Credit risk measures using credit spreads. Consider the following time series observations of the annual yields on risk-free and risky bonds. (Select the answer that most closely matches the results of your calculations.) U.S. Treasury 10-year notes Spectacular Corp 10-year MTN 2.102 3.224 2.107 3.230 2.111 3.235 2.111 3.236 2.113 3.239

What is the expected percentage loss per year for the risky bonds implied by these yields.

A.

1.107

B.

1.124

C.

1.456