the outlay and accretes to par; a retained upfront fee reduces the outlay again. A fee the lender pays away raises the borrower's cost without raising the lender's yield, so only the retained portion is entered here.
Worked, 2 points of OID and a 9.00 percent cash coupon on a 6-year bullet: the IRR on (-98, +9, +9, +9, +9, +9, +109) is 9.45 percent. The crude approximation r + OID/n gives 9.33 percent and understates it, because the discount is recovered at maturity rather than ratably.
Most sponsor-backed loans are repaid on a refinancing, a sale, or a recapitalisation rather than at their stated maturity, so the holding period assumption moves the answer by more than most of the pricing terms do. Yield to maturity redeems at par. Yield to take-out redeems at the call schedule price for that year, and at par once the schedule has run off.
Worked, on the same loan priced at 98 with a 9.00 percent coupon: to a 6-year maturity 9.45 percent; repaid at the end of year 3 at par, the IRR on (-98, +9, +9, +109) is 9.80 percent, 35 bps more; repaid at the end of year 2 at 101, the IRR on (-98, +9, +110) is 10.64 percent, 119 bps more. Shortening the take-out raises the yield whenever the loan is priced below par or carries a call premium, and lowers it whenever it is priced above par. Adding one point of retained fee to the 3-year case takes the net outlay to 97 and the IRR on (-97, +9, +9, +109) to 10.21 percent, a further 41 bps.
Worked: a first-out of 60 at 450 bps alongside a last-out of 40 at 1050 bps blends to (60 * 450 + 40 * 1050) / 100 = 690 bps. The weights are quantum, not turns, so an unequal split moves the blend.
A PIK coupon produces no interim cash, so it does not consume cash coverage. It enlarges the claim instead, which is where the cost shows up.
Worked: EBITDA 40, a first-out attaching 0.0x to 3.0x for 120 and a last-out 3.0x to 5.5x for 100. At an enterprise value of 7.0x, or 280, both are money-good and the last-out sits on a cushion of (280 - 220) / 280 = 21.4 percent. At 4.0x, or 160, the last-out recovers min(100, 160 - 120) / 100 = 40.0 percent while the first-out is still whole. A mezzanine layer with 400 bps of its coupon paid in kind sees its claim grow from 60 to 60 * 1.04^5 = 73.00 over a five-year hold, moving its breakeven from 5.50x to 5.82x of EBITDA on the same enterprise value.
| Tranche | Claim | Senior claims | Recovery at EV 420 | Recovery % |
|---|---|---|---|---|
| First lien | 300 | 0 | 300 | 100.0 |
| Second lien | 150 | 300 | 120 | 80.0 |
| Mezzanine | 75 | 450 | 0 | 0.0 |
| Total | 525 | 420 | 80.0 |
525 of claims against 420 of value, so the fulcrum sits inside the second lien.
Each tranche in tranches is type:attachLeverage:detachLeverage:spreadBps:oidPoints:pikBps,
most senior first. Types are fl first lien, lo unitranche last-out, sl second lien,
mezz mezzanine, hpik holdco PIK. pikBps is the portion of the coupon paid in kind,
not an addition to it.
| Parameter | Meaning | Default |
|---|---|---|
ebitda | LTM adjusted EBITDA; tranche amounts derive from this and the leverage attachment points | 40 |
tranches | Tranche stack, most senior first | fl:0:3.0:450:1.0:0,lo:3.0:5.5:1050:2.0:0 |
base | Assumed base rate B, in percent, applied to every floating tranche | 4 |
floor | Base rate floor F, in percent | 1 |
csa | Credit spread adjustment, in basis points | 0 |
fees | Upfront fee retained by the lender, in points of par | 0 |
maturity | Years to bullet maturity, for the yield-to-maturity column | 6 |
takeout | Year in which the loan is assumed to be repaid | 3 |
call | Redemption prices by year from year 1; years beyond the list redeem at par | 102,101,100 |
ev | Enterprise value in turns of EBITDA | 7 |
A unitranche split 3.0x first-out and 2.5x last-out at 5.5x total leverage, held to a 3-year take-out:
https://privatecredit.wiki/calc/?ebitda=40&tranches=fl:0:3.0:450:1.0:0,lo:3.0:5.5:1050:2.0:0&base=4&floor=1&takeout=3&ev=7