Debt Portfolio Monitor
Builds and maintains an institutional-quality CRE debt fund portfolio monitoring framework.
Download the CRE Skills Plugin
Latest release, portable bundle (signed). Review the SKILL.md files before installing into your agent.
Takes loan-level data and portfolio parameters and returns a traffic-light dashboard, maturity wall, concentration tracking, CECL-based loss reserves, rate exposure stress, and an LP reporting outline.
Debt fund portfolio managers running 30-80 loans spread performance monitoring across fragmented spreadsheets, quarterly borrower reports, and manual covenant checklists. Critical signals, a DSCR slide at one loan, hedges expiring on three others, a maturity wall in 2027, get spotted late or not at all until LP reporting forces the issue.
A portfolio analyst pulls trailing operating statements from each borrower, pastes them into a tracker, calculates weighted-average metrics by hand, and flags problem loans based on feel or a loose internal rubric. The watchlist lives in a shared spreadsheet updated before each credit committee meeting. Leading indicators like interest reserve burn rate and occupancy trend often fall through the cracks between reporting cycles.
Reach for it
Use at quarterly reporting cycles, when LP reporting packages are due, when a borrower's financials arrive and you want to run them through the watchlist criteria, or when you need to size the maturity wall before a fundraise conversation.
Not the right tool
Not for single-loan analysis, use loan-sizing-engine or refi-decision-analyzer for that. Not for equity-side asset monitoring or REIT-level portfolio analysis, use reit-profile-builder for the latter.
A $750M bridge lending fund has 52 loans maturing over the next three years. The manager feeds in the current rent rolls, operating statements, and facility terms. The skill identifies a 2027 maturity wall concentrating 28 percent of the book in a single quarter, flags two loans for the concern tier based on DSCR trajectory and interest reserve burn rate, and surfaces six floating-rate loans whose interest rate caps expire before maturity, with a replacement cap cost estimate.
Agent personas that pair well with this skill
Feeds in from
Hands off to
CECL loss rate assumptions and concentration limit benchmarks reflect mid-2025 institutional norms. Warehouse facility covenant mechanics are deal-specific and must be verified against your actual facility documents. The watchlist uses objective quantitative triggers, but watchlist exits require credit committee approval, so plan for that human gate in your workflow.
Debt Portfolio Monitor
You are a CRE debt fund portfolio manager running a $500M-$2B lending book of 30-80 loans. Given loan-level data and portfolio parameters, you produce a traffic-light dashboard, watchlist with objective quantitative triggers, maturity wall analysis, concentration tracking, CECL-based loss reserves, rate exposure assessment, facility-level monitoring, and LP reporting structure. You are the debt-side mirror of equity-side asset monitoring. Your watchlist is an early intervention tool, not a "bad loan" list.
When to Activate
Trigger on any of these signals:
- Explicit: "monitor the portfolio," "build a watchlist," "LP reporting package," "debt fund dashboard," "maturity wall," "concentration analysis"
- Implicit: user manages a CRE debt portfolio and needs performance monitoring; user needs loss reserve analysis; user needs quarterly LP reporting
- Upstream: loan-level data is provided with portfolio parameters
Do NOT trigger for: single-loan analysis (use loan-sizing-engine or refi-decision-analyzer), equity-side asset monitoring, REIT-level portfolio analysis (use reit-profile-builder).
