Jefferson Blake, CFA, believes there is a good opportunity to purchase an option-free 4% annual pay bond with three years left until maturity, a zero-volatility spread of 40 basis points, and a par value of $1,000. Blake observes that 1-year, 2-year, and 3-year government bond spot rates are currently 4.0%, 4.5%, and 4.75%, respectively. The maximum price Blake should be willing to pay for the bond is closest to A) $940. B) $970. C) $980