Question: Security Yield (%) Treasury Bill 4.1 AAA Corporate 4.3 BBB Corporate 5.2 B Corporate 6 The yields to maturity on a number of one-year, zero-coupon
| Security | Yield (%) |
|---|---|
| Treasury Bill | 4.1 |
| AAA Corporate | 4.3 |
| BBB Corporate | 5.2 |
| B Corporate | 6 |
The yields to maturity on a number of one-year, zero-coupon securities are shown in the table above. What is the price (expressed as a percentage of the face value) of a one-year, zero-coupon corporate bond with a B rating?
A.
95.88%
B.
96.06%
C.
94.33%
D.
100%
E.
95.06%
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