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An annual coupon bond has 2 years remaining to maturity. The bond has a face value of $100 and a payment per year of $8.
An annual coupon bond has 2 years remaining to maturity. The bond has a face value of $100 and a payment per year of $8. One-year, two-year, and three-year benchmark spot rates are 4.86%, 4.95%, and 5.65%. The bond is currently trading at a z-spread of 75 bps. What is the value of the bond?
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