The current $1-$year yield on a treasury bill is $3\mathrm{.}25\%$ and the current $1-$year yield on a BB$-$rated

bond of equivalent risk to a prospective borrower is $9\mathrm{.}75\%.$ The loan has a marginal probability

of repayment in year $2$ of $95\mathrm{.}45\%.$

What is the marginal probability of default in year $1?$

$6\mathrm{.}25\%$

$6\mathrm{.}30\%$

$4\mathrm{.}55\%$

$6\mathrm{.}67\%$

$5\mathrm{.}92\%$