6. (15 pts) The following credit valuation adjustment table is based on a 3-year, 6% annual payment bond with an annual probability of default 2% and a recovery rate of 38%. If the government yield curve is flat at 2%, a) Fill in the missing table entries (and show your work for partial credit). Date Expected Loss Disc Factor PV of Expected Loss 1.4359 Exposure Recovery LGD POD POS 0 1 113.7662 39.8182 73.9481 2.0000% 98.0000% 2 109.9216 71.4490 1.9600% 96.0400% 3 106.0000 37.1000 68.9000 94.1192% 5.8808% 1.4004 1.3234 0.9709 0.9426 0.9151 CVA: 1.2111 b) Use the CVA in part a) to compute the bond's fair value and associated credit spread. 6. (15 pts) The following credit valuation adjustment table is based on a 3-year, 6% annual payment bond with an annual probability of default 2% and a recovery rate of 38%. If the government yield curve is flat at 2%, a) Fill in the missing table entries (and show your work for partial credit). Date Expected Loss Disc Factor PV of Expected Loss 1.4359 Exposure Recovery LGD POD POS 0 1 113.7662 39.8182 73.9481 2.0000% 98.0000% 2 109.9216 71.4490 1.9600% 96.0400% 3 106.0000 37.1000 68.9000 94.1192% 5.8808% 1.4004 1.3234 0.9709 0.9426 0.9151 CVA: 1.2111 b) Use the CVA in part a) to compute the bond's fair value and associated credit spread