For every €100 notional value of the old Greek Government Bonds investors will get:
- €31.5 euros of new Greek Bonds containing Collective Action Clause under the British law with special features like the Co-Financing Agreement. Note that this doesn't mean 31.5 cents on the euro because the new bonds are nowhere close to being worth par.
- The new bonds will be in 20 different maturity tranches ranging from 2023 to 2042. Coupons will step up over time: 2% through 2015, 3% for 2016-2020, 3.65% in 2021, and 4.3% after that. This creates a principal amortization structure similar to a US 30-year mortgage (except the amortization starts in 10 years rather than immediately).
|Source: BNP Paribas|
- €31.5 of GDP-linked notes (capped payoff of 1%, start paying from 2015 onwards)
- €7.5 mm 1y EFSF notes (PSI Payment Notes)
- €7.5 mm 2y EFSF notes (PSI Payment Notes)
- Accrued interest on the old Greek Bonds paid with EFSF 6m T-bills.
Of course don't call this a Credit Event yet, because it is a totally "voluntary" exchange. There is no default - just some bonds changing hands at 26 cents on the euro.