The following spot rates from the Treasury strip and corpora…

The following spot rates from the Treasury strip and corporate bond yield curves are given to you.   Spot 1 Year  Spot 2 Year Treasury strips 5.0 6.1 BBB-rated bonds 7.0 8.2   a) Calculate the marginal probability of default and repayment on the BBB-rated bond in year 1 (5) Repayment Probability = [P1] Default Probability = [D1]   b) Calculate the marginal probability of default and repayment on the BBB-rated bond in year 2  (10)  Repayment Probability = [P2] Default Probability = [D2]   c) Calculate the cumulative probability of default on the corporate bond over the next two years.  (5) [CP]