Consider a Brady bond issued by Mexico with 7 years left to maturity, paying a coupon of 11%. Only the par value is collateralized by American Treasury bonds. Assume that the U.S. spot rate is 4% for all maturities. The face value is $100 and the price of the bond is 95.

a) Calculate the present value of the collateral.

b) Write down the equation that determines the (stripped) yield-to-maturity of the bond.

c) Write down the equation that estimates Mexican governments default probability p every period.