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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