A bond with exactly 2 years until maturity has a coupon rate of 6% and makes coupon payments annually. The benchmark spot rate curve is given by:

Maturity Spot Rate 1 year 8.50%

2 years 9.25%

If the appropriate Z-spread is 25 bps, the value of the bond per 100 of par is closest to:

A) 94.34.

B)93.92.

C)111.46.