EX-99.(C)(16) 16 nc10018386x1_exc16.htm EXHIBIT (C)(16)

Exhibit (c)(16)
                           Project William: Hedging Considerations  Goldman Sachs & Co. LLC  September 2020  STRICTLY PRIVATE & CONFIDENTIAL  WORKING DRAFT FOR DISCUSSION 

 Executive Summary  2  We have considered various alternatives to manage the risk related to William’s non-investment grade portfolioA potential Risk Share structure could involve an adjustment in the purchase price if the book valueper share falls by more than 10% between signing and closingBelow this 10% threshold (up to 20%), any incremental deterioration will reduce the purchase price 1-to-1To be tied to movement in non-IG portfolio onlyAt 20% deterioration in book value per share (or a lower strike, to be determined), negotiate an MAE that would allow the Consortium to walk away or renegotiate the transactionThe Risk Share structure provides protection for a decline in book value, and does not involve use of any derivativesNo hedging costs involvedNo basis risk between any derivative instruments and book valueConsortium bears the risk of the first 10% of deterioration, which is the same as in a transaction with no Risk Share  STRICTLY PRIVATE & CONFIDENTIAL  WORKING DRAFT FOR DISCUSSION 

                   Based on illustrative offer of $30All figures on a per share basis, unless noted differently  ILLUSTRATIVE DERIVATIVE COSTS    WORKING DRAFT FOR DISCUSSION                  Impact of Potential Risk Sharing  Note: This material is for discussion purposes only, and does not purport to contain a comprehensive analysis of risk/rewards of any idea or strategy hereinSource: GS Internal as of Sep 2020; William filings William VDR documents, Summary of disaster hedge costs from Warburg, William BVPS as of 31-Aug per William Supplement1 Illustratively based on 4-month options on S&P ETFs covering a similar % drop in portfolio value  STRICTLY PRIVATE & CONFIDENTIAL  Current Offer  Potential Offer with Risk Share              Current Bid  $28.25 / share      $30.00 / share  Portfolio Risk Profile    $38.21  $42.45  Seller RetainsWalkaway Risk $42.45$38.21Seller offers variable share price from -10% to - 20% of BV based on losses in Non-IG portfolioNegotiate MAC/MAE that allows the deal to break if -20% change in BV  Illustrative Value of Option from Seller1  -      $1.20 / share: Value of Seller Protection from-10% to -20% of BV for 4-months1$3.05 / share: Value of MAC/MAE clause1  Net Value  $28.25 / share      $28.80 / share (Only includes value of risk hedgefrom -10% to -20% of BV)$25.75 / share (Includes value of risk hedge and option value of MAC)  3 

  Downside    Upside   Implied P/BV at Illustrative Range of Book Value  ChangesAll figures on a per share basis, unless noted differently  Source: William VDR documents, William BVPS as of 31-Aug per William Supplement                              % Change in BVPS  (25)%  (20)%  (15)%  (10)%  (5)%  Current  5 %  10 %  15 %  20 %  25 %  Implied BVPS  $ 31.84  $ 33.96  $ 36.08  $ 38.21  $ 40.33  $ 42.45  $ 44.57  $ 46.70  $ 48.82  $ 50.94  $ 53.06  Effective Purchase Price  NA  $ 25.76  $ 27.88  $ 30.00  $ 30.00  $ 30.00  $ 30.00  $ 30.00  $ 30.00  $ 30.00  $ 30.00  Implied P/BV  NA  0.76 x  0.77 x  0.79 x  0.74 x  0.71 x  0.67 x  0.64 x  0.61 x  0.59 x  0.57 x  At book value deterioration of 20% or more, negotiate an MAE allowing the Consortium to walk away or renegotiate the transaction    Seller retains riskPurchase price is reduced 1-1 with incremental book value deterioration    Consortium retains riskPurchase price remains unchanged                  STRICTLY PRIVATE & CONFIDENTIAL  WORKING DRAFT FOR DISCUSSION    Based on Illustrative Offer of $30.00  4 

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