BDC loan marks: fair value as a share of cost

## What this measures

The fair value business development companies put on their debt, as a percentage of what that debt cost them (amortized cost), across the BDCs in the panel.

## Why it matters

BDCs are the public window on U.S. direct lending to mid-sized private companies. When lenders mark loans below cost, they expect to recover less or would sell for less: it is the first place private-credit stress shows, before loans stop paying.

## How it is made

Palanor reads every BDC 10-K and 10-Q in the SEC's BDC data sets (inline XBRL, periods from August 2022) and turns the tagged schedule of investments into one row per holding: borrower, holding type, lien, base rate, spread, PIK rate, maturity, principal, cost, fair value. Some filers also tag subtotals on the same rows, so rows are pruned in steps and a filing counts only when its rows add up to between 85% and 120% of the total investments it reports. Amended filings replace the original. A quarter is the calendar quarter the balance-sheet date falls in, and it publishes once at least 60 BDCs pass the check and 80 days have passed since it ended. Debt is every loan and bond with a positive cost: first lien, unitranche, second lien, subordinated and unsecured. Equity, warrants, structured products (CLO and ABS tranches), fund and joint-venture interests and cash are left out. The reading is the sum of fair value over the sum of cost, times 100.

## How to read it

Near 100 means the book is carried at about what it cost. Below 100 the lenders mark it down; a fall of one point is about one cent on the dollar across the book. The series starts in Q1 2023 at 97.33%. The reading for Q2 2026 is 97.49%, from 157 BDCs. Over the series the high is 99.21% (Q2 2025) and the low 97.33% (Q1 2023).

## What it does not say

The panel changes as BDCs start and stop filing, and as new funds launch, so a move can come from who is in it as well as from credit. Marks are each lender's own fair values, set by its valuation process each quarter; they move with market spreads as well as with the borrowers. Holdings a BDC owns through a joint venture are counted where the BDC tags them on its own schedule. It is not a default rate, and a loan can be marked down without missing a payment.

## Source

Palanor calculation from SEC filings: the SEC Business Development Company (BDC) data sets and each filing's XBRL on EDGAR (U.S. Securities and Exchange Commission; public domain).