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Using the following information and assuming coupons are paid annually, the G-spread of the Steel Co. bond is closest to:
| Bond | Maturity | Coupon | Price |
|---|---|---|---|
| Steel Co. | 2 Years | 5.00% | 101.70 |
| Treasury bond | 2 Years | 4.00% | 100.50 |
A
36 bps
B
94 bps
C
100 bps