Following are U.S. Treasury benchmarks available on December 31, 2007: US/T 3.125 11/30/2009 3.133 US/T 3.375 11/30/2012

Question:

Following are U.S. Treasury benchmarks available on December 31, 2007:

US/T 3.125 11/30/2009 3.133

US/T 3.375 11/30/2012 3.507

US/T 4.25 11/15/2017 4.096

US/T 4.75 02/15/2037 4.518

On the same day, the following trades were executed:

Issuer	Issue	Yield (%)
Time Warner Cable Inc.	TWC 6.55 05/01/2037	6.373
McCormick & Co. Inc.	MKC 5.75 12/15/2017	5.685
Goldman Sachs Group Inc.	GS 5.45 11/01/2012	4.773

Based on the above, complete the following table:

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:26 AM

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Following are U.S. Treasury benchmarks available on December 31, 2007: US/T 3.125 11/30/2009 3.133 US/T 3.375 11/30/2012

Question:

Yiéd Treasury Benchmark Relative Yield Spread Issue Benchmark (96) TWC 6.55 05/01/2037 6.373 MKC 5.75 12/15/2017 5.685 GS 5.45 11/01/2012 4.773 Spread (bps)

Step by Step Answer:

To finish the above table we first put in the Treasury benchmarks as given in the problem For 050120...View the full answer

Bond Markets Analysis and Strategies

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