2024-04-25 09:41:33 ET
Summary
- Core Scientific, Inc. has an undervalued contingent rights vehicle, or CVR, that resembles a put option with unique features.
- The CVR trades at a significant discount to its fair value due to its complexity and illiquidity.
- The CVR has a strike price of $5.02, a 3-year maturity, and annual settlements capped at $0.84 per year.
Introduction
Core Scientific, Inc. ( CORZ ) has an over-the-counter traded contingent rights vehicle (aka a "CVR") that was distributed to debt holders during the Chapter 11 bankruptcy process. As written, the CVR is a strange security, but when one parses through the details, it looks a lot like a put option with some interesting features and quirks....
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Core Scientific: Of CORZ It's Not Arbitrage, But The CVR Is Very Compelling