Bank of America sold a swap with $3$ more years to expiration to a hedge fund. The current no$-$default value of the swap is $$5\mathrm{.}8$ million. The expected loss in case of default and the probabilities of default are given below:

Year $123$

Expected value of swap to bank $($$ million$)-125$

Probability of bank defaulting $4\%4\%4\%$

Probability of hedge fund defaulting $7\%7\%7\%$

Assume that the swap is uncollateralized, there is no recovery in the case of default and there are no other open positions with the hedge fund. The appropriate discount rate is $1\%$ for all maturities.

Part $1$

What is the bank's CVA $($in $ million$)?$

Part $2$

What is the bank's DVA $($in $ million$)?$