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Yield to maturity (%) Term to maturity 01/02/2008 01/02/2009 03/27/2020 02/01/2021 0.5 year 3.32 0.28 0.02 0.08 1 year 3.17 0.40 0.11 0.08 2 years

Yield to maturity (%)

Term to maturity

01/02/2008

01/02/2009

03/27/2020

02/01/2021

0.5 year

3.32

0.28

0.02

0.08

1 year

3.17

0.40

0.11

0.08

2 years

2.88

0.88

0.25

0.11

3 years

2.89

1.14

0.30

0.17

5 years

3.28

1.72

0.41

0.42

7 years

3.54

2.07

0.60

0.76

10 years

3.91

2.46

0.72

1.09

20 years

4.39

3.22

1.09

1.66

30 years

4.35

2.83

1.29

1.84

  1. For each dates listed below, report the 1-year spot rate (0i1), the forward rate for year one to two (1r2), and the forward rate for year two to three (2r3).

Spot and forward rates

01/02/2008

01/02/2009

03/27/2020

02/01/2021

0i1

3.17%

0.40%

1r2

2.59%

1.36%

2r3

2.91%

1.66%

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