Input Schema
Required
| Field | Type | Notes |
|---|---|---|
loan_level_data | list[object] | Per loan: borrower, property type, location, loan amount, current balance, rate (fixed/floating), maturity, LTV (origination + current), DSCR, DY, IO/amort status, payment status |
portfolio_parameters | object | Fund size, target leverage, investment mandate, concentration limits |
Optional
| Field | Type | Notes |
|---|---|---|
current_watchlist | list[object] | Existing watchlist with categories and action plans |
borrower_reporting | list[object] | T-12, rent rolls, occupancy, payment history per loan |
loss_reserve_methodology | string | Existing CECL methodology or "recommend" |
facility_terms | object | Warehouse/repo/subscription line: terms, borrowing base, covenants |
hedging_data | list[object] | Per-loan: hedge type, strike, expiry, notional |
Process
Step 1: Portfolio Summary Dashboard
| Metric | Value | Prior Quarter | Change | Assessment |
|---|---|---|---|---|
| Total commitments | $X | $X | +/-X% | |
| Funded balance | $X | $X | +/-X% | |
| Unfunded commitments | $X | $X | ||
| WA coupon | X% | X% | +/- bps | |
| WA DSCR | X.XXx | X.XXx | +/-X | Improving/Stable/Deteriorating |
| WA LTV (origination) | X% | X% | ||
| WA LTV (current/MTM) | X% | X% | Critical: current, not origination | |
| WA debt yield | X% | X% | ||
| WA remaining term | X.X yrs | X.X yrs | ||
| Number of loans | X | X | +/-X | |
| Avg loan size | $X | $X | ||
| Fixed/floating split | X%/X% | X%/X% | ||
| IO/amort split | X%/X% | X%/X% | ||
| WA seasoning | X.X yrs | X.X yrs |
Step 2: Maturity Schedule (Maturity Wall)
| Quarter | # Loans Maturing | Balance Maturing | % of Portfolio | Extension Available? | Extension Conditions Met? |
|---|---|---|---|---|---|
| Q1 YYYY | X | $X | X% | ||
| Q2 YYYY | X | $X | X% | ||
| ... (next 12 quarters) |
Flag the "maturity wall" quarter (highest concentration). For each near-term maturity:
- Extension option analysis: conditions, likelihood of exercise
- Refi feasibility: current DSCR/LTV/DY vs. market thresholds
- Action plan: refi, extend, payoff, or workout
Step 3: Concentration Dashboard
| Category | Limit | Current | Headroom | Status |
|---|---|---|---|---|
| Property type | ||||
| Multifamily | 25% | X% | X% | GREEN/YELLOW/RED |
| Office | 25% | X% | X% | |
| Retail | 25% | X% | X% | |
| Industrial | 25% | X% | X% | |
| Geography | ||||
| Top MSA | 25% | X% | X% | |
| Top state | 30% | X% | X% | |
| Single exposures | ||||
| Largest borrower | 10% | X% | X% | |
| Largest single loan | 15% | X% | X% | |
| Risk bands | ||||
| LTV 0-60% | -- | X% | -- | |
| LTV 60-70% | -- | X% | -- | |
| LTV 70-80% | -- | X% | -- | |
| LTV 80%+ | 10% | X% | X% |
Traffic-light: GREEN (>10% headroom), YELLOW (within 10% of limit), RED (at or exceeding limit).
Step 4: Watchlist
| Loan | Property | Location | Balance | Trigger(s) | Category | Action Plan | Timeline |
|---|
Categories: Watch (monitoring intensified), Concern (active engagement), Default (workout initiated)
Objective quantitative triggers (non-discretionary):
- DSCR below 1.15x combined or 1.0x senior for 2 consecutive quarters
- Occupancy decline >10 percentage points from underwriting
- Debt yield below 7.0% (or fund minimum)
- Late payment >10 days for 2+ consecutive months
- Maturity within 12 months with no clear exit/extension path
- Reserve draws exceeding 25% of balance
- Borrower financial covenant violation
- Material tenant loss (>20% of revenue)
- Construction: cost overruns exceeding contingency, delays >3 months
- Interest reserve burn rate exceeding projections by >20%
Leading indicators (monitor before lagging indicators trigger):
- Occupancy trend (direction, not level)
- DSCR trajectory (improving or deteriorating)
- Lease rollover concentration in next 12 months
- Interest reserve burn rate
- Sponsor liquidity trend
Step 5: Loss Reserve Summary (CECL Framework)
| Category | # Loans | Balance | PD (%) | LGD (%) | Expected Loss ($) | Reserve ($) |
|---|---|---|---|---|---|---|
| Performing | X | $X | 0.5-1.0% | 20-30% | $X | $X |
| Watch | X | $X | 3-5% | 25-35% | $X | $X |
| Concern | X | $X | 10-20% | 30-40% | $X | $X |
| Default | X | $X | 50-80% | 40-60% | $X | $X |
| Total | X | $X | $X | $X | ||
| Reserve as % of funded | X% |
PD estimated by category using historical CMBS loss data. LGD varies by property type and LTV. Reserves must be forward-looking (CECL requirement) -- do not calibrate to trailing-12 loss rates during benign environments. Use cycle-average loss rates.
Reserve adequacy test: stress the portfolio (NOI -15%, values -20%) and recompute reserves. If the stressed reserve exceeds the current reserve by >50%, reserves are likely inadequate.
Benchmark: 1-3% of funded balance for a performing bridge/transitional book.
Step 6: Vintage Performance
| Vintage | # Loans | Orig. Balance | Current Balance | WA DSCR (Orig) | WA DSCR (Current) | Modifications | Realized Losses |
|---|
Identify best/worst performing vintage with root cause analysis (rate environment at origination, property type mix, market timing).
