PRISM

Distress Screening in Private Credit

Identify credit deterioration early by screening for distressed positions across private credit portfolios using fair market value analysis.

The Challenge

Private credit markets are inherently opaque. Unlike public markets where price signals are immediate and transparent, signs of credit deterioration in private debt are scattered across quarterly filings, buried in Schedules of Investments, and delayed by reporting cycles.

Without a systematic approach, investors risk missing early warning signs of distress until markdowns become severe or defaults have already occurred. Manual review of individual filings is time-consuming and makes it nearly impossible to spot market-wide stress patterns.

How FMV-to-Cost Screening Works

1

Extract position data

PRISM ingests Schedule of Investments (SOI) data from BDC filings, capturing fair market value and cost basis for every position.

2

Calculate FMV-to-cost ratios

Each position's current FMV is compared to its original cost basis. Ratios below 1.0 indicate markdowns.

3

Set distress thresholds

Positions with FMV-to-cost below 0.80 are flagged as materially distressed. PRISM allows custom threshold configuration.

4

Aggregate across portfolios

PRISM surfaces distressed positions across all tracked BDCs, revealing market-wide stress patterns.

5

Track trajectories over time

Monitor whether distressed positions are recovering, stabilizing, or deteriorating further across quarterly filings.

What PRISM Provides

  • Cross-BDC aggregation — View distressed positions across all tracked funds in a single screen, eliminating the need to review filings individually.

  • Historical trend data — Track how FMV-to-cost ratios have changed over time for any position or portfolio.

  • Sector and industry breakdowns — Identify whether distress is concentrated in specific industries or spread broadly across sectors.

  • New markdown alerting — Get notified when positions are newly marked down or cross key distress thresholds.

Start Screening for Distress

See how PRISM can help you identify credit deterioration before it becomes a problem.

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