An AAA-rated corporate bond has a face value of $1,000 and a credit spread of 4%. The bond has 10 years to maturity and pays coupons semi-annually at a rate of 6% per annum. If the current risk-free...

An AAA-rated corporate bond has a face value of $1,000 and a credit spread of 4%. The bond has 10 years to maturity and pays coupons semi-annually at a rate of 6% per annum. If the current risk-free treasury yield is 0.95% per annum, what is the value of the bond closest to?