Dynamic Debt Covenant Surveillance Engine

Overview

An AST-safe covenant monitoring engine that flags leverage breaches, runs macro shock sensitivity matrices, and simulates cross-default cascade propagation before technical default, using live SEC 10-K/10-Q financials across a $263B monitored debt portfolio.

The problem

Private credit teams monitor covenants manually, spreadsheet by spreadsheet. Breaches surface after the fact, and cross-default clauses mean one breach can cascade through a capital structure before anyone models it.

The approach

Covenant formulas from real credit agreements are parsed into an AST-safe evaluator (no eval, no injection surface) and re-computed against live SEC 10-K/10-Q financials. A BFS pass over the intercompany guarantee graph simulates cross-default cascades, while a macro shock matrix stress-tests net leverage under rate and EBITDA scenarios.

Highlights

• ▪9 issuers monitored across $263B of total debt: Charter, Walgreens, Altice, Bausch, Lumen and more
• ▪AST-safe covenant evaluator: credit-agreement math as code, without eval() risk
• ▪Cross-default cascade simulation via breadth-first search over guarantee networks
• ▪Macro shock sensitivity matrix and covenant-headroom erosion trend detection

Stack

Python · NetworkX · yfinance · SEC EDGAR · React