Question
The following table shows data for 10 hypothetical treasury securities . All securities except the 6- month and the 1-year are at par (i.e. $100).
The following table shows data for 10 hypothetical treasury securities . All securities except the 6- month and the 1-year are at par (i.e. $100). The 6-month and the 1-year are TBills.
What are the nominal spread and the z-spread of the following nontreasury issue: 6% coupon rate, semi-annual coupons, price of $98, par value of $100, and maturity of 5 years?
| Period | Years | BEY (%) |
| 1 | 0.5 | 5.30% |
| 2 | 1 | 5.40% |
| 3 | 1.5 | 5.50% |
| 4 | 2 | 5.55% |
| 5 | 2.5 | 5.60% |
| 6 | 3 | 5.65% |
| 7 | 3.5 | 5.70% |
| 8 | 4 | 5.80% |
| 9 | 4.5 | 5.90% |
| 10 | 5 | 6.00% |
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Authors: Lucy King
1st Edition
1906254311, 978-1906254315
