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periods years to maturity spot rate 1 0.5 5.0% 2 1 5.4% 3 1.5 5.8% 4 2 6.4% 5 2.5 7.0% 6 3 7.2% 7

periods years to maturity spot rate
1 0.5 5.0%
2 1 5.4%
3 1.5 5.8%
4 2 6.4%
5 2.5 7.0%
6 3 7.2%
7 3.5 7.4%
8 4 7.8%

Suppose that the market price of a 4-year 6% coupon non-Treasury issue is $91.4083

Determine whether the zero-volatility spread (Z-spread) relative to the Treasury spot rate

curve for this issue is 80 basis points, 90 basis points, or 100 basis points.

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