A financial institution has purchased a $100 million cap of 9% at a premium of 0.55% of face value. A $100 million floor of 4% is also available at a premium of 0.58% of face value. What amount of floor should this institution sell to have a zero-cost collar?

_____

A) $94.83 million

B) $99.97 million

C) $105.45 million

D) Undetermined

Hint: A collar involves adding a long put and short call to a portfolio consisted of an asset