CVA formula proof

I'm struggling to prove the CVA formula in this paper.

Equation (3) is the result of computing the expectation of formula (1). Could you please show me how to prove that?

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The link provided doesn't seem to work (at least from mobile safari) ? – Chinny84 Aug 19 '14 at 12:04
Indeed the paper is not accessible. It may help if you can post here the paragraph that you puzzled. – Gordon Aug 19 '14 at 14:31