Assume that the expectations theory holds and that liquidity and maturity risk premiums are zero. If the annual rate of interest on a 2-year Treasury bond is 10.5 percent and the rate on a 1-year Treasury bond is 12 percent, what rate of interest should you expect on a 1-year Treasury bond one year from now? Please show work/calculations.

A 9.5%

B 11.00%

C 9.0%

D 10.0%

E 10.5%