A Corporate Bond Offers a 5% Coupon Rate and Has

Multiple Choice

A corporate bond offers a 5% coupon rate and has exactly 3 years remaining to maturity. Interest is paid annually. The following rates are from the benchmark spot curve: $\begin{array} { l c } \text { Time-to-Maturity } & \text { Spot Rate } \\\hline 1 \text { year } & 4.86 \% \\2 \text { years } & 4.95 \% \\3 \text { years } & 5.65 \% \\\hline\end{array}$ The bond is currently trading at a Z-spread of 234 basis points. The value of the bond is
closest to:

A) 92.38.
B) 98.35.
C) 106.56.