SPACs: Implied Yield To Maturity (YTM)

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The model to calculate the “Est Cash-per-Share Liq. Date” has been modified to account for changes in interest rates. Please see notes below.
For any IPOs, we use an average of the 3-month T-Bill rates as of the previous day’s close and apply a further 20% discount. (This is the spot rate)
For a SPAC with a filed 10-Q or 10-K that has a liquidation date that is 3 months away or less = 100% current formula (4-month backward looking average of the 3-month T-Bill and 20% discount)
For a SPAC with a liquidation date that is between 3 and 6 months away = 33% spot rate, 66% current formula, and 20% discount
For a SPAC with a liquidation date that is between 6 and 18 months away = 50% spot rate, 50% current formula, and 20% discount
Liquidation date is greater than 18 months away = 80% spot rate, 20% current formula, and 20% discount