Grummon Corporation has issued zero-coupon corporate bonds with a five-year maturity (assume

$100

face value bond). Investors believe there is a

40%

chance that Grummon will default on these bonds. If Grummon does default, investors expect to receive only

35

cents per dollar they are owed. If investors require a

6%

expected return on their investment in these bonds, what will be the price and yield to maturity on these bonds?

Note:

Assume annual compounding.