You are given the information of the flowing three Treasury securities. The price quoted are based on a par value of $1,000, and in case of a coupon bond, the coupon is paid semi-annually. All rates are quoted on an annual basis.

a) What are the prices of the 6-, 12- and 18-month bonds?

b) Use the information given, calculate the annualised 6-, 12- and 18-month spot rate.

Maturity (months) 6 12 18 Annualised coupon rate (%) 0.00 8.00 12.00 Yield to maturity (%) 7.00 8.00 9.00