A bank plans to issue a principal-protected note that would consist of 5(1)/(2)-year zero-coupon bond and ATM call option with the same maturity on a stock index that is currently worth $1300. The bank would like to have at least 10% profit from the issuance. a) If during the maturity of the principal-protected note, the annual volatility of the stock index was 21%(calculated on the basis of continuously compounded returns), the average dividend yield paid to the stock index 4% p.a., and the risk-free interest rate 6% p.a., what would be the highest price participation rate1 that could be offered by the bank on the underlying index? Give Your answer with accuracy of percentages (i.e., XX %)