Risk-arb spread on an all-cash take-private with ticking fee
A fixed $20.25 offer cap is the ceiling. Arb buying compresses the market price toward it. The residual spread decomposes into time-cost, deal-break probability, and topping-bid uncertainty, floored by a 6%/yr ticking-fee accrual. Two locked gates seal financing and vote risk.
$22
$20
$18
$16
$14
target share price
offer cap
$20.25
ticking-fee floor
Thoma Bravo equity
commitment
financing risk: sealed
Altamont 82%
voting lock
vote risk: sealed
Insurance regulator
timing gate
open: the operative break var
Binding all-cash
merger agreement
arb buying
target $19.51
equilibrium: pinned near cap
time cost
break prob
topping bid
residual spread
$0.00 (0.0%)
Offer cap
$20.25
Implied market price
$19.51
Residual spread
$0.74 (3.8%)
Ticking-fee floor
$0.00
Deal-break probability
4%
Time to close (months)
15
Ticking-fee accrual (%/yr)
6.0%