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What is the fundamental value of this corporate bond? N = 3, I/Y = 1.25%, PMT = $55, FV = $1,000 Probability of default on

What is the fundamental value of this corporate bond? N = 3, I/Y = 1.25%, PMT = $55, FV = $1,000 Probability of default on each cash flow is 2.5% You get $0 PMT if default occurs Use expected value and risk free rate (1.25%) to solve

The last trade price for the bond (observed price) was $1,027.50. What is the market implied credit spread? I am asking for the spread that would apply to the annualized rate NOT I/Y

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