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　　The spread on a one-year BBB-rated bond relative to the risk-free treasury of similar maturity is 1.4%. It is estimated that the contribution to this spread by all noncredit factors (e.g., liquidity risk, taxes) is 0.4%. Assuming the loss given default rate for the underlying credit is 40%, what is, approximately, the implied default probability for this bond?
　　A.     1.67%
　　B.     2.33%
　　C.     3.50%
　　D.     2.50%
　　Answer: D
　　The probability of default equals the credit risk spread divided by the loss given default. PD = spread/LGD. Here, the spread due to credit risk equals 1.4% - 0.4% or 1.0% and the loss given default is 40%. The probability of default is then 2.5%.