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A 6% annual coupon corporate bond with two years remaining to maturity is trading at a price of 100.125. The two year, 4% annual payment

A 6% annual coupon corporate bond with two years remaining to maturity is trading at a price of 100.125. The two year, 4% annual payment government benchmark bond is trading at a price of 100.75. The G-spread for the corporate bond is closest to:

a) 2.33%

b) 2.00%

c) 2.11%

d) 2.28%

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