Today is 1 July 2021. Jane is planning to purchase a corporate bond with a coupon rate of j₂ = 2.13% p.a. and face value of 1000. This corporate bond matures at par. The maturity date is 1 January 2024. The yield rate is assumed to be j₂ = 4.04% p.a. Assume that

• this corporate bond will not default in the first six-month period (i.e., from 1 July 2021 to 31 December 2021),
• this corporate bond has a 3.84% chance of default in the second six-month period (i.e., from 1 January 2022 to 30 June 2022) and
• this corporate bond has a 4.85% chance of default in any six-month period during the term of the bond except the first 12-month (i.e., 4.85% chance of default in any six-month from 1 July 2022 to 1 January 2024). Assume also that, if default occurs, Jane will receive no further payments at all.

(a) What is the expected coupon payment on 1 July 2022? Round your answer to four decimal places.

a. 10.1335

b. 9.7443

c. 9.8395

d. 10.2410