Us treasury benchmarks

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Reference no: EM133061036

Problem 1:

Following are U.S. Treasury benchmarks available on October 23, 2020:

US/T 1.125 7/31/2021

0.142

US/T 2.125 5/15/2025

0.336

US/T 4.5 2/15/2036

1.083

US/T 3.75 8/15/2041

1.376

US/T 2.875 11/15/2046

1.569

On the same day, the following trades were executed:

Issuer

Issue

Yield (%)

GE CAP FDG LLC

WMB 3.45 5/15/2025

1.785

TIME WARNER CABLE INC

CHTR 5.5 9/1/2041

3.961

GOLDMAN SACHS GROUP INC

GS.AOK 5.25 7/27/2021

0.307

Based on the above, complete the following table:

Issue

Yield (%)

Treasury Benchmark

Benchmark Spread (bps)

Relative Yield Spread

Yield Ratio

WMB 3.45 5/15/2025

1.785

 

 

 

 

CHTR 5.5 9/1/2041

3.961

 

 

 

 

GS.AOK 5.25 7/27/2021

0.307

 

 

 

 

Reference no: EM133061036

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