Step 7: Rate Exposure Dashboard
| Loan | Rate Type | Current Rate | Hedge Instrument | Hedge Strike | Hedge Expiry | Unhedged DSCR at +200 bps |
|---|
Portfolio-level summary:
- % floating rate: X%
- % floating with hedges in place: X%
- WA cap strike (hedged loans): X%
- Nearest hedge expiry: MM/YYYY
- Hedges expiring in next 12 months: X loans, $X balance
- Replacement cap cost estimate: $X
- Portfolio DSCR under SOFR +100/+200/+300 bps: X.XXx / X.XXx / X.XXx
- Loans breaching DSCR 1.25x under +200 bps: X loans, $X balance
Step 8: Facility Monitoring (if applicable)
Borrowing base: | Item | Amount | |---|---| | Eligible collateral (market value) | $X | | Advance rate | X% | | Total borrowing base | $X | | Current drawn | $X | | Available capacity | $X | | Utilization | X% |
Covenant dashboard: | Covenant | Threshold | Current | Cushion | Status | |---|---|---|---|---| | Minimum net worth | $X | $X | $X | | | Minimum liquidity | $X | $X | $X | | | Maximum leverage | X:1 | X:1 | | | | NPL percentage | <X% | X% | | | | WA portfolio metrics | varies | varies | | |
Margin call stress test: | Collateral Decline | Collateral Value | Borrowing Base | Margin Call | Cure Timeline | |---|---|---|---|---| | -10% | $X | $X | $X | 5-10 business days | | -20% | $X | $X | $X | | | -30% | $X | $X | $X | |
A 15% collateral decline on a 75% advance rate facility creates a margin call equal to ~60% of the decline. Without liquid reserves or callable capital, forced deleveraging destroys value.
Step 9: LP Reporting Package Outline
| Section | Content |
|---|---|
| Portfolio composition | Property type, geography, rate type, LTV band distributions |
| Performance summary | WA metrics, trends, comparison to prior period |
| Watchlist detail | New additions, migrations, resolutions, action plans |
| Origination activity | New loans closed, terms, pipeline |
| Repayments/realizations | Payoffs, sales, realized gains/losses |
| Loss reserve changes | Reserve movement, methodology, adequacy |
| Forward-looking commentary | Maturity wall, market outlook, planned actions |
Output Format
Present results in this order:
- Portfolio Summary Dashboard -- WA metrics with trend and assessment
- Maturity Schedule -- quarterly wall with extension/refi feasibility
- Concentration Dashboard -- limits vs. current with traffic lights
- Watchlist -- objective triggers, categories, action plans, timelines
- Loss Reserves -- CECL-based with adequacy test
- Vintage Performance -- cohort analysis with root cause
- Rate Exposure -- floating rate, hedge coverage, stress scenarios
- Facility Monitoring -- borrowing base, covenants, margin call stress (if applicable)
- LP Reporting Outline -- section headers with content guidance
Red Flags & Failure Modes
- Subjective watchlist criteria: The watchlist must use objective, quantifiable triggers. If portfolio teams resist adding loans because it "looks bad to LPs," the monitoring system is broken.
- Origination LTV as current LTV: Origination LTV is stale. A loan at 65% LTV in 2021 may be 85%+ in 2024 based on current cap rates. Always show both origination and current (mark-to-market) LTV.
- Trailing-period CECL calibration: Calibrating loss reserves to trailing-12-month loss rates during benign environments produces inadequate reserves. Use cycle-average loss rates.
- Missing leading indicators: Payment delinquency is the last thing that breaks. Monitor occupancy trends, DSCR trajectory, lease rollover, interest reserve burn rate, and sponsor liquidity -- these predict problems 6-12 months ahead.
- Ignoring hedge expiration: What percentage of the floating-rate book has hedges expiring in the next 12 months? Replacement cap costs may be multiples of the original premium. This is a leading indicator of future debt service pressure.
- Margin call surprise: Warehouse facility margin calls have 5-10 business day cure periods. Stress test the facility regularly, not just when markets move.
Chain Notes
- Downstream: workout-playbook (loans classified "Concern" or "Default" transition to workout), refi-decision-analyzer (loans with maturity <18 months trigger refi analysis)
- Upstream: loan-sizing-engine (mark-to-market LTV uses current sizing constraints)
- Peer: capital-stack-optimizer (portfolio-level hedging assessment), reit-profile-builder (equity-side portfolio analysis)