Suppose the real risk-free rate is 3.00%, the average expected future inflation rate is 4.90%, and a maturity risk premium of 0.10% per year to maturity applies, i.e., MRP = 0.10%(t), where t is the number of years to maturity. What rate of return would you expect on a 1-year Treasury security, assuming the pure expectations theory is NOT valid? Disregard cross-product terms, i.e., if averaging is required, use the arithmetic average.

A. 6.56%

B. 9.04%

C. 6.00%

D. 8.72%

E. 8.00%