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Consider the following contractual payments by a corporate bond: Face Value $ 1,000.00 Coupon r 12% Maturity 6 The current yield to maturity is 36%

Consider the following contractual payments by a corporate bond:

Face Value $ 1,000.00
Coupon r 12%
Maturity 6

The current yield to maturity is 36% and expected yield is 28.67%. What default probability on the par value is this consistent with?

Answer choices:

55%
60%
40%
45%

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