Today is 1 July 2020. Jay plans to purchase a corporate bond with a coupon rate of j2 = 3.3% p.a. and face value of 1000 today. This corporate bond matures at par. The maturity date is 1 January 2023. The yield rate is assumed to be j2 = 3.35% p.a. Assume that this corporate bond has a 3.45% chance of default in the first six- month period (i.e., from 1 July 2020 to 31 December 2020), a 4.1% chance of default in the second six-month period (i.e., from 1 January 2021 to 30 June 2021) and has a 3.53% chance of default in any six-month period during the rest of term of the bond (i.e., from 1 July 2021 to 1 January 2023). Further assume that, if default occurs, Jay will receive no further payments at all. a) Calculate the probability of this corporate bond being non-default on 1 July 2021. Select one: a. 96.470% b. 95.900% c. 92.591% d. 89.323% Today is 1 July 2020. Jay plans to purchase a corporate bond with a coupon rate of j2 = 3.3% p.a. and face value of 1000 today. This corporate bond matures at par. The maturity date is 1 January 2023. The yield rate is assumed to be j2 = 3.35% p.a. Assume that this corporate bond has a 3.45% chance of default in the first six- month period (i.e., from 1 July 2020 to 31 December 2020), a 4.1% chance of default in the second six-month period (i.e., from 1 January 2021 to 30 June 2021) and has a 3.53% chance of default in any six-month period during the rest of term of the bond (i.e., from 1 July 2021 to 1 January 2023). Further assume that, if default occurs, Jay will receive no further payments at all. a) Calculate the probability of this corporate bond being non-default on 1 July 2021. Select one: a. 96.470% b. 95.900% c. 92.591% d. 89.323%