An active portfolio manager observes the following market information related to an outstanding corporate bond and two
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An active portfolio manager observes the following market information related to an outstanding corporate bond and two on-the-run government bonds that pay annual coupons:
The portfolio manager also observes 10-year and 20-year swap spreads of 0.20% and 0.25%, respectively.
Calculate the G-spread of the corporate bond.
A. 0.860%
B. 0.725%
C. 0.950%
Transcribed Image Text:
Term Coupon Corporate 12y 3.00% Government 10y 1.75% Government 20y 2.25% Issuer Yield 2.80% 1.85% 2.30% ModDur 9.99 9.09 15.94
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