Today is 1 July 2021. Jane is planning to purchase a corporate bond with a coupon rate of j2 = 2.61% 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 = 4.06% 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 3.53% 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 4.51% chance of default in any six-month period during the term of the bond except the first 12-month (i.e., 4.51% 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.

What is the expected coupon payment on 1 July 2023? Round your answer to four decimal places.

a. 11.4794 b. 10.5927 c. 12.0216 d. 11.3182