Private debt valuation
Comprehensive module for valuing private debt instruments with live ECB curves. Discover Jolv features: portfolio dashboard, valuation campaigns, Kanban deal flow, Jolv AI, exports and collaboration. Software for PE/VC funds. All features · Home · Fund security
Product capabilities
- Instruments: Senior Secured, Unitranche, Mezzanine, PIK Note, Venture Debt, Convertible
- Methods: DCF on live EURIBOR/SOFR curves (ECB), multi-scenario PWERM, OPM for convertibles, Black-Scholes for warrants
- Multiple instruments per borrower with aggregated portfolio
- Inter-creditor waterfall by seniority rank
- Multi-factor sensitivities: discount rate, spread, EBITDA
- Excel export with integrated formulas and one tab per instrument
Business benefits
- Compliant valuation of private debt portfolios
- Time savings on manual cash flow calculations
- Transparency and auditability of assumptions
Method
Updated
A debt instrument is not valued like a share. Jolv separates Senior Secured, Unitranche, Mezzanine, PIK Note, Venture Debt and convertible bonds, and applies the matching method to each: discounting contractual flows on a EURIBOR or SOFR reference curve, multi-scenario PWERM when value depends on the exit scenario, an option model (OPM) for convertible components, and an inter-creditor waterfall to split proceeds across ranks.
Calculation convention
Period PIK interest = opening principal × PIK rate × duration · closing ticket = opening ticket + capitalised PIK interest
A Jolv convention, and one that departs from ILPA definitions where PIK is excluded from invested capital: capitalised interest increases real exposure, hence the ticket in the denominator, and writes no IRR cash flow. A repayment, by contrast, is a received flow and leaves historic cost unchanged.
Worked example (illustrative)
Illustrative PIK Note: principal of 5,000 KEUR, PIK rate of 8.0% per year, annual capitalisation, no cash out over two years.
| Principal at origination | 5,000 KEUR |
|---|---|
| Capitalised interest, year 1 | 400 KEUR |
| Principal after one year | 5,400 KEUR |
| Capitalised interest, year 2 | 432 KEUR |
| Ticket after two years | 5,832 KEUR |
| IRR cash flow | 0 KEUR |
Exposure moves from 5,000 KEUR to 5,832 KEUR without a single euro changing hands. Monitoring that kept the original principal would overstate the multiple and understate the risk carried.
Review points
- PIK treated as income received: it inflates the IRR although no flow occurred.
- Ticket left at the original principal after several years of capitalisation: the multiple bears on an exposure that no longer exists.
- Inter-creditor waterfall ignored on a junior instrument: value is split as if rank had no effect.
Frequently asked questions
- Does capitalised PIK interest change the invested ticket?
- In Jolv it does: it increases the ticket, because it increases real exposure, and it writes no IRR cash flow. This is a deliberate Jolv convention — ILPA excludes PIK from invested capital. A debt repayment, conversely, is a received flow and leaves the ticket unchanged.
- Which methods does Jolv apply to a private debt instrument?
- Discounting of contractual flows on a EURIBOR or SOFR curve for yield instruments, a multi-scenario PWERM when value depends on the exit scenario, an option model (OPM) for convertible components, and an inter-creditor waterfall to split proceeds across ranks.
See this feature in a real context
Customised demo on your portfolio and deal flow process.
Related reading : PIK interest and IRR: why capitalized interest is never a cash flow, DLOM: where to apply the illiquidity discount in the bridge
See also : Unified dashboard, Portfolio valuation software, Valuation campaigns