Tarp Warrant Auctions
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Bank of America Corporation (CPP)Bank of America Corporation (TIP)Boston Private Financial Holdings, Inc.Capital One Financial Corp.Citigroup, Inc. (CPP)Citigroup, Inc. (TIP)Comerica Inc.JPMorgan Chase & Co.Lincoln National CorporationPNC Financial ServicesSignature BankTCF Financial CorporationThe Hartford Financial Services Group, Inc.Valley National BancorpWashington Federal, IncWells Fargo & CompanyWintrust Financial Corporation
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Spot$5.17 $16.18 $7.89 $41.75 $25.95 $25.95 $25.12 $32.21 $18.60 $56.15 $59.61 $9.98 $15.91 $11.78 $13.52 $26.50 $27.95
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Strike$30.79 $13.30 $8.00 $42.13 $178.50 $106.10 $29.40 $42.42 $10.92 $67.33 $30.21 $16.93 $9.79 $17.77 $17.57 $34.01 $22.82
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Years6.864.606.936.916.867.056.916.867.566.996.986.917.536.916.916.867.00
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Risk-free rate2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%2.50%
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Div (quarterly)$0.01 $0.01 $0.01 $0.05 $0.01 $0.01 $0.10 $0.25 $0.05 $0.35 $0.00 $0.05 $0.10 $0.17 $0.06 $0.12 $0.05
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Div yield0.77%0.25%0.51%0.48%0.15%0.15%1.59%3.10%1.08%2.49%0.00%2.00%2.51%5.86%1.78%1.81%0.64%
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Borrow cost0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%0.25%
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Volatility Implied41.89%41.50%33.80%29.82%25.09%24.71%23.74%36.63%46.23%26.55%21.74%34.13%41.27%29.57%34.70%39.04%33.20%
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Black-Scholes
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rate term1.48%2.00%1.74%1.77%2.10%2.10%0.66%-0.85%1.17%-0.24%2.25%0.25%-0.26%-3.61%0.47%0.44%1.61%
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d1-0.98520.76880.56490.5364-2.3874-1.59410.13250.13161.12440.06801.7439-0.12190.9775-0.46090.20450.29670.7981
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d2-2.0825-0.1213-0.3246-0.2473-3.0445-2.2499-0.4913-0.8278-0.1465-0.63391.1695-1.0188-0.1550-1.2381-0.7073-0.7259-0.0804
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N(d1)0.16230.77900.71390.70410.00850.05550.55270.55240.86960.52710.95940.45150.83580.32240.58100.61670.7876
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N(d2)0.01870.45170.37270.40230.00120.01220.31160.20390.44170.26310.87890.15420.43840.10780.23970.23400.4680
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Call price0.32007.12482.990014.40000.04000.32005.13008.620011.760011.580034.50001.94008.92001.34003.78008.620012.4700
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Put price22.97433.07432.19029.9295128.684765.90278.104521.39143.152123.91440.70728.60482.996612.35797.263115.12174.9126
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Warrant Price$0.3200 $7.2200 $2.9900 $14.4000 $0.0400 $0.3200 $5.1300 $8.6200 $11.7600 $11.5800 $34.5000 $1.9400 $8.9200 $1.3400 $3.7800 $8.6200 $12.4700
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