Die Bewertung notleidender Kredite - 'Distressed Assets'

Diplomarbeit aus dem Jahr 2007 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 1.1, European Business School - Internationale Universität Schloß Reichartshausen Oestrich-Winkel, Sprache: Deutsch, Abstract: This paper explores the price gap between sellers and buyers of distressed corporate debt which impedes the development of the nascent distressed debt market in Germany. After an introductory first chapter, the second chapter lays the groundwork for the further investigation by analyzing the motivations of the two types of market participants, the commercial banks and the distressed debt investors, to trade. It continues by describing the characteristics of distressed debt investors and the investment approaches they take. The third chapter deals with the commercial banks' perspective on distressed debt and their valuation methods. It is shown that banks view corporate debt in light of its inherent risk of default and consequently value loans at par value less specific provisions. Although banks maintain vigorous rating systems to assess the probability of default and the loss given default, they have difficulties specifically valuing distressed corporate debt. Their valuation methods do not incorporate all drivers of debt value and future workout costs and are largely influenced by accounting principles and accounting policies resulting in insufficient provisions and too high price expectations. By contrast, as shown in the fourth chapter, investors view distressed corporate debt as an opportunity to restructure the company and possibly take control with a debt-to-equity swap. They mostly rely on the capital market to exit their investments after a three- to five-year holding period and, consequently, their valuation methods correspond to the capital market. As a result, the author finds that the price gap is a product of the conceptual differences in the view on distressed debt and the applied valuation methods. The problem is exacerbated by the information asymmetries between banks and investors which lead to price discounts. The author suggests banks value their distressed debt similar to the capital market in order to report fair values of distressed corporate debt and calls on accountants and supervisors to encourage such a behavior. A more market driven valuation will foster the development of distressed debt trading and thereby reduce bulk risks and stabilize the entire banking system.