A $1,000 par value, seminnual coupon bond with exactly two years to maturity and a coupon rate of 10 percent is selling for 976.45. Given the current U.S. Treasury spot rates given below and ignoring accured interest and transactions costs, the zero-volatility spread (static spread) for this bond is closet to:
Maturity Spot Rate (%)
Six months 6.00
Twelve months 7.50
Eighteen months 9.00
Twenty-four monts 10.00
