Direct Lending Fund Model

The template deploys capital over a three-year investment period, with new originations paced from fund size. Each loan enters a principal rollforward: opening balance plus new loans and payment-in-kind interest, minus scheduled amortisation, prepayments, defaults, and a final balloon repayment in year seven.

• Defaults are driven by a vintage default curve multiplied by sector-specific default multipliers, while prepayments follow a separate annual curve. Payment-in-kind interest capitalises only on the designated PIK share of the book.
• Original issue discount is tracked separately as an unamortised balance, with straight-line amortisation accreted into income each period and written off proportionally on prepayments or defaults. The model also accounts for origination economics: upfront fees and OID are booked on new loans, while exit fees and call protection premiums apply to voluntary prepayments.

A half-year interest convention toggle avoids overstating final-year interest on a balloon-repaid book.

Four sector buckets—Software, Healthcare, Industrials, and Consumer—drive weighted spread and default behavior. Each sector carries a weight, a spread over the base rate, and a default multiplier.

• The fund-level weighted spread and weighted default multiplier are calculated from these inputs, ensuring that shifts in sector mix affect both income and credit losses. A concentration cap limits any single sector's share of the book.
• Lien-position recoveries are modelled through book-mix inputs for first lien, second lien, and unsecured loans, each with its own recovery rate. The weighted recovery rate applies to defaults to determine loss given default.

These features allow users to explore how portfolio composition influences risk and return without rebuilding the model from scratch.

The fund uses a European whole-fund waterfall. Available cash for distribution equals opening cash plus net operating cash minus a minimum cash reserve, but only after the investment period; during the investment period all cash is retained for deployment.

• Capital calls fund the gap between cash needs and facility draws, with the asset-based revolver providing working capital up to an advance rate against performing principal. The waterfall allocates returns of capital, then a vintage-weighted preferred return, then GP catch-up, and finally carried interest.
• The vintage-weighted preferred return table ensures that later capital contributions do not receive the same compound hurdle as earlier ones. Management fees apply on committed capital during the investment period and switch to invested capital in the harvest period, with a toggle for the fee base and an offset from upfront fee income.

The facility schedule tracks draws, repayments, interest, commitment fees, and covenant tests.

The model produces fund-level and investor-level metrics including IRR, MOIC, TVPI, DPI, RVPI, NAV, and yields. A J-curve illustrates the net cash flow profile over time.

• Twelve built-in checks validate capital account ties, PIK reconciliation, OID amortisation, covenant compliance, sector concentration, and cash balances. Users can adjust assumptions for fund size, base rate, default and prepay curves, facility terms, management fees, and waterfall parameters to test different scenarios.
• The template is designed for evaluating a senior-secured private credit strategy under a documented set of mechanics. The public download is a values-only preview; the underlying model captures the relationships described here.