A 100 par value bond maturing in 5 years and 2 months pays a 6% coupon and is priced at 99. A call option on the bond expiring in 2 months has a strike price of 100 and a premium of $2.25. At what yield to maturity of the bond is the call option at breakeven (no profit or loss)?

A 100 par value bond maturing in 5 years and 2 months pays a 6% coupon and is priced at 99. A call option on the bond expiring in 2 months has a strike price of 100 and a premium of $2.25. At what yield to maturity of the bond is the call option at breakeven (no profit or loss)?