Say you want to determine the PV of a corporate zero bond that has a beta of 0.25, and promises to deliver $200 next year. This bond pays off 95% of the time, and 5% of the time it totaliy defaults. Assume that the risk-free rate of return is 6% per annum, and the expected rate of return on the market is 10%. Therefore, the CAPM states that the expected rate of return on your bond must be Determine the default premium. at