Consider a two-year coupon bond. It has a face value of $1000 and a coupon rate of 6%. Assume that all investors believe that the first coupon will be paid but that there is only a 60% probability that the second coupon and the principal will be paid. There is a 40% chance that the investor will receive only $600 at the end of the second period. If the price of this bond is $765.035, what is the expected annual rate of return on the bond? What is the yield to maturity?