An investor bought a 3-year zero-coupon bond in Year 0, when the 1-year zero rate was 4.1% pa, the 2-year zero rate was 5.2% pa and the 3-year zero rate was 5.7% pa. The investor sold the bond two years later. Zero-rate curves for various dates are shown in the table below.

Term (years) Year 0 Year 1 Year 2 Year 3 1 4.1% 7.2% 10.0% 10.4% 2 5.2% 8.2% 10.1% 10.4% 3 5.7% 8.8% 10.2% 10.4%