You're the CFO of a private computer technology company that has been negotiating a potentially lucrative contract with facebook which is seeking to outsource their data storage to your firm. Facebook will make their decision in 6 months on 30th June. If your firm is:

-Successful, the firm's assets will be worth $100m in 6 months. You believe there's a 40% probability of success.

-Unsuccessful, the firm's assets will be worth only $1m in 6 months. There's a 60% chance this will happen.

Unfortunately your firm owes a large bullet loan, requiring a $9m principal payment in 6 months on 1st July (the day after the Facebook contract decision).

If the Facebook contract falls through, your firm will fold and be unable to fully repay the loan. If the contract is successful, your firm will easily be able to refinance the loan.

The risk free rate is 10% pa as an effective annual rate.

Which of the following statements about this scenario is NOT correct? All figures are rounded to 3 decimal places. In a risk-neutral world, right now the firm's:

Select one:

a.

Equity is worth $34.706m.

b.

Debt is worth $4.005m.

c.

Assets are worth $38.711m.

d.

Debt has a promised yield-to-maturity of 49.915% pa as an effective annual rate.

e.

Equity value will increase by more than its asset value if the probability of success increases.