RiskSpan PMTM — Apollo Daily Pricing Engine

Methodology

Three pillars + two overlays · min(weighted, lowest mark, sector trigger)

Composite price equation

P_i,t = min { w₁·P_i,t^TRADE + w₂·P_i,t^COMP + w₃·P_i,t^MKT , L_i,t , P_i,t^{SECTOR_TRIGGER} }

Pillar 1 — Trade VWAP: time-decayed volume-weighted average of secondary trades. w_j = q_j · exp(−ln 2 · δ_j / h); half-life h = 5 (DL) or 3 (ABF) trading days. Set q₁ = 0 if no trade in 30d.
Pillar 2 — Comparable issuer: median basket Z-spread + α_illiq + β_rating·Δrating + γ_size·log₁₀(size), discounted via DCF (first-order duration approximation in POC).
Pillar 3 — Sector index drift: P^MKT = P_{t−1} · (1 + β_i · ΔS_k,t)
Dynamic weights: w_j = (π_j · q_j) / Σ (π_k · q_k), with priors π = (0.55, 0.35, 0.10).
Lowest-mark overlay: hard floor at lowest observed external co-lender mark.
Sector trigger: if the sector's 5-day return falls below −2.5%, every position in that sector is marked down by that 5d return.

Data sourcing

Maps each input to its production source on Edge / RS_DATA_WAREHOUSE

Input	Production source	POC source in this tool
Pillar 1 trades	ICE Private Credit Intelligence feed; Apollo market-making feed; LSTA settled trades → `RS_DATA_WAREHOUSE.MARKET.SECONDARY_TRADES`	Per-position trade tape, format `price/size/days_ago; …`
Pillar 2 comparables	ICE BAML indices; LSTA loan index; CDS curves; existing Edge `BOND_REFERENCE`, `CDS_CURVES`; new view `COMP_BASKET_DAILY`	User-entered basket median Z-spread + N (after IQR trim)
Cash flows	Existing Edge cash flow engine; `/cashflows` endpoint; RiskSpan Bond Analyzer MCP	First-order duration approximation: P ≈ 100 − (z_pos − coupon) · ModDur
Pillar 3 sector index	ICE BAML; Morningstar/LSTA; Bloomberg ABS; RS NQM Spread Index → `RS_DATA_WAREHOUSE.MARKET.SECTOR_INDEX_DAILY`	User-entered 1d and 5d sector index returns
Lowest mark	BDC 10-Q/10-K filings; ICE PCI co-lender data; counterparty reports → new `COLENDER_MARKS` table	Optional per-position field
Sector trigger	Computed view on `SECTOR_INDEX_DAILY`; threshold parameter in config	Computed locally from 5d return + threshold

Calibration parameters

Defaults from §4.4 / §6 of methodology note · refit quarterly in production

Calibration preset Loads parameter set; you can still tweak individual fields below

Prior π₁ (trade) Base weight for trade pillar Prior π₂ (comp) Base weight for comparable pillar Prior π₃ (market) Base weight for sector index h_DL (days) Half-life for direct lending trades h_ABF (days) Half-life for ABF trades (thinner secondary) Sector trigger (%) 5d return threshold (abs %) α_illiq DL (bps) Illiquidity premium, direct lending α_illiq ABF (bps) Illiquidity premium, asset-backed β_rating (bps/notch) Rating notch adjustment γ_size (bps) Per log₁₀($MM); cap ±25 bps Trade lookback (days) Drop trades older than this Size adj cap (bps) |γ·log| capped at this

Portfolio

0 positions

ID	Asset	Sector	Notional ($MM)	Coupon spread (bps)	ModDur (y)	Prev price	β to sector	Trades (price/size/days; …)	Basket med Z (bps)	Basket N	Δ rating (notches)	Sector 1d (%)	Sector 5d (%)	Lowest ext mark

Trade format: price/size/days_ago; price/size/days_ago — e.g. 98.5/5/1; 98/3/4; 97.25/8/9. Leave blank for "no qualifying trade." Δ rating is position notch − basket median notch (positive = position weaker, adds spread). Lowest ext mark is optional — leave blank when no co-lender mark observed.

Run daily pricing

Click to compute composite marks for all positions

Apollo Daily MTM — Private Credit Pricing Engine