Barclays Bank bought swap with 3 years to expiration from a hedge fund. The expected value of the swap and the probabilities of default are given below: Year Expected value of swap to bank ($ million) Probability of bank defaulting Probability of hedge fund defaulting 1 2 3 10 13 13 2% 2% 2% 8% 8% 8% 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 3% for all maturities. Part 1 What is the bank's CVA (in $ million)? 2+ decimals Submit Attempt 1/4 for 10 pts. ? Part 2 What is the bank's DVA (in $ million)? Attempt 1/4 for 10 pts.