Portfolio health.

In default and interest in arrears are the fund's own answers on each debt holding in its monthly portfolio report, divided by the fair value of the holdings it answered for. A holding the fund said nothing about is counted in neither the share nor the base. These describe the borrower's condition.

Non-accrual is a different fact: the manager's own decision to stop recognising income on a loan, which the fund states as a share of its portfolio at fair value, at cost, or both. Both are shown where both are filed, from the same report. A loan that has been written down is worth little, so its share at fair value is small even when the loan was large; the share at cost shows how much of what the fund lent has stopped paying. Neither is ever converted into the other. Where a fund states a count of holdings instead, the count is shown as filed and is never converted into a share. Weakest internal grades is the share of the portfolio in the two weakest grades of the adviser's own scale, and the direction of that scale is read from each filing, because some advisers number their safest investments first and others number them last.

Portfolio marked at = what the fund's investments are carried at, as a share of what the fund paid for them. Where a fund reports its holdings one by one, the figures are added up across every holding and the count of holdings is shown; where it reports only the two totals, those totals are used. Cost and value always come from the same report. Below 97% of cost means the book is carrying unrealized losses. PIK share = payment-in-kind income ÷ total investment income (tagged financials, or the income statement itself where untagged). Red marks fixed levels rather than a ranking against other funds: portfolio mark below 97% of cost, PIK at or above 12% of income, non-accrual at or above 2% (at fair value, or at cost where that is the only share filed), weakest grades at or above 5%, and either flag share at or above 1%. A fund's colour therefore never changes because another fund was added.

Markdowns and markups are valuation marks: fair value moved ≥25% with par unchanged, so the change is not treated as a trade. Default and arrears flags are the funds' own position-level non-accrual signals. The event list requires a flagged position to represent at least 0.05% of portfolio value. Smaller flags remain in the underlying position data.