Swap
6
Swap Senior LIBOR 8.0% 70 bps 80M 10M 10M Mezzanine 9.0% SUM 2.3% 2.0% 11% Equity 25.1% 6.34% Fees (2.3x80 + 2x10 + 11x10)/10 – 6.34 (11 – 8.7)
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Fees. 6.34%. Swap. 8.0%. LIBOR. Senior. SUM. 2.3%. 70 bps. (11 – 8.7). 80M. 2.0%. Mezzanine. 9.0%. 10M. 11%. 10M. 25.1%. Equity. (2.3x80 + 2x10 + 11x10)/10 – 6.34. Year 1: Assume 2 percent default rate (no recovery and default occurs before interest payment). Fees. 6.34%. - PowerPoint PPT Presentation
Transcript of Swap
Swap
Senior
LIBOR8.0%
70 bps80M
10M
10M
Mezzanine9.0%
SUM
2.3%
2.0%
11%
Equity25.1%
6.34%
Fees
(2.3x80 + 2x10 + 11x10)/10 – 6.34
(11 – 8.7)
Swap
Senior
LIBOR8.0%
70 bps80M
10M
8M
Mezzanine9.0%
SUM
2.3%
2.0%
11%
Equity22.9%
6.34%
Fees
(2.3x80 + 2x10 + 11x8)/10 – 6.34
(11 – 8.7)
Year 1:Assume 2 percent default rate (no recovery and default occurs before interest payment)
Par Value Test = .98
Swap
Senior
LIBOR8.0%
70 bps80M
10M
6.04M
Mezzanine9.0%
SUM
2.3%
2.0%
11%
Equity21.1%
6.34%
Fees
(2.3x80 + 2x10 + 11x6.4)/10 – 6.34
(11 – 8.7)
Year 2:Assume 2 percent default rate (no recovery)Par value = .98x.98x100 = 96.04
Par Value Test = .9604
Swap
Senior
LIBOR8.0%
70 bps80M
10M
4.11M
Mezzanine9.0%
SUM
2.3%
2.0%
11%
Equity18.62%
6.34%
Fees
(2.3x80 + 2x10 + 11x4.11)/10 – 6.34
(11 – 8.7)
Year 3:Assume 2 percent default rate (no recovery)Par value = .98x.98x.98x100 = 94.11
Par Value Test = .9411
Swap
Senior
LIBOR8.0%
70 bps80M
10M
.39M
Mezzanine9.0%
SUM
2.3%
2.0%
11%
Equity14.53%
6.34%
Fees
(2.3x80 + 2x10 + 11x.39)/10 – 6.34
(11 – 8.7)
Year 5:Assume 2 percent default rate (no recovery)Par value = .98x.98x.98x.98x.98x100 = 90.39
Par Value Test = .9039
Swap
Senior
LIBOR8.0%
70 bps80M
8.19M
.0M
Mezzanine9.0%
SUM
2.3%
2.0%
11%
Equity14.1%
6.34%
Fees
(2.3x80 + 2x10)/10 – 6.34
(11 – 8.7)
Year 6:Assume 2 percent default rate (no recovery)Par value = 90.39x.98 = 88.58
Par Value Test = .8858
