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If I'm reading the options prices right, options imply a (very loose) upper bound of 44% here (although usual caveats about market prices giving risk-neutral probabilities which aren't true probabilities)

@jack Sorry if this is a bit of a newbie question, but how do you get a bankruptcy price from the options market? Are you applying Black-Scholes?

@brp Not a newbie question at all! Here's my answer for a different question, which is probably a better explainer since I only quickly eyeballed this one: https://manifold.markets/BruceGrugett/will-the-sp-500-close-the-year-2022#jNp7xRBJ3v8uqp3ksOPI

For a quick bound, I just read the put option prices for April for the lowest strike, 30 strike priced at 13.28. https://finance.yahoo.com/quote/FRC/options?date=1682035200&p=FRC To get an upper bound, we calculate 13.28 / 30 = 44% - if the probability of FRC going to 0 is higher than 44%, then the put is priced too low. This is of course a loose bound because the put is also worth something if it falls to say 20. Probably you could do a better calculation based on implied volatility. Also, it's not entirely a correct bound for the same reasons I mentioned in the S&P link.

This comment section suggests that First Bank is in trouble, eligible for emergency loans on only 20% of the hole in its balance sheet:

https://news.ycombinator.com/item?id=35133892

https://www.cnbc.com/2023/03/13/first-republic-drops-bank-stocks-decline.html