SAPM Ex sol
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Q1 TOTAL share purchase price brokerage brokerage
20-01-2011 15000 450.1 15000 6751500 0.003 20254.5
6/2/2011 15000 415.14 30000 6227100 0.003 18681.3
17-01-2011 15000 403.45 45000 6051750 0.003 18155.25
14-4-2011 15000 432.15 60000 6482250 0.003 19446.75
27-05-2011 30000 421.76 90000 12652800 0.003 37958.415-06-2012 10000 445.67 100000 4456700 0.0023 10250.41
42622100 0.0173 124746.6
13951.94175
SALES
No. price Total sales brokerage brokerage
10000 446.72 10000 4467200 0.0023 10274.56
30000 444.92 40000 13347600 0.003 40042.8
60000 438.65 100000 26319000 0.003 78957
44133800 129274.4
48590500 139524.8
turnover
divident 45000
tax rate
Ordinary gain 45000 40% 27000ST capital Gain -21348.50671 15% -18146.2
LT capital Gain 1163331.288 0% 1163331
1186982.781 1172185
Q1 139524.8
Q2
Ordinary g 45000 40% 27000
ST capital -21348.50671 15% -18146.2LT capital 1163331.288 0% 1163331
Q3 turn over 48590500
expl. Cost 204041.2 0.41992%
Q4
if brokerage on purchase if
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total investment (assu 42638005.52
capital gain 1310861.059 P1
DIVIDEND 45000 X1
dividend tax 18000 P0
NET DIVIDEND 27000 X0
impact of capital gain 3.0744% capital gain
impact of dividend tax 0.0633% Taximpact of dividend tax -0.0422% net capital
impact of capital gain t 0.0075%
total net impact of cap 3.13772%
Q5 mid price sale price Quoted effective no. of shar
446.75 446.72 12 0.12 0.06 10000
444.965 444.92 1 0.09 0.09 30000
440.005 438.65 2 0.11 2.71 60000
average 0.105 1.659
implicit cost 1.554
total impact cost 165900 0.341%
total execution cost 369941.2173 0.761%
no brok
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ST STT RTC TC STAMP DUTY explicit cos TOTAL PURCHASE COS
2086.214 6751.5 6.7515 209.2965 0 29308.26 6780808
1924.174 6227.1 6.2271 193.0401 0 27031.84 6254132
1869.991 6051.75 6.05175 187.6043 0 26270.65 6078021
2003.015 6482.25 6.48225 200.9498 0 28139.45 6510389
3909.715 12652.8 12.6528 392.2368 0 54925.8 127077261055.792 4456.7 4.4567 138.1577 0 15905.52 4472606
12848.9 42622.1 42.6221 1321.285 0 181581.5 42803682
0.42603%
0.42422%
ST STT RTC TC STAMP DUTY
1058.28 4467.2 4.4672 138.4832 0 15942.99 4451257
4124.408 13347.6 13.3476 413.7756 0 57941.93 13289658
8132.571 26319 26.319 815.889 0 114250.8 26204749
13315.26 44133.8 44.1338 1368.148 0 188135.7 43945664
14371.05 48590.5 48.5905 1506.306 204041.2
explicit cos 204041.2
Ordinary g 45000 40% 27000
ST capital -21348.5 15% -18146.2LT capital 1329007 0% 1329007
no brokerage on previous purchase
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LT ST TOTAL
44133800 39666600 4467200 44133800
188135.7 172192.7 15942.99 188135.7
42622100 38165400 4456700 42622100
15905.52 0 15905.52 15905.52
1307659 1329007 -21348.5 1307659
-3202.28 0 -3202.28 -3202.281310861 1329007 -18146.2 1310861
impact cost
600
2700
