You are a risk manager working for an investment bank and your company has decided to invest in forwards of BBB rated corporate bonds of Slightly More Suspicions Services Ltd (SMSS Ltd).

The trade on the table is 1000 1-year forwards for 5 year bonds at a face value of 1,000.00, and 5% yearly coupon.

Calculate the value of the 1-year forward and calculate 99.9% Credit VaR.

The recovery value is 501.12.

Table 1 - Credit Transition Matrix Table 2 - Yield Curves Table 3-Cash Flows. The recovery value is \\( 501.12 \\)