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Bay Nuclear Power Plant (BNP) is looking to raise $120 million in a short amount of time. Mani Lau (Mani), the finance director, advised that BNP issue perpetual bonds with a $1,000 face value and an annual coupon rate of 8.1 percent. The market interest rate is currently at 8%. Mani believes there is a 0.3 probability that the interest rate will rise to 10% next year, and a 0.7 chance that it will decline to 6%.

Question:

If NBP issue a perpetual bond based on Manis suggestion, please evaluate the current market value of the perpetual bond given the probabilities of the interest rate change.