162600
165900
0.3414%
erage on purchase
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effective price
452.0539
416.9421
405.2014
434.026
423.5909447.2606
2579.075
445.1257
442.9886
436.7458
1324.86
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principle 1000
PV 965.5
Question nominal yi monthly nominal yield quarterly coupan rate quarterly c
1 7.95% 0.006623 2.00% 20.00
2 CY 8.29%
IRR (Quart YTM
3 YTM -965.5 2.22% 8.86%
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.0020.00
20.00
20.00
1020.00
4 BEY 8.96%
5 EAY 9.16%
6 YTFC -965.5 IRR (Quart YTFC20.00 2.48% 9.92%
20.00
20.00
20.00
20.00
20.00
20.00
20.00
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20.00
20.00
20.00
1040.00
7 YTFC -965.5 IRR (Quart YTFPC20.00 2.29% 9.16%
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
20.00
1020.00
8 -965.5 IRR (Quart YTP
20.00 2.35% 9.38%
20.00
20.00
20.00
20.0020.00
20.00
20.00
20.00
1015.00
10 22.48414
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upan payment
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PV 13.63091 14.46495 15.35003 9.238619 53.75087
PV 106.4354
Valaue 280.9954
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7 8 9
23.55376 24.73145 25.96802
40% 50% 50%
10.00% 5.00% 5.00%
9.421505 12.36573 12.98401136.6738
9.421505 149.0395
3.651589 50.44958
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1 & 2
RATE BOND PRICE 0.25% -0.25% 0.25% -0.25%
1% $1,436.81 $1,421.56 $1,452.27 -1.06% 1.08%
2% $1,377.08 ($59.73) $1,362.66 $1,391.70 -1.05% 1.06%
3% $1,320.58 ($56.50) $1,306.94 $1,334.41 -1.03% 1.05%4% $1,267.11 ($53.47) $1,254.19 $1,280.20 -1.02% 1.03%
5% $1,216.47 ($50.64) $1,204.24 $1,228.88 -1.01% 1.02%
6% $1,168.49 ($47.98) $1,156.90 $1,180.25 -0.99% 1.01%
7% $1,123.01 ($45.49) $1,112.00 $1,134.15 -0.98% 0.99%
8% $1,079.85 ($43.15) $1,069.41 $1,090.43 -0.97% 0.98%
9% $1,038.90 ($40.96) $1,028.98 $1,048.94 -0.95% 0.97%
10% $1,000.00 ($38.90) $990.58 $1,009.54 -0.94% 0.95%
11% $963.04 ($36.96) $954.09 $972.11 -0.93% 0.94%
12% $927.90 ($35.14) $919.39 $936.52 -0.92% 0.93%
13% $894.48 ($33.42) $886.38 $902.68 -0.91% 0.92%
14% $862.68 ($31.81) $854.97 $870.48 -0.89% 0.90%
15% $832.39 ($30.28) $825.05 $839.83 -0.88% 0.89%
16% $803.54 ($28.85) $796.54 $810.62 -0.87% 0.88%
question 6
RATE BOND PRICE 0.25% -0.25% 0.25% -0.25%
1% $1,679.48 $1,662.45 $1,696.75 -1.01% 1.03%
2% $1,612.75 ($66.73) $1,596.63 $1,629.09 -1.00% 1.01%3% $1,549.56 ($63.18) $1,534.30 $1,565.04 -0.99% 1.00%
4% $1,489.70 ($59.86) $1,475.23 $1,504.37 -0.97% 0.98%
5% $1,432.95 ($56.75) $1,419.22 $1,446.85 -0.96% 0.97%
6% $1,379.11 ($53.83) $1,366.09 $1,392.31 -0.94% 0.96%
7% $1,328.02 ($51.10) $1,315.65 $1,340.54 -0.93% 0.94%
8% $1,279.49 ($48.53) $1,267.74 $1,291.39 -0.92% 0.93%
9% $1,233.38 ($46.11) $1,222.21 $1,244.69 -0.91% 0.92%
10% $1,189.54 ($43.84) $1,178.92 $1,200.29 -0.89% 0.90%
11% $1,147.84 ($41.70) $1,137.73 $1,158.07 -0.88% 0.89%
