Reproducible valuation: a hypothetical senior loan

1. Result

The run prices the loan on the yield path at fair-value Level 3. Prices are per 100 of outstanding notional; the dirty price includes 2.0108 of accrued interest. Verified on engine 3.29.0 on 24 October 2026.

PV splits into interest $2,757,432.63, principal $22,346,957.59, fees $0.00 and recovery $228,430.91.

2. Inputs

Every input is hypothetical. The borrower, the terms and both curves were written for this example and the Verus test suite; they describe no real company and no market observation. Each curve is a set of hand-set pillars dated 1 January 2026, not SOFR or OIS as published on that date.

3. Re-run it

Five calls against the Verus API at https://beta.markst.com/api, each with your X-API-Key header. The full reference is at /docs.

1. POST /deals with the deal body below. Leave deal_id empty: Verus assigns one, and an id already in use is refused. metadata.asset_type is required.
2. POST /deals/{deal_id}/versions freezes the deal and returns deal_version_id.
3. POST /assumptionsets/snapshot-adhoc with the assumption-set body below returns assumption_set_version_id.
4. POST /valuation-runs with the run body below returns the figures in section 1. Send no market_data_as_of_date: the run must price on the stated curves, and its benchmark_curve.source reads “assumption set”.
5. POST /analytics/validation with the same run body returns the ten checks in section 4. The analytics routes need Portfolio Analytics enabled on your account.

Deal

{
  "deal_id": "",
  "borrower_name": "Hypothetical Borrower",
  "currency": "USD",
  "jurisdiction": "US",
  "sector": "Industrials",
  "capital_structure": "Senior Secured",
  "deal_type": "PRIVATE",
  "origination_date": "2024-01-15",
  "maturity_date": "2027-01-15",
  "day_count": "ACT/360",
  "business_day_convention": "MODFOLLOW",
  "payment_calendar": "NYC",
  "status": "ACTIVE",
  "facility": {
    "notional": 25000000,
    "rate_type": "FLOATING",
    "floating_rate": {
      "index": "SOFR",
      "spread_bps": 500,
      "floor_bps": 100,
      "reset_frequency": "QUARTERLY"
    },
    "interest_payment_frequency": "QUARTERLY",
    "fees": { "oid_pct": 1, "upfront_fee_pct": 0.5, "exit_fee_pct": 0 },
    "principal_schedule": { "type": "BULLET", "bullet_date": "2027-01-15" }
  },
  "observations": {
    "payment_history": [],
    "covenants": []
  },
  "metadata": { "asset_type": "direct_lending" }
}

Assumption set

{
  "assumption_set_id": "AS-WORKED-EXAMPLE",
  "name": "Worked example (hypothetical)",
  "valuation": {
    "valuation_method": "DM",
    "discount_margin_bps": 500,
    "liquidity_haircut_bps": 25,
    "ifrs13_level": 3
  },
  "market": {
    "risk_free_curve": {
      "curve_id": "ois",
      "as_of_date": "2026-01-01",
      "pillars": [
        { "tenor": "3M", "rate": 0.043 },
        { "tenor": "6M", "rate": 0.043 },
        { "tenor": "1Y", "rate": 0.042 },
        { "tenor": "3Y", "rate": 0.04 },
        { "tenor": "5Y", "rate": 0.038 }
      ]
    },
    "index_curve": {
      "curve_id": "sofr",
      "as_of_date": "2026-01-01",
      "pillars": [
        { "tenor": "3M", "rate": 0.043 },
        { "tenor": "6M", "rate": 0.043 },
        { "tenor": "1Y", "rate": 0.042 },
        { "tenor": "3Y", "rate": 0.04 }
      ]
    }
  },
  "credit": {
    "model": "HAZARD",
    "hazard_term": [
      { "start_year": 0, "end_year": 5, "hazard_pa": 0.015 }
    ],
    "recovery_rate": 0.65,
    "recovery_lag_months": 6
  }
}

Run and validation

{
  "valuation_date": "2026-01-01",
  "deal_version_id": "<deal_version_id from step 2>",
  "assumption_set_version_id": "<assumption_set_version_id from step 3>"
}

Reproduce it through these REST calls. The value_deal tool in the Verus MCP connector prices a stored deal on the current market environment, not on stated curves, so it is not a reproduction path for this example.

4. Validation on this run

All ten checks of the Verus validation suite pass on this facility. These are automated internal checks; they test that the engine behaves as specified, not that the methodology is right.

The same suite runs across the golden fixture set on every engine change. The latest results are in the model risk summary, section 5.

5. What this shows, and what it does not

• It shows that the same inputs on the same engine release return the same figures, and that every input setting them is visible in the API.
• It does not show a fair value for any real loan. The inputs are hypothetical. A real mark runs on the client's own terms, curves and credit view, and the client owns it.
• It is not independent validation. Independent model validation of Verus has not yet been performed; see the model risk summary.
• It is dated. The figures were verified on engine 3.29.0 on 24 October 2026. They are frozen in CI: a release that moves them fails until this page is regenerated.

No API key yet? Request access. For how the engine reaches these numbers, see the methodology; for an illustrative walkthrough of a larger unitranche, see the unitranche case study.