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