PitchBook is rolling out a new framework for our LP clients to prepare them for worst-case capital call scenarios. We’re calling it the Capital Call at Risk (CCaR) metric, which is based on the Value at Risk (VaR) framework popularized by JP Morgan in the 1980s. Like a traditional VaR modeling, our CCaR metric will allow LPs to set certain probability thresholds—say 90% or 99%–to determine how much capital they can expect to have called by their private fund portfolio managers in the next quarter. We’re leveraging our historical cash flow data to help estimate future cash flow projections, and tailoring those projections to the unique characteristics of an LP’s private fund portfolio. Using a Monte Carlo-like simulation, we can then produce a range of projected outcomes to estimate outlier capital call events using percentile, conditional and parametric variations.
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Q2'26 BDC analysis shows additional 184 bps of nonaccruals at cost
In a universe of 173 business development companies, or BDCs, Octus identified a total of $9.5 billion of debt (at cost) in nonaccrual status reported in the second quarter of 2026, a slight decline of 5% from $10 billion in the first quarter of 2026.
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Private Credit Defaults 101: Different Numbers, Different Stories
In Season 2 of Billions, Bobby Axelrod takes his lawyer Orrin Bach to an empty Yonkers racetrack in the dead of night.