1. YIELD CURVE FOR ZERO-COUPON BONDS RATED AA

Maturity	YTM	Maturity	YTM	Maturity	YTM
1 year	8.00%	7 year	9.15%	13 year	10.45%
2 year	8.11%	8 year	9.25%	14 year	10.65%
3 year	8.20%	9 year	9.35%	15 year	10.75%
4 year	8.50%	10 year	9.47%	16 year	10.95%
5 year	8.75%	11 year	9.52%	17 year	11.00%
6 year	8.85%	12 year	9.77%	18 year	11.25%

Assume that there are no liquidity premiums.

To the nearest basis point, what is the expected interest rate on a four-year maturity, AA zero-coupon bond purchased six years from today?

(Show your calculation step by step, it matters and earns points for you.)

A) 10.41% B) 10.05% C) 9.16% D) 10.56% E) 9.96%