Exhibit 19 &Nbsp; &Nbsp; &Nbsp; &Nbsp; &Nbsp; &Nbsp; &Nbsp; &Nbsp; &Nbsp; &Nbsp;

Exhibit 19.3
Use the Information Below for the Following Problem(S)
The following information is given concerning a pure yield pick-up swap: You currently hold a 20 year, Aa 8 percent coupon bond priced to yield 10 percent. As a swap candidate you are considering a 20 year, Aa 10 percent coupon bond priced to yield 10.75 percent. Assume a reinvestment rate of 12.00 percent, semiannual compounding, and a one-year workout period.
$\begin{array}{lcc} & \text { Curent Bond } & \text { Candidate Bond } \\\hline \text { Dollar Investment } & \$ 828.41 & \$ 938.83 \\\text { Coupon } & 80.00 & 100.00 \\\text { i on One Coupon } & 2.4 & ? \\\text { Principal Value at Year End } & 831.32 & ? \\\text { Total Accrued } & 913.72 & ? \\\text { Realized Compound Yield } & & ?\end{array}$
                                                                                10.5547
-Refer to Exhibit 19.3.The value of the swap is ____ basis points in one year.

A) 40.4
B) 60.6
C) 80.8
D) 20.5
E) 100.1

Correct Answer:

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