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Strategies & Market Trends : IPPs and Merchant Energy Co.s
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To: Area51 who wrote (3348)1/5/2006 8:24:56 PM
From: Oeconomicus  Read Replies (2) of 3358
 
51, I think you're a tad low on the warrant value. I got close to $8.50 for a black-scholes value with volatility at 25%. I based that, just for a quick guesstimate, on the implied volatility (just under 20%) of NRG 3-year leaps similarly in the money. At 20%, you get a value around $7.75, but I think a higher volatility number is reasonable given the relative uncertainty here vs. NRG.

BTW, at $24 and $8.50 for the new stock and warrants, you get an old-share equivalent value of $1.39, so if my valuation is close, then I guess selling over $1.40 would prove to have been wise. Of course, we'll have an answer when the warrants start trading.

PS: I don't know how the SO claim interests are being distributed - do you? It can't be part of the new shares, so will there be some other kind of security representing that claim?
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