12% $1,108.14 ($39.69) $1,098.52 $1,117.88 -0.87% 0.88%
13% $1,070.34 ($37.80) $1,061.18 $1,079.62 -0.86% 0.87%14% $1,034.33 ($36.01) $1,025.59 $1,043.17 -0.84% 0.85%
15% $1,000.00 ($34.33) $991.67 $1,008.43 -0.83% 0.84%
16% $967.26 ($32.74) $959.31 $975.30 -0.82% 0.83%
question 7
New BOND PRICE % CHANGE in Bond Price
New BOND PRICE % CHANGE in Bond Price
New BOND PRICE % CHANGE in Bond Price
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Duration Duration effect Convexity
0.25% -0.25% 0.25% -0.25%
$4.28 $15.36 $1,421.45 $1,452.17 0.001203 0.000075 0.000075
$4.22 $14.52 $1,362.56 $1,391.60 0.001174 0.000073 0.000073
$4.16 $13.74 $1,306.84 $1,334.32 0.001146 0.000072 0.000072$4.11 $13.01 $1,254.10 $1,280.12 0.001118 0.000070 0.000070
$4.05 $12.32 $1,204.15 $1,228.79 0.001091 0.000068 0.000068
$4.00 $11.68 $1,156.82 $1,180.17 0.001065 0.000067 0.000067
$3.94 $11.07 $1,111.93 $1,134.08 0.001040 0.000065 0.000065
$3.89 $10.51 $1,069.35 $1,090.36 0.001016 0.000063 0.000063
$3.84 $9.98 $1,028.92 $1,048.87 0.000992 0.000062 0.000062
$3.79 $9.48 $990.52 $1,009.48 0.000968 0.000061 0.000061
$3.74 $9.01 $954.03 $972.05 0.000946 0.000059 0.000059
$3.69 $8.57 $919.34 $936.47 0.000924 0.000058 0.000058
$3.64 $8.15 $886.33 $902.63 0.000903 0.000056 0.000056
$3.60 $7.76 $854.92 $870.43 0.000882 0.000055 0.000055
$3.55 $7.39 $825.00 $839.78 0.000861 0.000054 0.000054
$3.50 $7.04 $796.50 $810.58 0.000842 0.000053 0.000053
Duration Duration effect Convexity
0.25% -0.25% 0.25% -0.25%
$4.08 $17.15 $1,662.33 $1,696.63 0.001128 0.000070 0.000070
$4.03 $16.23 $1,596.52 $1,628.98 0.001099 0.000069 0.000069$3.97 $15.37 $1,534.19 $1,564.94 0.001071 0.000067 0.000067
$3.91 $14.57 $1,475.13 $1,504.27 0.001044 0.000065 0.000065
$3.86 $13.82 $1,419.13 $1,446.76 0.001018 0.000064 0.000064
$3.80 $13.11 $1,366.00 $1,392.22 0.000992 0.000062 0.000062
$3.75 $12.45 $1,315.57 $1,340.46 0.000968 0.000060 0.000060
$3.70 $11.82 $1,267.67 $1,291.31 0.000944 0.000059 0.000059
$3.64 $11.24 $1,222.14 $1,244.62 0.000920 0.000058 0.000058
$3.59 $10.69 $1,178.85 $1,200.23 0.000898 0.000056 0.000056
$3.54 $10.17 $1,137.67 $1,158.01 0.000876 0.000055 0.000055
$3.49 $9.68 $1,098.46 $1,117.83 0.000854 0.000053 0.000053
$3.45 $9.22 $1,061.12 $1,079.57 0.000834 0.000052 0.000052$3.40 $8.79 $1,025.54 $1,043.12 0.000813 0.000051 0.000051
$3.35 $8.38 $991.62 $1,008.38 0.000794 0.000050 0.000050
$3.31 $8.00 $959.26 $975.25 0.000775 0.000048 0.000048
Duration Duration effect ConvexityValue Bond due to duration convexity effect
Value Bond due to duration convexity effect
Value Bond due to duration convexity effect
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0.25% -0.25% 0.25% -0.25%
$7.58 $35.11 $1,817.30 $1,887.53 0.003713 0.000232 0.000232
$7.42 $31.86 $1,686.75 $1,750.47 0.003580 0.000224 0.000224
$7.25 $28.95 $1,568.17 $1,626.06 0.003450 0.000216 0.000216
