The benchmark interest rate is the Secured Overnight Financing Rate (SOFR) at 5% per year. A corporate bond with a nominal value of $1,000 pays an annual coupon of 8%. The bond spread is defined as the current yield over the benchmark rate. The current market value of the bond is $941. The yield of the bond depends on the general interest rate level. a) What is the current yield and the spread over SOFR of the bond? Consider the following interest rate scenarios: Interest Rate SOFR Scenario Higher Unchanged Lower 7% 5% 4% Probability 0.3 0.5 0.2 b) Assuming the bond spread remains constant, calculate the expected yield and the expected market value of the bond.