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A 3-year 5% semi annual coupon bond is priced at 103. Based on the following treasury spot rates, what is the Z-spread? Term Spot Rate
A 3-year 5% semi annual coupon bond is priced at 103. Based on the following treasury spot rates, what is the Z-spread?
| Term | Spot Rate |
|---|---|
| 6 month | 2.020% |
| 12 month | 3.304% |
| 18 month | 3.577% |
| 24 month | 3.335% |
| 30 month | 1.230% |
| 36 month | 1.305% |
- 260bps
- 255bps
- 250bps
- 245bps
- 240bps
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Global Finance And The Macroeconomy
Authors: A. Makin
1st Edition
0333736982, 978-0333736982
