33 Valuing the Call Feature Consider the prices in the following three Treasury issues as of 24 February 2020:

6.500 16 May 106:10 106:12 −13 5.28 8.250 16 May 103:14 103:16 .-3 5.24 12.000 16 May 134:25 134:31 −15 5.32 The bond in the middle is callable in February 2021. What is the implied value of the call feature? (Hint: Is there a way to combine the two non-callable issues to create an issue that has the same coupon as the callable bond?)