Suppose the Ajax company with a Moodys credit rating of C plans to issue a new 15-year zero-coupon bond with a face value of $100. The yield to maturity of other bonds with the same credit rating and same maturity is 6.19021%. Assume that Ajaxs bond will have the same yield to maturity. The yield on Australian-government zero-coupon debt with 15 years to maturity is 2.2%. The expected return on the market is 9%.

Ajax has a 71% chance of defaulting on the bond. If Ajax defaults on the bond, bond holders only recover $85 for every $100 of face value.

What is the beta of this bond, assuming the CAPM is the correct asset pricing model? Please choose the option that is closest to the correct answer.

a) 0.910.91

b) 0.470.47

c) 0.000.00

d) 0.590.59

e) There is insufficient information to answer this question.