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A company is promising a coupon payment of $47 in 2.68 years. A risk free government bond of the same maturity is yielding 1.3% per

A company is promising a coupon payment of $47 in 2.68 years. A risk free government bond of the same maturity is yielding 1.3% per year. The credit spread for the promised payment by the company is 1.55% per year. Both the yield and the spread are stated on a continuously compounded basis. What is the present value of the expected loss on the promised payment?

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