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Assume that a 10-year BBB+ rated corporate bond has a 225 basis point spread over 10-year Treasury notes. Also assume that the expected recovery rate

Assume that a 10-year BBB+ rated corporate bond has a 225 basis point spread over 10-year Treasury notes. Also assume that the expected recovery rate for this BBB+ rated 10-year corporate bond is equal to 35%. What is the expected probability of default for this 10-year corporate bond during the next year?

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