Treasury constant maturities Spot Rate Today 1-year 1.54% 2-year 1.61% 3-year 1.61% 4-year 1.63% 5-year 1.65% 7-year 1.75% The bonds, each with a $1,000 par value and annual convention, are described as following: Bond Current Price Maturity (yrs) Bond 1 Bond 2 Bond 3 Annual Coupon 0 % 11.625% 5 .5% $882.50 $1403.39 $1107.59 5 5 (II) Perform RCY analysis on the 3 bonds (40 Points) (Hint: Make use of spot rates to calculate the corresponding forward rates for coupon reinvestment calculation) 21 Year 1 Year 2 Year 3 Year 4 Year 5 (Hint: You also need forward rates for future Bond price) Bond Price Year 1 Year 2 Y ear 3 Year 4 Year 5