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Please keep two decimal points in your final results unless otherwise specified. 1. Table I shows the semi-annually compounded yield curve on September 15, 2021. Use the yield curve to price the following securities: (a) 3 -year coupon bond paying 6.5% quarterly 6) 32-year floating rate bond with zero spread and annual payments (assuming six months ago the annually compounded interest rate was 6.8%) (c) 67-year floating rate bond with 30 basis point spread with semiannual payments (assuming the semiannually compounded interest rate in the last quarter was 6.4%) Table I: Semi-annually Compounded Yield Curve on September 15, 2021 Yield Maturity 2.75 3.00 3.25 3.50 Maturity 0.25 0.50 0.75 1.00 1.25 1.50 1.75 2.00 2.25 2.50 3.75 6.33% 6.49% 6.62% 6.71% 6.79% 6.84% 6.87% 6.88% 6.89% 6.88% Yield 6.86% 6.83% 6.80% 6.76% 6.72% 6.67% 6.62% 6.57% 6.51% 6.45% Maturity 5.25 5.50 5.75 6.00 6.25 6.50 6.75 7.00 7.25 7.50 Yield 6.39% 6.31% 6.24% 6.15% 6.05% 5.94% 5.81% 5.67% 5.50% 5.31% 4.00 4.25 4.50 4.75 5.00 Yields calculated based on data from CRSP (Daily Treasuries). Please keep two decimal points in your final results unless otherwise specified. 1. Table I shows the semi-annually compounded yield curve on September 15, 2021. Use the yield curve to price the following securities: (a) 3 -year coupon bond paying 6.5% quarterly 6) 32-year floating rate bond with zero spread and annual payments (assuming six months ago the annually compounded interest rate was 6.8%) (c) 67-year floating rate bond with 30 basis point spread with semiannual payments (assuming the semiannually compounded interest rate in the last quarter was 6.4%) Table I: Semi-annually Compounded Yield Curve on September 15, 2021 Yield Maturity 2.75 3.00 3.25 3.50 Maturity 0.25 0.50 0.75 1.00 1.25 1.50 1.75 2.00 2.25 2.50 3.75 6.33% 6.49% 6.62% 6.71% 6.79% 6.84% 6.87% 6.88% 6.89% 6.88% Yield 6.86% 6.83% 6.80% 6.76% 6.72% 6.67% 6.62% 6.57% 6.51% 6.45% Maturity 5.25 5.50 5.75 6.00 6.25 6.50 6.75 7.00 7.25 7.50 Yield 6.39% 6.31% 6.24% 6.15% 6.05% 5.94% 5.81% 5.67% 5.50% 5.31% 4.00 4.25 4.50 4.75 5.00 Yields calculated based on data from CRSP (Daily Treasuries)

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