Here is the valuation workbook for everyone to work off of. Previously I had really only done the math on paper or guessed on certain valuations, so, I decided to put together something that would make it easier to look back on and modify throughout this investments history. Below are some key assumptions I made during the analysis and the workbook for download. Enjoy!
All data is as of Syncora’s most recent operating supplement and statements (Q4 2014). All of those documents are linked here: http://www.syncora.com/?page_id=77
- Tab 1: ABV
- Assuming a loss of about $300M going forward
- Shares outstanding is approximately 56.3M shares
- Tab 2: NOL Valuation
- Discount rate is outstanding CAPM plus assumed yield on surplus notes
- Full utilization of NOL’s begins 2015
- I do not take into consideration the new funding for the acquisition to start using these NOL’s
- Tab 3: Beta
- Only used past two years data
- Tab 4: Current Structure
- I guessed where Swap Financial Group and Syncora Securities Holdings would sit
- I would also guess that any fund raising would come out of this stack within their structure
Download: SYCRF Valuation Book
Thank you to @ for providing the correct share count: I had 59.6M, now is 56.3M.
Thank you to @ for helping me further refine the ABV calculation. Removed SCAI surplus owed to SGI (intercompany) and addition of RMBS recoveries from Lehman & Greenpoint.
Disclosure: Syncora Holdings Ltd. (SYCRF) is a position currently held in my personal portfolio. Although I do not believe I was biased in any way, it is best for you to do your own due diligence before making an investment decision.
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