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Quantitative Finance · शब्दावली

Distressed debt, exchange offer क्या है?

अन्य नाम: distressed debt · exchange offer

Definition 26.1 Markets II: Rates, FX and Credit · अध्याय 26 — Distressed, Sovereign and Bank-Capital Credit

Distressed debt is debt of a borrower in or near default, trading at a price that reflects an expected loss rather than a spread over the risk-free rate. An exchange offer is a borrower’s offer to its creditors to swap their claims for new instruments, typically worth less, with lower face value, lower coupons or longer maturities, sometimes with cash.

Value of the chapter’s exchange offer, per 100 of old face, against the exit yield at which the new 15-year 4% bonds will trade: with the 5 of cash paid to those who tender, and without it, which is what a holder bound by a collective action clause receives. The dots are . Illustrative; data: the chapter’s tutorial.
Figure 26.1. Value of the chapter’s exchange offer, per 100 of old face, against the exit yield at which the new 15-year 4% bonds will trade: with the 5 of cash paid to those who tender, and without it, which is what a holder bound by a collective action clause receives. The dots are Example 26.2. Illustrative; data: the chapter’s tutorial.

उदाहरण

Example 26.2 (An exchange offer)

A borrower offers, per 100 of old bonds, 50 of new 15-year bonds paying 4% and 5 in cash for those who tender. At an exit yield of 9% the new bonds are worth 29.85 and the package 34.85: a face-value haircut of 50% but a present-value haircut of 65.2%. At an exit yield of 6% the package is worth 45.29, at 12% only 27.76 (Figure 26.1).

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