Credit risk measures using credit spreads. Consider the following time series observations of the annual yields on risk-free and risky bonds. Compute the expected percentage loss per year for the risky bonds implied by these yields. (See Example 7 in Chapter 6 for guidance on how to solve this problem.)

U.S. Treasury 10-year notes------------------------------- Gigantic Corp 10-year MTN

2.102 -------------------------------------------------------------------3.224

2.107 --------------------------------------------------------------------3.230

2.111 --------------------------------------------------------------------3.235

2.111 --------------------------------------------------------------------3.236

2.113 --------------------------------------------------------------------3.239