three seven

The price of a zero-coupon Treasury security (Treasury bill) with 3 months to maturity is $98.75 for a $100 face value. Consider the following statements on the different returns from the Treasury bill. Statement I. The total risk-free rate of return over the horizon period is less than 1.2500%. Statement II. The effective annual rate of return is 5.0945%. Statement III. The annual percentage rate of return is 5.0632%. Which of the following is correct? a. Statement II is correct, Statements I and III are incorrect. b. Statements I, II and III are correct. c. Statement III is correct, Statements I and II are incorrect. d. Statements I, II and III are incorrect. e. Statement I is correct, Statements II and III are incorrect