SECTION I - BOND ANALYSIS
Question 1- Given the following data, calculate the YTM, YTC for year 3:
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Settlement Date=
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5/11/2011
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Maturity Date=
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5/11/2021
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Coupon Rate=
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7.000%
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Current Market Price=
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96.00
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Redemption value at Maturity %=
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100
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Coupon Pmts per year=
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2
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Call Provision
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Year
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Call Price
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Dates
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Year 1 =
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105
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5/11/2012
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Year 2 =
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104
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5/11/2013
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Year 3 =
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103
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5/11/2014
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Year 4 =
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102
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5/11/2015
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Year 5 =
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101
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5/11/2016
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Question 2- Given the following data, calculate the Price, Duration and Convexity of the Bond:
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Face Value =
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1,000
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Coupon Rate=
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8.000%
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Discount Rate=
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11.500%
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Remaining Years to Maturity=
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3
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Redemption Price =
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100
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Redemption=
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2
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SECTION II - EQUITY ANALYSIS
Question 3- Prepare a DCF Analysis given the following assumptions:
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Operating Assumptions (for years 1-5)
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Revenue Growth
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5.0%
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Cost of Revenue as % of Revenue
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60.0%
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Oper. Expense as % of Revenue
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10.0%
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Depreciation Expense as % of Revenue
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4.0%
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Tax Rate
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36.0%
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Working Capital Expense
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1.0%
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Capex as % of Revenue
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5.0%
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SECTION III - OPTION ANALYSIS
Question 4- Calculate the Value of the Call Option using the Black Scholes Model and then the value of the Put Option using the Put Call Parity method
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INPUT - CALL OPTION
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Standard Deviation (σ) =
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0.3
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Expiration (in years) (T) =
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1
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Risk-Free Rate (Annual) (i) =
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3.50%
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Stock Price (S ) =
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105
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Exercise Price (X) =
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110
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Dividend Yield (annual) (δ) =
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0
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INPUT - PUT OPTION
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Call Option Value
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0.000
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Expiration (in years) (T) =
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1
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Risk-Free Rate (Annual) (i) =
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3.50%
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Stock Price (S ) =
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105
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Exercise Price (X) =
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110
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Question 5- Calculate the Hedge Ratio and Value of the Option using the Bionomial Option Model applying the Hedge Ratio method (Not the Leverage or Borowing method)
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Parameters
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Current Stock Price
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Increase / Decrease Factors (f)
(u and d)
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Stock
x
factor
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Call Option Payoff if Exercised
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Current Price=
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$ 140.00
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Up factor (u) =
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1.25x
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Down factor (d) =
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0.85x
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Range =
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SECTION IV - FINANCIAL ANALYSIS
Question 6- Prepare the Cash Flow Statement and Ratio Analysis
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Balance Sheet (000's)
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Income Statement (000's)
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2009
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2010
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2009
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2010
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Current Assets
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Revenues by Geography
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Cash
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67,500
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86,100
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U.S.
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1,200,000
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1,400,000
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Accounts Receivable
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67,500
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87,000
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Europe
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180,000
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210,000
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Inventories
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52,500
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65,000
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Asia
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60,000
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75,000
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Prepaid Expenses
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15,000
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13,000
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Total Revenue
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1,440,000
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1,685,000
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Total Current Assets
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202,500
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251,100
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Cost of Revenues by Geography
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Property and Equipment
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U.S.
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330,000
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405,000
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Land
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3,750,000
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3,750,000
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Europe
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150,000
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172,500
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Building
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675,000
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800,000
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Asia
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37,500
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52,500
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Furniture & Equipment
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75,000
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100,000
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Total Cost of Revenue
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517,500
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630,000
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Total Gross P&E
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4,500,000
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4,650,000
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Less Accumulated Depreciaition
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(450,000)
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(550,000)
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Gross Profit
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922,500
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1,055,000
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Net P&E
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4,050,000
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4,100,000
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Operating Expenses
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|
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Long-Term Investments
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300,000
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400,000
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Administrative & General
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217,500
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247,500
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|
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Marketing Expenses
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112,500
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120,000
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Total Assets
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4,552,500
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4,751,100
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Other Operating Expenses
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15,000
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18,000
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Total Operating Expenses
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345,000
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385,500
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Liabilities and Owners Equity
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|
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EBITDA
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577,500
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669,500
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Current Liabilities
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|
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Accounts Payable
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52,500
|
65,000
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Depreciation
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90,000
|
100,000
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Accrued Income Taxes
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18,000
|
15,000
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Accrued Expenses
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15,000
|
10,000
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EBIT
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487,500
|
569,500
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Current Portion of Long Term Debt
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30,000
|
30,000
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Total Current Liabilities
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115,500
|
120,000
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Interest Expense
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144,000
|
136,000
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|
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Long-Term Debt:
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1,800,000
|
1,700,000
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EBT
|
343,500
|
433,500
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|
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Deferred Income Taxes
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18,000
|
22,000
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Taxes
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137,400
|
173,400
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Total Liabilties
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1,933,500
|
1,842,000
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Net Income
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206,100
|
260,100
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Owners' Equity
|
|
|
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Common Stock
|
1,500,000
|
1,500,000
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|
|
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Paid-in-Capital
|
-
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30,000
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Retained Earnings
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1,119,000
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1,379,100
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Total Owners' Equity
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2,619,000
|
2,909,100
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Total Liabilities & Owner's Equity
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4,552,500
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4,751,100
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Attachment:- Exam.rar