Borrower-level reference data from public filings, for underwriting. We show what 14 BDCs' filings disclose about a borrower — and name the places where they disclose nothing.
Strict-default AUC 0.6067 (n=54 events); broader distress AUC 0.6696 (n=685).
Out-of-filer evaluation: each BDC is held out in turn. This is a disclosed-impairment score. It is not a validated probability of default.
The panel is several months behind the latest filings; scores describe that panel, not today.
Panel as of 2026-05-11 · oldest filing 2026-02-02 · re-measured 2026-09-03.
Each scored borrower carries the disclosed-impairment score and the filing fields that drove it. Where a filing does not disclose what the score needs, the borrower is refused by name instead of estimated.
959 loan-level impairment flags: tranches the filer reports as non-accrual or carries at a fair value below 85% of cost.
Loss-given-default by lien seniority, partially validated: the last recorded lien-mean leave-one-out error is 0.273, not yet re-measured on the current panel, and about 79% of impaired rows carry no lien detail.
Every score links back to the filer, the filing, the tranche and the as-of date it was read from, so a reviewer can check the source in one step.
A first read on a borrower before the model is built: what other BDCs disclose about it, and where they disclose nothing.
Manager diligence against public filings: how a BDC marks and describes positions that other filers also hold.
Impairment flags and refusals across a book, with the filing behind each one.
26 borrowers are refused by name because their filings disclose neither a spread nor an exposure the score may use. They are listed, with the missing field, rather than quietly estimated.
Latavis is an analytics and research platform. Nothing here is investment, legal, tax, or accounting advice. Latavis is not registered as an investment adviser, broker-dealer, commodity trading advisor, or credit rating agency.
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