An analyst calculates the value of a corporate bond with an annual coupon rate of 3.25% and three years left to maturity. The analyst constructs the binomial interest rate tree as follows:

Year 0    Year 1     Year 2
---       ---        8.1823%
---       6.0139%    ---
3.0000%   ---        6.6991%
---       4.9238%    ---
---       ---        5.4848%

Year 0    Year 1     Year 2
---       ---        8.1823%
---       6.0139%    ---
3.0000%   ---        6.6991%
---       4.9238%    ---
---       ---        5.4848%

The discount factors for years 1, 2, and 3 are 0.9709, 0.9206, and 0.8623, respectively.

Assuming the recovery rate is 40% and the annual probability of default is 1.50%, the fair value of the bond is closest to: