Energy firm Royal Dutch Shell owns a subsidiary Groene Stroom B.V. that specializes in large solar panel fields. Exactly one year ago, both the parent Royal Dutch Shell and the subsidiary Groene Stroom issued bonds with 10,000EUR principal and 5 years to maturity. The Royal Dutch bond has pays annual coupons at an annual rate of 2%, while the Groene Stroom bond pays annual coupons at an annual rate of 3.5%. Both bonds have cross-default provisions, so if one defaults the other does too. Therefore investors demand the same annual yield for holding each bond, which is 115 basis points above the corresponding rate for Dutch government bonds. For simplicity, assume that default risk only affects each bond's price through the discount rate and rather than impacting cashflows.

Currently, yields on Dutch government bonds are -0.4% for a 1-year bond, -0.08% for a 2-year bond, 0.68% for a 3-year bond, 2.1% for a 4-year bond, and 3.7% for a 5-year bond.

Use a theoretical model to calculate the price difference between the two bonds.