Consider a coupon bond with two years left to maturity. It has a face value of $1000 and a coupon rate of 6%. Assume that all investors believe that the first coupon, to be received one year from today, will be paid but that there is only a 60% probability that the second coupon and the principal will be paid two years from today. There is a 40% chance that the investor will receive only $700 at the end of the second period. If the price of this bond is $811.57, what is the expected annual rate of return on the bond? What is the yield to maturity?