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WhatDoYouGot? CONSOLIDATED MARKET DATA
Desk 03 // Model 08 Active APR Engine 11 U.S.C. § 1129(b) Merton (1974) Structural Credit

Distressed Debt Restructuring, Chapter 11 Fulcrum Waterfall & Merton Default Model

Institutional corporate restructuring workbench. Underwrites pre-petition capital structures, solves the Absolute Priority Rule (APR) claims distribution waterfall across custom Enterprise Value scenarios, pinpoints the fulcrum security where reorganized equity is created, verifies non-consensual cramdown feasibility, and computes Merton structural distance-to-default.

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Pre-Set Scenarios:

Reorganization Parameters Claims in $M USD

$550.0M
$50.0M
$300.0M
$150.0M
$250.0M
$150.0M
$100.0M
Total Pre-Petition Claims: $1,000.0M
Coverage Ratio (EV / Debt): 61.1%
Fulcrum Security: Senior Unsecured Notes TR-03

Reorganized enterprise value breaks in the Senior Unsecured tranche. Holders receive $50.0M in remaining value (20.0% recovery) and receive 100% of the Reorganized Common Equity. Junior classes are wiped out under the Absolute Priority Rule.

Claim Class & Priority Claim ($M) Senior ($M) Cash/Debt ($M) Equity % Total Rec ($M) Recovery % Status
11 U.S.C. § 1129(b) Plan Confirmation & Cramdown Feasibility

The Absolute Priority Rule is strictly respected: No junior class receives value before senior impaired classes are satisfied. Under § 1129(a)(10), confirmation requires acceptance by at least one impaired non-insider class (Senior Unsecured Notes) with 66.7% dollar volume and 50.1% numerosity.

Merton (1974) Structural Credit Underwriter Black-Scholes Call Analogy

Distance to Default (DD)
1.42 \sigma
Standard deviations to default boundary
1-Year Default Probability
7.78%
Cumulative risk-neutral N(-d2)
Market Value of Equity (V_E)
$48.2M
Option value of levered equity
Implied Credit Spread
425 bps
Structural credit risk premium

Altman Z''-Score Distress Predictor Non-Manufacturing Benchmark

Altman Z''-Score
0.87
Distress Zone (< 1.10)
2-Year Bankruptcy Probability
82%
Empirical historical failure likelihood