Portfolio Cross Default Risk Calculator

Cross-default makes one problem everyone's problem.

Portfolio total balance

Weakest asset % of portfolio

Cascade probability %

Recovery discount %

Expected loss

$1,215,000

Cascade loss if triggered

$12,150,000

Single asset loss (base)

$4,500,000

How the math works

Weak asset loss = weak × discount. Cascade loss = weak + portion of others. Expected = cascade × probability.

$18M weak + $30.6M cascade impact = $48.6M cascade loss × 10% = $4.86M expected loss.

How to Use

Enter portfolio total balance.
Enter weakest asset at risk %.
Enter cascade probability %.
Enter recovery discount %.
Read expected loss.

Frequently Asked Questions

X-default clauses?

Default on one loan triggers default on others under same credit (sponsor, borrower). Lender can accelerate all loans simultaneously. Common in portfolio loans, corporate borrowings. Reduces sponsor flexibility but may lower rate.

Cascade risk?

One bad asset + X-default can force sale of stable assets. Distressed sale at 70-80% of fair value × multiple assets = material loss. Strong assets sold to cure weak asset's trigger. Portfolio structure matters.

Mitigation?

Avoid cross-default when possible. Carve out weakest asset separately. Lender consent thresholds. Cure rights. Standstill provisions. Each trade-off between sponsor flexibility and lender pricing. Rate premium of 10-25 bps common for cross-default carve-out.

How often should I rerun this?

Rerun this calculator whenever inputs change materially — new rent roll data, rate moves, loan balance updates, or quarterly operating data. For active deals, monthly refresh is typical. For stabilized assets under monitoring, quarterly is fine. Treat the output as a decision tool, not a one-time answer — market conditions evolve and so should your analysis.