This was just sent to me:
Estimated valuation of the existing stock's warrants to buy equity of reorganized Genco, valued using Black-Scholes model. Inputs per 8-K filing:The table is showing what the warrant package being given to existing shareholders is worth under various assumptions for implied volatility. (Warrants are like an option: higher volatility in the potential values means that the warrants are worth more.)
1. Assumes reorg initial equity valuation of $1.149 billion ($100 million rights offering / 8.7%)
2. Assumes strike price on warrants of $1.295 billion
3. Warrants are sized to 6.0% of total newco equity
The current market cap of GNK is $68 million, so a volatility of 200% would be needed for the stock price to be unchanged.
Volatility of the new equity is going to be dampened because the new company is going to have less leverage, at least initially.
I think a reasonable volatility assumption for a shipping company that's not in distress and has reasonable leverage is about 25%, i.e. about where SFL's near the money calls are priced.
That makes the Genco warrant package worth ~$15 million, or about a 30 cent stock price.
Note that there is a lot of wiggle room in all of these assumptions: initial reorg equity valuation, volatility, whether this plan is even the one that's confirmed.