1. Given the following information, find the present value of Expected Loss from default on the bond maturing in three years. Express your answer in basis points.

Year	U.S. Treasury yields	Risk-neutral probability of default	Loss Given Default
1	2%	0.50%	60%
2	2.50%	1%	60%
3	3%	1.50%	60%

	a.	1.54 bp
	b.	1.69 bp
	c.	169 bp
	d.	154 bp