The following table summarizes the prices of various default-free zero-coupon bonds (expressed as a percentage of face value):

The ERR at maturity of the two-year zero-coupon bond is approximately equal to:

Options:

a) 6.0%

b) 5.6%

c) 5.8%

d) 5.5%

1 2 3 4 5 Maturity (years) Price (per $100 face value) 94.52 89.68 85.40 81.65 78.35