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Answer: $77.40 based on 30/360 day count
For a **zero-coupon bond**, the bondholder's bankruptcy claim is the **present value of the promised principal repayment at the settlement date**, discounted at the valid market yield assumption. Using the stated **6.0% YTM with semiannual compounding**, the claim is computed from settlement to maturity. With the implied remaining time and a **30/360 day count**, the present value is approximately **$77.40 per $100 face value**, so option **B** is correct. The other choices do not match the required discounting approach.
Author: Manit Arora
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Q-504.3. On Jan 1st, 2010, Acme Corporation (a U.S. corporation) issued a zero-coupon bond with an original maturity of ten (10) years on Jan 1st, 2026. The original yield to maturity (YTM, yield) was 6.0% with semi-annual compounding. In 2015, Amce filed for bankruptcy with a bankruptcy filing date of September 1st, 2015 (which becomes the settlement date). The bankruptcy court determines that the original yield is a valid market yield assumption for purposes of unpaid interest. Which of the following is represents the bondholder's claim at settlement?
A
$55.37 (day count is not relevant)
B
$77.40 based on 30/360 day count
C
$83.81 based on act/act day count
D
$100.00 (day count is not relevant)
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