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    Blackstone Solutions

    Uploaded by

    Bianca Kang

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd

    Blackstone Solutions

    Uploaded by

    Bianca Kang
    11 views2 pages

    Copyright

    © © All Rights Reserved

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    XLSX, PDF, TXT or read online from Scribd

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    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    11 views2 pages

    Blackstone Solutions

    Uploaded by

    Bianca Kang

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 2

    For every: Bond Face 100 Debt beta 0.

    2 rm-rf 6%
    Recovery Rate 69.35 rd
    1 2 3 4 5
    LIBOR 0.0387 0.0461 0.0487 0.0499 0.0513
    spread 0.0309 0.0309 0.0309 0.0309 0.0309
    Total Coupon 0.0696 0.077 0.0796 0.0808 0.0822

    Survival
    CF 6.96 7.7 7.96 8.08 108.22
    Pr. of survival 94.09% 88.53% 83.30% 78.37% 73.74%
    Exp CF 6.548664 6.816755 6.630457 6.332646 79.80404

    Default
    CF 69.35 69.35 69.35 69.35 69.35
    Pr. of default 5.91% 5.56% 5.23% 4.92% 4.63%
    Exp CF 4.098585 3.856359 3.628448 3.414007 3.212239

    Total Cash Inflow 10.64725 10.67311 10.2589 9.746653 83.01628


    Debt raised for every 100 raised:= 3.81/6.11*100
    Debt 62.35679
    1 2 3 4 5
    LIBOR 0.0387 0.0461 0.0487 0.0499 0.0513
    Spread 1% 1% 1% 1% 1%
    Total Cost 4.87% 5.61% 5.87% 5.99% 6.13%
    CF outflow 3.036776 3.498216 3.660344 3.735172 66.17926
    Equity inje 20.6219312602291
    NET CF -20.6219312602291 7.610473 7.174897 6.598561 6.011481 16.83701

    IRR 28.0%
    NPV
    For every: Bond Face 100 Debt beta 0.2 rm-rf 6%
    Recovery Rate 100% rd
    1 2 3 4 5
    LIBOR 0.0387 0.0461 0.0487 0.0499 0.0513
    spread 4.06% 4.06% 4.06% 4.06% 4.06%
    Total Coupon 7.93% 8.67% 8.93% 9.05% 9.19%

    Survival
    CF 7.93 8.67 8.93 9.05 109.19
    Pr. of survival 85.63% 73.32% 62.79% 53.77% 46.04%
    Exp CF 6.790459 6.357275 5.606984 4.865779 50.27043

    Default
    CF 100 100 100 100 100
    Pr. of default 14.37% 12.31% 10.54% 9.02% 7.73%
    Exp CF 14.37 12.30503 10.5368 9.02266 7.726104

    Total Cash Inflow 21.16046 18.66231 16.14378 13.88844 57.99653

    CDS Cost 7.92 7.92 7.92 7.92 7.92


    Exp CF 6.781896 5.807338 4.972823 4.258228 3.646321

    discount rate 0.0387 0.0461 0.0487 0.0499 0.0513


    Discounted factor 0.962742 0.920315 0.877577 0.835868 0.79508
    PV of CF 13.84284 11.83062 9.80338 8.04958 43.21276
    Total PV of CF 86.73919

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