The yield curve is flat at 12%. An insurance company has an obligation to pay out $25,000 at the end of years two, four and six. It wishes to form an immunized portfolio from 3- and 8-year zero-coupon bonds. The portfolio weight (by value) in the 3-year zero should be:

A.

86%

B.

88%

C.

92%

D.

80%

E.

96%