MACRO + CREDIT CONTEXT
Market-observable data from Bloomberg. As of 2026-03-23.
BCRED SHADOW NAV ANALYSIS — $4.4B OVERSTATEMENT
REPORTED NAV
$24.79
SHADOW NAV
$22.5
OVERSTATEMENT
9.2%
$2.29/sh
TOTAL GAP
$4.4B
of $47.6B NAV
METHODOLOGY
P/BOOK
IMPLIED NAV
DISCOUNT
BDC P/Book Comp (BXSL-anchored)
0.88-0.95x
$21.82-$23.55
-5% to -12%
Bottom-Up Credit Pricing
0.88-0.93x
$21.80-$23.05
-7% to -12%
Index-Relative Divergence
0.90-0.97x
$22.31-$24.05
-3% to -10%
CENTRAL ESTIMATE
0.90-0.92x
$22.30-$22.80
-8% to -10%
Software exposure: 26% = $21.4B. Reported LTV: 46%. Actual LTV: 61-71%.
LSTA LOAN INDEX
96.83
YTD -2.48%
HY OAS
312 bps
+62 bps in 2 months
SOFR
3.62%
Fed target 3.50-3.75%
WTI CRUDE
$88.27
Iran/Strait of Hormuz disruption
BX STOCK
$112.15
-39.3% from peak
BX 5Y CDS
100 bps
Elevated for asset mgr
BX UNREAL. LOSSES
$125.6B
was $87.1B in FY24
IGV (SOFTWARE)
$84.14
-28.5% from peak
BCRED PORTFOLIO — SECONDARY MARKET PRICING (Bloomberg LSRC, 03/20/2026)
COMPANY
TRANCHE
MAT.
SIZE
MID PX
CPN%
DISC.
SECTOR
ASSESSMENT
Athenahealth
TL B 1L USD
02/29
$6.0B
98.94
6.43
-1.1
HC/SW
Near par
Epicor SW
TL B 1L USD
05/31
$3.1B
98.31
6.43
-1.7
SW
Modest stress
Genesys Cloud
TL B 1L USD
01/32
$3.9B
95.25
6.18
-4.8
SW
Material discount
Finastra (1L)
TL B 1L USD
09/32
$2.95B
94.44
7.67
-5.6
Fin
Stressed; high leverage
Finastra (2L)
TL B 2L USD
09/33
$500M
86.63
10.67
-13.4
Fin
Distressed 2L
Cotiviti (1L B)
TL B 1L USD
05/31
$4.2B
89.31
6.42
-10.7
HC IT
Significant discount
Cotiviti (alt 1L)
TL 1L USD
05/31
$750M
92.97
7.63
-7.0
HC IT
Wider spread tranche
Cornerstone OD
TL B 1L USD
10/28
$2.4B
76.38
7.54
-23.6
SW
DISTRESSED
Cornerstone OD
TL 2L USD
10/29
$770M
72.45
11.46
-27.6
SW
DISTRESSED 2L
Perforce SW
TL B 1L (2029)
07/29
$1.1B
71.63
8.43
-28.4
SW
DISTRESSED
Perforce SW
TL B 1L (2031)
03/31
$368M
69.19
8.43
-30.8
SW
DISTRESSED
Ivanti SW
TL 1L USD
06/29
$1.8B
68.21
8.41
-31.8
SW
DISTRESSED
Ivanti SW
TL 2L USD
06/29
$477M
36.31
10.91
-63.7
SW
DEEPLY DISTRESSED
Source: Bloomberg LSRC (Loan Search), mid-prices as of 03/20/2026. Actual secondary market bids on loans held or likely held in BCRED's portfolio. Hyland Software: PIK-term tranche ($782.5M) — no mid-price (illiquid, no observable market).