Use the Merton (1974) model to solve the approximate probability of default for a corporate debt issuer that has: current assets value = $14M, outstanding debt at maturity = $19M, there are 6 more months until debt maturity, risk free interest rate = 5.75%, assets volatility (standard deviation) = 30% per annum.

A. 99%

B. 11%

C. 78%

D. 92%

E. 34%

You assume the following information regarding the risk free interest rates and a debt-issuing (with a face value of $1,000) corporate respective interest rates:

Years	Risk Free Interest Rate	Corporate Interest Rate
1	4%	4.5%
2	4%	5.0%
3	4%	5.5%
4	4%	6.0%
5	4%	6.5%

You also assume that the recovery rate throughout the entire time frame of 5 years is 35%, what is the value of a corporate bond with 5 years to maturity?

A. $356.20

B. $826.20

C. $756.20

D. $566.20

E. $716.20