Consider a two-year zero-coupon corporate bond with a face value of $1,000. Assume that the bond payoffs are uncertain and cashflows are paid annually.

There is a 40% chance that the bond will repay its face value in full and a 60% chance that the bond will default. In the case of a default, you will receive 20% of the face value. If the bond is currently trading at $510, what is the annual yield to maturity of this bond?

Group of answer choices

93.27%

0.98%

40.03%

1.96%

96.08%