FINANCIAL MODELS
Homework 9, due Thursday Dec. 6th
Use of Excel spreadsheet or MATHLAB is recommended.

CDS levels compared to Asset Swap Spreads

Following are 5 Year and 10 year CDS prices for three companies 

					   CDS

				5Yr			10Yr
Merck (MRK)		14/17			22/27

Olin (OLN)			110/115			135/145

General Motors (GM)	645/660			660/680

Following are bonds of the same companies with maturities nearest to the 5 and 10 years.

			Maturity		Coupon	Price
MRK			11/15/2011		5.125		104.438
			3/01/2015		4.75		99.90

OLN			12/15/2011		9.125		109.50
			6/15/2016		6.75		102.218

GM			1/15/2011		7.20		93.50
			4/15/2016		7.7		83.77

The swap rates are as follows.

 1 Yr	4.43
2 Yr	3.85
3 Yr	3.87
4 Yr	3.97
5 Yr	4.08
7 Yr	4.3
10 Yr	4.54

Using the above data, calculate the asset price spreads and compare them with mid-CDS spreads.