Hello everyone, excuse me if this is not the right place for the question. 
They ask me the following:
“Assuming the maturity of both issues is one year, the VA of the expected loss is:”

And I have the following data:

USGOV: Interest rate: 0.72%, exposure: 100, price: 99.29, recovery rate: 100%, probability of default: 0%.

USCREDIT: Interest rate: 1.21%, exposure: 100, price: 98.8, recovery rate: 35%, probability of default: ???

What is the present value of the expected loss? I’m going crazy.


a) 0.6580% 

b) 0.1275%

c. 0.1920%

d. 1.1898%