$7.09 $26.34 $1,460.32 $1,512.99 0.003324 0.000208 0.000208
$6.92 $23.99 $1,362.09 $1,410.08 0.003201 0.000200 0.000200$6.76 $21.89 $1,272.51 $1,316.29 0.003082 0.000193 0.000193
$6.61 $20.00 $1,190.71 $1,230.70 0.002967 0.000185 0.000185
$6.45 $18.29 $1,115.91 $1,152.49 0.002854 0.000178 0.000178
$6.30 $16.75 $1,047.42 $1,080.93 0.002745 0.000172 0.000172
$6.15 $15.36 $984.64 $1,015.36 0.002640 0.000165 0.000165
$6.00 $14.11 $927.00 $955.21 0.002537 0.000159 0.000159
$5.85 $12.97 $874.03 $899.97 0.002438 0.000152 0.000152
$5.70 $11.94 $825.27 $849.15 0.002342 0.000146 0.000146
$5.56 $11.01 $780.35 $802.36 0.002250 0.000141 0.000141
$5.42 $10.16 $738.90 $759.22 0.002160 0.000135 0.000135
$5.29 $9.38 $700.62 $719.39 0.002073 0.000130 0.000130
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0.25% -0.25%
$1,421.45 $1,452.17
$1,362.56 $1,391.60
$1,306.84 $1,334.32$1,254.10 $1,280.12
$1,204.15 $1,228.79
$1,156.82 $1,180.17
$1,111.93 $1,134.08
$1,069.35 $1,090.36
$1,028.92 $1,048.87
$990.52 $1,009.48
$954.03 $972.05
$919.34 $936.47
$886.33 $902.63
$854.92 $870.43
$825.00 $839.78
$796.50 $810.58
0.25% -0.25%
$1,662.33 $1,696.63
$1,596.52 $1,628.98$1,534.19 $1,564.94
$1,475.13 $1,504.27
$1,419.13 $1,446.76
$1,366.00 $1,392.22
$1,315.57 $1,340.46
$1,267.67 $1,291.31
$1,222.14 $1,244.62
$1,178.85 $1,200.23
$1,137.67 $1,158.01
$1,098.46 $1,117.83
$1,061.12 $1,079.57$1,025.54 $1,043.12
$991.62 $1,008.38
$959.26 $975.25
Bond due to duration & conv
Bond due to duration & conv
Bond due to duration & conv
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question 8 & 9
5 yr bond 10 yr bond 5 yr bond 10 yr bond
Year rate CF CF PV PV Year
1 2.00% 100 100 98.03922 98.03922 1
2 2.50% 100 100 95.18144 95.18144 2
3 3.00% 100 100 91.51417 91.51417 3
4 3.50% 100 100 87.14422 87.14422 45 4.00% 1100 100 904.1198 82.19271 5
6 4.50% 100 76.78957 6
7 5.00% 100 71.06813 7
8 5.50% 100 65.15989 8
9 6.00% 100 59.18985 9
10 6.50% 1100 585.9986 10
Value 1275.999 1312.278
ED Weight
5 yr bond 4.100392 0.492992 2.021459
10 yr bond 6.625774 0.507008 3.359323
5.380782
question 10
MD 5 yr bond 10 yr bond 5 yr bond 10 yr bond 5 yr bond 10 yr bond
Year rate CF CF PV PV T.PV T.PV
1 2.00% 100 100 98.03922 98.03922 98.03922 98.03922
2 2.50% 100 100 95.18144 95.18144 190.3629 190.3629
3 3.00% 100 100 91.51417 91.51417 274.5425 274.5425
4 3.50% 100 100 87.14422 87.14422 348.5769 348.5769
5 4.00% 1100 100 904.1198 82.19271 4520.599 410.96366 4.50% 100 76.78957 460.7374
7 5.00% 100 71.06813 497.4769
8 5.50% 100 65.15989 521.2791
9 6.00% 100 59.18985 532.7086
10 6.50% 1100 585.9986 5859.986
1275.999 1312.278 5432.121 9194.674
MD Weight
5 yr bond 4.257152 0.492992 2.09874
10 yr bond 7.006652 0.507008 3.552431
5.651171effect of delta y on ED
5 yr bond 10 yr bond 5 yr bond 10 yr bond
Year rate CF CF PV PV Year
1 2.00% 100 100 98.03922 98.03922 1
2 2.50% 100 100 95.18144 95.18144 2
3 3.00% 100 100 91.51417 91.51417 3
