Points of notional unless stated. Flat hazard, 4 percent discounting, quarterly premium with accrual on default, standard coupons of 500bp (CoreWeave) and 100bp (Oracle). Recovery 40 percent unless stated; 20 percent approximates the rating agencies’ recovery range on the CoreWeave unsecured notes. A method in miniature, not a dealer curve.
CoreWeave five-year: cost of entry and what is implied
| 5y spread (bp) | Context | Upfront, R=40% (pts) | Upfront, R=20% (pts) | Running (pts/yr) | 1y PD | 3y PD | 5y PD, R=40% | 5y PD, R=20% | Break-even event probability |
|---|
| 368 | 6 Oct close | (5.2) | (5.3) | 5.0 | 6% | 17% | 26% | 21% | 21% |
| 505 | Nov 2025 print | 0.2 | 0.2 | 5.0 | 8% | 22% | 34% | 27% | 27% |
| 643 | 9 Oct close | 5.0 | 5.3 | 5.0 | 10% | 27% | 41% | 33% | 33% |
| 800 | retracement zone | 10.0 | 10.7 | 5.0 | 12% | 33% | 49% | 39% | 39% |
| 982 | 14 Oct record | 15.0 | 16.4 | 5.0 | 15% | 39% | 56% | 46% | 45% |
| 1,038 | 15 Oct late | 16.5 | 18.0 | 5.0 | 16% | 40% | 58% | 48% | 47% |
| 1,195 | 15 Oct intraday record | 20.2 | 22.4 | 5.0 | 18% | 45% | 63% | 53% | 51% |
| 1,500 | stress | 26.3 | 29.7 | 5.0 | 22% | 53% | 71% | 61% | 59% |
| 2,000 | pre-restructuring | 33.8 | 39.4 | 5.0 | 28% | 63% | 81% | 71% | 70% |
Break-even: the probability of a covered credit event by year 2.5 at which the expected payout (80 points at 20 percent recovery, less upfront and coupon) equals the expected cost of a no-event hold to maturity. The upfront at 368bp is negative: a buyer on 6 October was paid to own protection.
Mark-to-market after a twelve-month hold
| Entry 5y spread | exit 400 | exit 600 | exit 800 | exit 1,000 | exit 1,195 | exit 1,500 | exit 2,000 | exit 3,000 | Event at m6, R=20% | Event at m18, R=20% | Event at m30, R=40% |
|---|
| 368 (paid (5.2)) | -3.1 | +3.2 | +8.8 | +13.7 | +18.0 | +23.7 | +31.2 | +41.0 | +82.7 | +77.7 | +52.7 |
| 643 (paid 5.0) | -13.3 | -7.0 | -1.4 | +3.5 | +7.8 | +13.5 | +21.0 | +30.8 | +72.5 | +67.5 | +42.5 |
| 800 (paid 10.0) | -18.2 | -11.9 | -6.4 | -1.4 | +2.8 | +8.6 | +16.0 | +25.8 | +67.5 | +62.5 | +37.5 |
| 1,000 (paid 15.5) | -23.7 | -17.5 | -11.9 | -7.0 | -2.7 | +3.1 | +10.5 | +20.3 | +62.0 | +57.0 | +32.0 |
| 1,195 (paid 20.2) | -28.4 | -22.1 | -16.6 | -11.6 | -7.4 | -1.6 | +5.8 | +15.6 | +57.3 | +52.3 | +27.3 |
Break-even exit after twelve months
| Entry | Break-even exit (4y point) | Widening required |
|---|
| 368 | 495 | +127bp |
| 643 | 855 | +212bp |
| 800 | 1,063 | +263bp |
| 1,000 | 1,331 | +331bp |
| 1,195 | 1,596 | +401bp |
What the cash bonds implied on 15 October
| Bond | Price | Years | Implied flat spread, R=40% | Implied flat spread, R=20% | 5y CDS same day |
|---|
| 9.25% Jun-2030 | 88.1 | 3.7 | 876bp | 871bp | 1,038 to 1,195 |
| 9.00% Feb-2031 | 84.7 | 4.3 | 1,021bp | 983bp | 1,038 to 1,195 |
| 9.75% Oct-2031 | 83.2 | 5.0 | 1,067bp | 1,029bp | 1,038 to 1,195 |
| 9.625% Jul-2032 | 81.5 | 5.8 | 1,109bp | 1,055bp | 1,038 to 1,195 |
The curve is upward sloping in hazard terms: the bond market was pricing the 2030 to 2032 maturity wall, not a 2027 liquidity event.
Tenor
| Tenor | Spread inferred from the bond curve | Upfront (pts) | Coupon to maturity | Maximum loss, no event | Covers | Cumulative PD priced | Payout multiple on an event at month 15 |
|---|
| 2y (20 Dec 2028) | about 780bp | 4.7 | 10 | 14.7 | 2027 funding gap only | 23% | 4.7x |
| 3y (20 Dec 2029) | about 870bp | 8.5 | 15 | 23.5 | 2027 gap, DDTL 1.0 at March 2028, first DSCR tests | 35% | 2.8x |
| 4y (20 Dec 2030) | about 990bp | 13.3 | 20 | 33.3 | adds the June 2030 notes, DDTL 2.0 and 3.0 | 48% | 1.8x |
| 5y (20 Dec 2031) | about 1,038bp | 16.5 | 25 | 41.5 | adds the 2031 stack | 58% | 1.4x |
Oracle five-year
| 5y spread (bp) | Context | Upfront (pts) | Running (pts/yr) | 1y PD | 5y PD | All-in 12m carry |
|---|
| 120 | BBB index level | 0.9 | 1.0 | 2.0% | 10% | 1.2 |
| 198 | Jul 2026 prior record | 4.1 | 1.0 | 3.2% | 15% | 1.7 |
| 260 | 8 Oct | 6.5 | 1.0 | 4.2% | 19% | 2.1 |
| 288 | 15 Oct record | 7.6 | 1.0 | 4.7% | 21% | 2.3 |
| 400 | fallen-angel pricing | 11.6 | 1.0 | 6.4% | 28% | 2.8 |
| 500 | BB minus | 14.9 | 1.0 | 8.0% | 34% | 3.3 |
| 700 | single B | 20.7 | 1.0 | 11.0% | 44% | 4.0 |
| Entry | exit 150 | exit 200 | exit 250 | exit 288 | exit 350 | exit 400 | exit 500 | exit 700 |
|---|
| 288 (paid 7.6) | -6.8 | -5.1 | -3.5 | -2.3 | -0.3 | +1.2 | +4.0 | +9.2 |
Provided for informational purposes only; not investment advice or an offer or solicitation. Scenario outputs are analyst assumptions, not forecasts of default. Affiliates of Theseus may hold long or short positions, including credit default swaps, in the companies discussed. See Disclaimers.
