Redwood Broadband · RWBB
DEMO DATAUNDERWRITING ASSUMPTIONHOLDReturn analysis — Second-Lien Notes 10.50%
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Default (FY2027E) | Default (FY2027E) | Default (FY2027E) | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 78.0 → $78.4M | 78.0 → $78.4M | 78.0 → $78.4M | |
| Cash interest received | $21.0M | $21.0M | $21.0M | |
| Exit price (performing) / recovery proceeds (default) | $102.6M | $82.6M | $6.5M | |
| Capital gain / (loss) vs purchase price | $24.6M | $4.6M | ($71.5M) | |
| Total cash proceeds | $123.6M | $103.6M | $27.5M | |
| Valuation recovery % · loss given default | 100% · 0% | 80% · 20% | 6% · 94% | |
| Absolute profit | $45.2M | $25.2M | ($50.9M) | |
| MOIC | 1.58x | 1.32x | 0.35x | 1.32x |
| IRR (annual periods) | 18.3% | 11.0% | -40.6% | 10.8% |
| IRR (contractual timing, 1x/yr coupons) | 18.3% | 11.0% | -40.6% | 10.8% |
| Scenario probability | 55% | 30% | 15% | |
| Required return (hurdle IRR) → status | PASS 12% | FAIL 12% | FAIL 12% | FAIL |
Expected column = IRR of the probability-weighted cash flows (10.8%), not the average of scenario IRRs (7.3%); IRR is non-linear. Contractual timing re-times the same coupon dollars to 1 payment(s) per year (settlement on a coupon date, no accrued interest); principal/recovery stay on annual dates. Fees: 0.5% of cost, paid at t=0. Per $100M face. Timing: coupons at period ends; default → recovery cash 1 period after the default period; performing exit at the hold period at the lesser of the scenario exit-price cap and valuation coverage at the exit multiple. Floating coupons include the scenario rate shock. Scenario weights 55% / 30% / 15%.
Sensitivity analysis — where is the risk / return attractive?
Sensitivity 1 — Purchase price vs IRR
| Purchase price (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 70.0 | 23.2% | 15.6% | -37.5% |
| 74.0 | 20.6% | 13.2% | -39.1% |
| 78.0 | 18.3% | 11.0% | -40.6% |
| 82.0 | 16.1% | 8.9% | -41.9% |
| 86.0 | 14.1% | 7.0% | -43.2% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -24.3% | -24.3% | -24.3% |
| 40.0 | -9.5% | -9.5% | -9.5% |
| 60.0 | 1.3% | 1.3% | 1.3% |
| 80.0 | 10.0% | 10.0% | 10.0% |
| 100.0 | 17.4% | 17.4% | 17.4% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | 13.5% | -6.4% | -56.1% |
| -2.0 pts | 18.3% | 3.1% | -56.1% |
| +0.0 pts | 18.3% | 11.0% | -40.6% |
| +2.0 pts | 18.3% | 17.8% | -22.4% |
| +4.0 pts | 18.3% | 18.3% | -10.9% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 12.8% | -9.4% | -56.1% |
| -5.0 pts | 16.0% | -1.8% | -56.1% |
| +0.0 pts | 18.3% | 11.0% | -40.6% |
| +5.0 pts | 18.3% | 18.3% | -15.1% |
| +10.0 pts | 18.3% | 18.3% | 0.3% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 18.3% | 11.9% | -36.9% |
| -0.5 pts | 18.3% | 11.5% | -38.7% |
| +0.0 pts | 18.3% | 11.0% | -40.6% |
| +1.0 pts | 18.3% | 10.0% | -45.1% |
| +2.0 pts | 18.3% | 9.1% | -50.8% |
Sensitivity 6 — Distressed valuation multiple shift vs target-tranche recovery %
| Multiple shift (x EBITDA) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -2.0x | 87.4% | 41.2% | 0.0% |
| -1.0x | 87.4% | 41.2% | 0.0% |
| +0.0x | 100.0% | 80.5% | 6.3% |
| +1.0x | 100.0% | 100.0% | 42.4% |
| +2.0x | 100.0% | 100.0% | 78.5% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.52x | 0.52x | 0.52x |
| 40.0 | 0.78x | 0.78x | 0.78x |
| 60.0 | 1.03x | 1.03x | 1.03x |
| 80.0 | 1.29x | 1.29x | 1.29x |
| 100.0 | 1.54x | 1.54x | 1.54x |
Green ≥ hurdle IRR (12%) · amber = positive but below hurdle · red = loss (recovery table: green = full recovery, amber ≥ 60%). Every cell is the same calculation as the Excel Sensitivities tab; margin, growth, rate and multiple tables re-run the entire model (statements → debt → default → recovery → returns).
Return calculator
| Face value (legal claim) | $100.0M |
| Cash investment (face × price × (1 + fees)) | $78.4M |
| Current yield (coupon ÷ price) | 13.5% |
| Cash interest received | $31.5M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | $22.0M |
| Total cash proceeds | $131.5M |
| Absolute profit | $53.1M |
| MOIC | 1.68x |
| IRR | 20.9% |