4 3.50% 100 100 87.14422 87.14422 4
5 4.00% 1100 100 904.1198 82.19271 5
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6 4.50% 100 76.78957 6
7 5.00% 100 71.06813 7
8 5.50% 100 65.15989 8
9 6.00% 100 59.18985 9
10 6.50% 1100 585.9986 10
1275.999 1312.278ED W weighted ED
5 yr bond 4.100265 0.492992 2.021396
10 yr bond 6.625231 0.507008 3.359047
5.380443
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4.40% 100 77.23195 6 4.60%
4.90% 100 71.54373 7 5.10%
5.40% 100 65.6561 8 5.60%
5.90% 100 59.69478 9 6.10%
6.40% 1100 591.5295 10 6.60%
1281.245 1321.011
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10 yr bond 5 yr bond 10 yr bond
CF PV PV
100 97.79951 97.79951
100 94.71883 94.71883
100 90.85102 90.85102
100 86.30731 86.30731100 893.3309 81.2119
100 75.6965
100 69.89486
100 63.9377
100 57.94815
1100 572.4187
Value 1263.008 1290.785
10 yr bond 5 yr bond 10 yr bond
CF PV PV
100 97.94319 97.94319
100 94.99599 94.99599
100 91.24814 91.24814
100 86.80825 86.80825
100 899.7856 81.79869
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100 76.35015
100 70.59615
100 64.66788
100 58.68965
1100 580.5246
1270.781 1303.623
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question 1
coupan rate 8%
FV 1000
YTM 9% 7% 8%
PV ($961.10) ($1,041.00) ($1,000.00)
question 5R1 5.988%
R2 7.360%
R3 8.024% 1.260568
R4 8.608% 1.39138
R5 8.514% 1.504648
question 6 R1 R2 R3 R4 R5
YC 5.988% 7.360% 8.024% 8.608% 8.514%
TIME 1 2 3 4 5
-983.6230202 80 80 80 80 1080
PVt 75.48 69.4069 63.463474 57.49689 717.77576PV 983.623
IRR 8.415%
question 7CF Govt Sec. -987.5 80 1080
YTM 8.708%
nominal sprea 3.852%
question 8 Z Spread YC TOTAL CF PV
7.060% 5.988% 13.048% 80 70.76619
7.060% 7.360% 14.420% 1080 824.9311
PV 895.6973
Z Spread 7.060%
question 9
Z Spread YC TOTAL CF PV
9.764% 5.988% 15.752% 80 69.1
9.764% 7.360% 17.124% 1080 787.3
PV 856.4
Z-SPREAD 9.764%OAS 7.060%
Option cost 2.704%
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extra expense on manager compensation 15000
less expence rent 8000
extra non-op expense 10000
extra deprec 1000synergetic saving 50000
Table A
Acquirer buyer
Sales 2500000 2500000 2500000
COGS 2000000 2000000 2000000
SGA 125000 58000 115000
GM 375000 442000 385000
Depreciation 45000 44000 44000
EBIT 330000 398000 341000
TAX@30% 99000 119400 99000
EBIT(1-T) 231000 278600 242000
TABLE C equity cost post tax de WACC Acqui WACC buyer
Rf 5% 5%
ERP 6%
Beta 1.1 6.60%
Beta adj factor (size 1.15 0.99%
Non-Mkt. Firm RP 2% 2%
Non-Mkt. Ind. RP 1% 1%Pretax Cost Debt 7%
Tax rate 30%
Optimal D/V 40%
Current D/V 30%
Earning Growth 5%
15.59% 4.90% 11.31% 12.38%
Residual Income
Acquirer Buyer
EBIT(1-T) 278600 242000Kf 11.31% 12.38%
At-1 1625000 1625000
RI 94747.5 40776.25
growth 5% 5%
TV 1575623.614 579914.1609
BVo 1625000 1625000
Value of firm 3200623.61 2204914.16
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share price per share 32.079 27.534