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=
+
+ + +
=
N
1 t
t
-1 t
E
-1 t
R
i] [1
TC ] ) g E(1 ) g [R(1 x T) - (1
PV
Capacitatea de ndatorare a unui proiect
x D = PV
Pornind de la ipoteza iniial:
Putem calcula i valoarea veniturilor R care asigur un anumit D:
Examplu: Capacitatea de ndatorare a unui proiect
Project Cash Inflows () 1 year
- Received from customers 2500000
- Other cash receipts 170000
Cash generated by operations 2670000
- Sale of property 0
- Sale of investments 0
- Other activities 30000
Cash generated by investments 30000
Total cash revenues 2700000
Project Cash Outflows () 1 year
- For Inventory 125000
- For Insurace 10000
- Rent and lease 150000
- For advertising 15000
- For payroll 20000
- Other payments 10000
- Taxes 80000
Cash used by operations 410000
- Capital expenditure 1500000
- Purchases 400000
- Other use 100000
Cash used by investment 2000000
Total cash expenses 2410000
Capacitatea de ndatorare Ipoteza 1
Ipoteze iniiale
Rata anual de cretere a veniturilor - g(r) 5%
Rata anual de cretere a cheltuielilor - g(e) 5%
Impozit - T 40%
Cash flow coverage ratio - 1.5
Rata de actualizare - i 10%
Scadena mprumutului - N 12
Cheltuieli non-cash deductibile - C 0
Capacitatea de ndatorare Ipoteza 1
Formula pentru PV:
(
(
|
.
|
\
|
+
+
=
N
R
R
i
g
g
E R T
PV
1
1
1
1
1 ) )( (
Raspuns:
PV = 1.488.691 Euro
D
*
= 992.461 Euro
Capacitatea de ndatorare a proiectului este 992.461 Euro bazat pe o
valoare actualizat a fluxurilor de numerar de 1.488.691 Euro.
Capacitatea de ndatorare Ipoteza 2
Ipoteza 2: un nivel mai redus al ndatorrii
Cheltuieli (cash expenses) - E 2410000 Euro
Rata anual de cretere a veniturilor - g(r) 5%p.a.
Rata anual de cretere a cheltuielilor - g(e) 5%p.a.
Impozit - T 40%
Cash flow coverage ratio - 1.5
Rata de actualizare - i 10%
Scadena mprumutului - N 12 years
Cheltuieli non-cash deductibile - C 0
Ce venituri ar trebui s nregistreze compania pentru ca s
acopere o datorie bancar de 700.000 Euro?
Capacitatea de ndatorare ipoteza 2
Formula pentru R:
( )
E
i 1
g 1
1 ) T 1 (
g i D
R
N
R
r
+
(
(
|
.
|
\
|
+
+
o
=
Rspuns:
Cash Revenues = 2.614.542 Euro
Capacitatea de ndatorare Ipoteza 3
Ipoteza 3: o rat mai sczut de cretere pentru venituri
Cheltuieli (cash expenses) - E 2410000 Euro
Rata anual de cretere a veniturilor - g(r) 3%p.a.
Rata anual de cretere a cheltuielilor - g(e) 5%p.a.
Impozit - T 40%
Cash flow coverage ratio - 1.5
Rata de actualizare - i 10%
Scadena mprumutului - N 12 years
Cheltuieli non-cash deductibile - C 0
Care ar fi nivelul veniturilor R care s acopere un credit total
de 700.000 Euro?
Capacitatea de ndatorare Ipoteza 3
Formula pentru R cnd avem diferite g este:
Rspuns:
Cash Revenues = 2.869.381 Euro
(
(
|
.
|
\
|
+
+
(
(
|
.
|
\
|
+
+
+ o
=
N
R
R
N
E
E
i 1
g 1
1
g i
T 1
i 1
g 1
1
g i
E ) T 1 (
D
R
Ipoteza B: Proiectul se mprumut din momentul iniial
Suma pe care o banc este dispus s o mprumute unei companii
de proiect n acest caz se determin plecnd de la faptul c exist o
perioad de graie:
Compania de proiect se mprumut iniial dar va putea plti abia n
momentul M.
Capacitatea de ndatorare se determin din formula
Model privind capacitatea de ndatorare a unui proiect
Faza de construcie Faza de operare
M
Acordarea creditului D
x D x (1+i)
M
= PV
Capacitatea de ndatorare ipoteza B
=
+
+ + +
=
N
1 t
t
-1 t
E
-1 t
R
i] [1
TC ] ) g E(1 ) g [R(1 x T) - (1
PV
x D x (1+i)
M
= PV
Estimarea lui M - Exemplu
Year %Capital
need
Elapsed Time
to completion
Value of
capital
borrowed
% of Loan Life of
Drawdown
Average Life
Calculation
1 10% 5 - 0 0 -
2 15% 4 - 0 0 -
3 25% 3 200000 28.57% 3 0.857142857
4 30% 2 250000 35.71% 2 0.714285714
5 20% 1 250000 35.71% 1 0.357142857
1.929 years
Durata medie a perioadei de graie = 1.929 years = M
.
Capacitatea de ndatorare a unui proiect
Ipoteza 4: proiectul genereaz fluxuri de venituri i
cheltuieli dup 3 ani (perioada de construcie)
Cash Revenues - R 2700000 Euro
Cash Expenses - E 2410000 Euro
Annual growth rate of cash revenues - g(r) 5% p.a.
Annual growth rate of cash expenses - g(e) 5% p.a.
Income tax rate - T 40%
Cash flow coverage ratio -
1 . 5
Discount rate - i 10%
Life of the loan - N 12 years
Non-Cash Expenses Deductible - C 0
Capacitatea unui proiect de
a acoperi serviciul datoriei
Capacitatea unui proiect de a acoperi serviciul
datoriei
Modelul de evaluare se bazeaz pe trei indicatori fundamentali:
Interest coverage ratio:
ICR=EBIT / Interest
Fixed Charge Coverage ratio:
FCCR=(EBIT + 1/3 rentals) / (Interest + 1/3 rentals)
Debt Service Coverage ratio:
Tax Rate 1
payments incipal re Pr
ntals Re Interest
ntals Re EBITDA
DSCR
+ +
+
=
Determinarea structurii
optime de capital prin
regresie
Variabilele utilizate n modelul de regresie
1. Debt Ratio = Debt/ (Market Value of Equity + Debt): If you can get market
value of debt, use it. Else, use book value of debt.
2. Insider Holdings = Shares held by insiders/ Primary number of shares
outstanding. (Available on Yahoo! Finance)
3. Cap Ex/ Total Assets = Capital expenditures in most recent financial
year/ Book Value of Total Assets
4. EBITDA/ Enterprise Value = EBITDA/ (Market Value of Equity + Debt -
Cash)
Variabilele utilizate n modelul de regresie
Variabilele utilizate n modelul de regresie
How do I use this regression?
Assume that you want to estimate the market debt ratio for a firm with the following
characteristics:
Insider holdings = 9% of outstanding stock
Cap Ex/ Total Assets= 5%
Effective Tax Rate = 30%
EBITDA/ Enterprise Value = 8%
Enter all the numbers as absolute values.
Predicted Value
Expected Debt Ratio= 4.88 + .81 (30) -.304 (9) + .841 (8) -2.987 (5) = 18.237 or 18.24%
If your predicted value is less than zero, your predicted debt ratio is zero.