Summit Chemical · SMCH
DEMO DATAUNDERWRITING ASSUMPTIONPASSReturn analysis — Senior Unsecured Notes 5.75%
HYPOTHETICAL INVESTMENT TERMSUNDERWRITING ASSUMPTION| Base Case | Downside | Severe Downside | Expected | |
|---|---|---|---|---|
| Outcome | Performing | Default (FY2028E) | Default (FY2027E) | |
| Face value (legal claim) | $100.0M | $100.0M | $100.0M | |
| Purchase price → cash investment | 92.0 → $92.5M | 92.0 → $92.5M | 92.0 → $92.5M | |
| Cash interest received | $11.5M | $17.3M | $11.5M | |
| Exit price (performing) / recovery proceeds (default) | 100.0 → $100.0M | $67.3M | $16.5M | |
| Capital gain / (loss) vs purchase price | $8.0M | ($24.7M) | ($75.5M) | |
| Total cash proceeds | $111.5M | $84.5M | $28.0M | |
| Valuation recovery % · loss given default | 100% · 0% | 66% · 34% | 16% · 84% | |
| Absolute profit | $19.0M | ($7.9M) | ($64.5M) | |
| MOIC | 1.21x | 0.91x | 0.30x | 0.98x |
| IRR (annual periods) | 10.1% | -2.5% | -37.8% | -0.7% |
| IRR (contractual timing, 1x/yr coupons) | 10.1% | -2.5% | -37.8% | -0.7% |
| Scenario probability | 55% | 30% | 15% | |
| Required return (hurdle IRR) → status | FAIL 12% | FAIL 12% | FAIL 12% | FAIL |
Expected column = IRR of the probability-weighted cash flows (-0.7%), not the average of scenario IRRs (-0.8%); 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 |
|---|---|---|---|
| 84.0 | 15.4% | 0.0% | -35.6% |
| 88.0 | 12.6% | -1.3% | -36.7% |
| 92.0 | 10.1% | -2.5% | -37.8% |
| 96.0 | 7.7% | -3.6% | -38.8% |
| 100.0 | 5.5% | -4.7% | -39.7% |
Sensitivity 2 — Exit / recovery value (% of face) vs IRR
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | -44.0% | -24.5% | -34.3% |
| 40.0 | -26.5% | -12.9% | -19.4% |
| 60.0 | -12.5% | -4.9% | -8.9% |
| 80.0 | -0.5% | 1.4% | -0.4% |
| 100.0 | 10.1% | 6.7% | 6.8% |
Sensitivity 3 — EBITDA margin shift vs IRR (full model re-run)
| EBITDA margin shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -4.0 pts | 10.1% | -11.5% | -51.7% |
| -2.0 pts | 10.1% | -9.2% | -43.3% |
| +0.0 pts | 10.1% | -2.5% | -37.8% |
| +2.0 pts | 10.1% | 7.0% | -37.8% |
| +4.0 pts | 10.1% | 4.9% | -25.4% |
Sensitivity 4 — Revenue growth shift vs IRR (full model re-run)
| Revenue growth shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -10.0 pts | 10.1% | -1.2% | -37.8% |
| -5.0 pts | 10.1% | -1.6% | -37.8% |
| +0.0 pts | 10.1% | -2.5% | -37.8% |
| +5.0 pts | 10.1% | 2.2% | -39.4% |
| +10.0 pts | 10.1% | 4.9% | -41.9% |
Sensitivity 5 — Interest rate (SOFR) shift vs IRR (full model re-run)
| SOFR shift | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -1.0 pts | 10.1% | -1.5% | -37.4% |
| -0.5 pts | 10.1% | -2.0% | -37.6% |
| +0.0 pts | 10.1% | -2.5% | -37.8% |
| +1.0 pts | 10.1% | -3.5% | -38.8% |
| +2.0 pts | 10.1% | -4.7% | -40.7% |
Sensitivity 6 — Distressed valuation multiple shift vs target-tranche recovery %
| Multiple shift (x EBITDA) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| -2.0x | 100.0% | 66.3% | 16.3% |
| -1.0x | 100.0% | 66.3% | 16.3% |
| +0.0x | 100.0% | 66.3% | 16.3% |
| +1.0x | 100.0% | 91.2% | 16.3% |
| +2.0x | 100.0% | 100.0% | 16.3% |
Sensitivity 7 — Recovery / exit value (% of face) vs MOIC
| Proceeds (% of face) | Base Case | Downside | Severe Downside |
|---|---|---|---|
| 20.0 | 0.34x | 0.40x | 0.34x |
| 40.0 | 0.56x | 0.62x | 0.56x |
| 60.0 | 0.77x | 0.84x | 0.77x |
| 80.0 | 0.99x | 1.05x | 0.99x |
| 100.0 | 1.21x | 1.27x | 1.21x |
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)) | $92.5M |
| Current yield (coupon ÷ price) | 6.3% |
| Cash interest received | $11.5M |
| Exit / recovery proceeds | $100.0M |
| Capital gain / (loss) vs purchase price | $8.0M |
| Total cash proceeds | $111.5M |
| Absolute profit | $19.0M |
| MOIC | 1.21x |
| IRR | 10.1% |