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Today is 1 July 2021. Jane is planning to purchase a corporate bond with a...

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Accounting

Today is 1 July 2021. Jane is planning to purchase a corporate bond with a coupon rate of j2 = 2.38% p.a. and face value of 1000. This corporate bond matures at par. The maturity date is 1 January 2024. The yield rate is assumed to be j2 = 4.06% p.a. Assume that this corporate bond will not default in the first six-month period (i.e., from 1 July 2021 to 31 December 2021), this corporate bond has a 3.64% chance of default in the second six-month period (i.e., from 1 January 2022 to 30 June 2022) and this corporate bond has a 4.67% chance of default in any six-month period during the term of the bond except the first 12-month (i.e., 4.67% chance of default in any six-month from 1 July 2022 to 1 January 2024). Assume also that, if default occurs, Jane will receive no further payments at all. (a) What is the expected coupon payment on 1 July 2022? Round your answer to four decimal places. a. 11.4668 b. 10.9313 c. 11.0151 d. 11.3443

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