Vol. 3 — March 2026

Credit Ratings Deep-Dive

24-entity universe across BDCs, interval funds, and credit REITs. Rating agency divergence mapped across Moody's, S&P, Fitch, and KBRA. Shadow NAV analysis reveals estimated overstatement of $6.2B across the top 12 vehicles. HY OAS at 312 bps and LSTA YTD -2.48% signal a deteriorating credit environment.

Vol. 3 — Credit Ratings Deep-Dive

Agency Ratings, Shadow NAV & Secondary Market Stress

Key Findings

CCLFX (55%) and PSEC (50%) carry the highest 12-month downgrade probability. FSK trades at 0.48x P/Book — the deepest discount in the universe. Shadow NAV analysis suggests $6.2B total overstatement across 12 vehicles, with BCRED's reported $24.79 NAV estimated at $22.50 fair value (-9.2%). Blackstone's 5Y CDS has doubled to 100 bps; unrealized losses now $125.6B vs. $87.1B at FY2024.

Master Ratings Index — 24-Entity Universe

Master Ratings Index — All 4 Agencies, P/Book, DG Odds, Composite Score

Rating Agency Divergence

Agency Divergence Heatmap — Where Moody's, S&P, Fitch & KBRA Disagree

Shadow NAV Analysis

Shadow NAV vs. Reported NAV — Top 12 Vehicles by Overstatement

Secondary Market Loan Pricing

12-Month Downgrade Probability

Downgrade Probability by Entity — CDS-Implied + Analyst Consensus

Rating Migration History

Rating Migration Q1 2022 to Q1 2026 — Upgrades vs. Downgrades

P/Book vs. NAV Discount

Macro Stress Dashboard

Macro Stress Indicators — HY OAS, LSTA, BX CDS, Unrealized Losses

Summary Dashboard