12
Date: Tuesday, February 12, 2019
Time:
10:00am-11:40am PT / 1:00pm-2:40pm ET
Format: A BVR Webinar

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Featuring  (click image for bio)

Antonella Puca
CFA, CPA/ABV, CEIV, CVA
BlueVal Group LLC
Andreas Dal Santo
CFA, ARPM
BlueVal Group LLC

About This Program

Join Antonella Puca and Andreas Dal Santo for an update on the guidance to fair value measurement under ASC 820 as applicable to private debt investments, based on the guidance in the AICPA Guide on the Valuation of Portfolio Investments of Venture Capital and Private Equity Funds and Other Investment Companies, and other best practices. Learn about the valuation methodologies that are suitable for private debt investments, and hear the key provisions of the Guide as they apply to private debt. Get practical examples of how to set up a calibration model at the transaction date and how to apply the calibration model to subsequent measurement periods based on Case 13 of the AICPA working draft. In addition, see a demonstration of synthetic ratings and the use of option-pricing models in private debt valuation and examples of how the Black-Scholes-Morton model and binomial lattice models can be applied to the valuation of distressed debt and bonds with option components. This must-attend webinar is a great way to deepen your knowledge on this complex subject. 

Agenda

  • Introduction:
    • Overview of the state of investment in private debt in the US based on the latest data
    • Definition of fair value and unit of account under ASC 820 and implications for debt valuation
    • Overview of key sources for the most recent guidance on valuation of private debt investments and insight in the context surrounding the recent activity in this area (AICPA, FASB, IVSC)
    • Yield and return concepts
    • Broker quotes and debt valuation
    • Review of key credit rating systems and descriptions
    • List of key data sources and reference materials for private debt valuation
  • Valuation of Private Debt Investments – Calibration at Initial Measurement 
    • Definition of unit of account in debt valuation
    • Definition of transaction price and discussion of when a transaction can be considered “at arm’s length”
    • Introduction to calibration in debt valuation
    • Practical example of how a calibration model is set up for a sample debt investment based on a synthetic credit analysis.
    • Inputs in the calibration model at inception
    • BDT modelling for prepayment features at inception
  • Valuation of Private Debt Investments – Calibration at Subsequent Measurement
    • Practical example of how a calibration model can be applied to subsequent measurement
    • Review of inputs, conditions under which inputs need to be updated.
  • Valuation of Convertible Bonds
    • Optionality in convertible bonds
    • Valuation of conversion features
  • Valuation of Debt with Warrants
    • Techniques for disaggregation of warrants
    • Calibration with warrants and equity-like features
  • Valuation of Non-Performing Distressed Debt
    • Allocation effects of negotiation
    • Probability-weighted scenario in distressed debt valuation
  • Valuation of Debt for the Purpose of Valuing Equity

Other Considerations: Areas of focus in current research.

Learning Objectives

  • List the provisions in the working draft of the AICPA Guide on the Valuation of Portfolio Investments of Venture Capital and Private Equity Funds and Other Investment Companies as they apply to private debt Investments
  • Demonstrate how to set up a calibration model base and how to apply calibration in subsequent measurement periods
  • Explain how to apply synthetic ratings and option pricing models to the valuation of private debt based on the examples that reflect AICPA guidance

Single Connection Policy

Admission to this event authorizes one computer and phone connection for one location. These connections may be transferred users and/or locations. Multiple concurrent connections for a single admission registration are not allowed.

Multi-User CPE Policy

Admission to this program includes one CPE certificate for one individual. Any additional listeners requesting CPE must pay a processing fee assessed at the completion of the online CE survey for this course.

CPE Processing Fees may be bypassed by entering a valid, unused CPE Authorization Code (for single event purchasers) or by logging into BVR's website (for subscribers to BVR's Training Series).

CPE Information

Prerequisites: Knowledge of Business Valuation
Program Level: Advanced
Preparation Required: None
Delivery Method: Group Internet-Based
Recommended CPE: 2 Credit Hours (Accounting Technical)


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