An investor makes a 2-year loan of 1,000 at a continuously compounded interest rate of 6.5%. Assuming there will be no inflation during the 2-year term of the loan, what probability of default (with no recovery) would give the investor a 6% expected continuously compounded rate of return? A) 0.5% B) 0.7% C) 0.9% D) 1.0% E) 1.1%