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A firm has a value of $400 million with expected return of 14% per annum and volatility of 36% per annum. The firm's only debt is a short-term zero-coupon bond with face value of $300 million due in one year. The riskless rate is 4%. Which is nearest to the firm's (normal returns-based) distance to default when deriving the physical PD?
A
1.0
B
2.7
C
3.3
D
8.5