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Suppose that the LIBOR/swap curve is flat at 4% with continuous compounding and a 3-year bond $100 par value with a coupon of 3% payable

Suppose that the LIBOR/swap curve is flat at 4% with continuous compounding and a 3-year bond $100 par value with a coupon of 3% payable semi-annually sells for $95. How much would the bond be worth if it were risk-free? What is the present value of the expected loss from defaults? How would an asset swap on the bond be structured? And how much is the asset swap spread?

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