Question
Following are U.S. Treasury benchmarks and their clean prices on September 4, 2020: Notes/ Bonds CUSIP Maturity Date Coupon Rate Price (decimals) 2-Year 91282CAG6 08/31/2022
Following are U.S. Treasury benchmarks and their clean prices on September 4, 2020:
Notes/ Bonds | CUSIP | Maturity Date | Coupon Rate | Price (decimals) |
2-Year | 91282CAG6 | 08/31/2022 | 0.125% | $99.9609 |
3-Year | 91282CAF8 | 08/15/2023 | 0.125% | $99.8516 |
5-Year | 91282CAJ0 | 08/31/2025 | 0.250% | $99.7539 |
7-Year | 91282CAH4 | 08/31/2027 | 0.500% | $99.9766 |
10-Year | 91282CAE1 | 08/15/2030 | 0.625% | $99.1016 |
20-Year | 912810SQ2 | 08/15/2040 | 1.125% | $97.6640 |
30-Year | 912810SP4 | 08/15/2050 | 1.375% | $97.6328 |
On the same day, the following trades were executed:
Issuer | Issue | Price (decimals) |
Time Warner Inc. | TWX 6.5 11/15/2036 | 124.3545 |
McCormick & Co. Inc. | MKC 4.2 8/15/2047 | 126.8055 |
Goldman Sachs Group Inc. | GS 3.25 4/01/2025 | 110.883 |
IBM Corp | IBM 7 10/30/2045 | 156.545 |
GE Capital International Funding | GE 4.418 11/15/2035 | 102.9675 |
Based on the above, assuming that all bonds pay semiannually and that yields are annual yields, complete the following table:
Issue | Yield (%) | Treasury Benchmark | Benchmark Yield (basis-points) | Spread to Benchmark (basis-points) | Yield Ratio |
TWX 6.5 11/15/2036 | |||||
MKC 4.2 8/15/2047 | |||||
GS 3.25 4/01/2025 | |||||
IBM 7 10/30/2045 | |||||
GE 4.418 11/15/2035 |
Please Show Work.
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