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Investors considering the private debt asset class often raise the question “To what risk does an observed interest margin relate?” Their point of reference would typically be the gross interest margin that a local bank might offer to a corporate borrower. However, in countries with a competitive banking landscape and bank debt priced at around 250 bps to 300 bps interest margins for leveraged buyouts, a 600 bps margin for direct lending transactions appears to be risky. However, a more differentiated approach and analysis is needed to fully appreciate the attractive return and risk drivers of direct lending. The aim of this analysis is the attribution of the interest margin to specific risk factors.

An important requirement to do so is the availability of data for a notoriously opaque asset class. The analysis that follows is based on a comprehensive data collection and includes more than 5,100 loans originated from 2006 to 2018.

Exhibit 8 illustrates the findings of the interest margin decomposition. The analysis not only helps in understanding the risk/return drivers but also supports the efficient sourcing of loans and portfolio construction.