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An investor, Jack, holds a two-year fixed-rate bond of $100 million from a company and the bonds rating is B. The bond coupon rate is

An investor, Jack, holds a two-year fixed-rate bond of $100 million from a company and the bonds rating is B. The bond coupon rate is 6%. The following table 1 represents the credit matrix, which shows the historical credit risk migration in one year. Table 2 shows the different interest rates of three types of the bond. Also, loss given default rate is 60%. Based on the information of the bond, answer questions.

image text in transcribedimage text in transcribed Table 1 \begin{tabular}{|l|l|l|l|l|} \hline & A & B & C & Default \\ \hline B & 2% & 97% & 0.8% & 0.2% \\ \hline \end{tabular} Table 2 \begin{tabular}{|l|l|} \hline & \begin{tabular}{l} Interest Rate \\ Table \end{tabular} \\ \hline \end{tabular} 1) Jack wants to estimate the expected price of the bond next year. Now, Jack wants yo to help him finish the calculation in different scenarios and get the estimated price of th bond next year. Table 3 can be used to estimate the expected price next year (Roun Numbers to Three Decimal Places)

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