Exhibit 19 -Refer to Exhibit 19

question 71

Multiple Choice

Exhibit 19.5
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 2 percent coupon bond priced to yield 9.5 percent. As a swap candidate you are considering a 20 year, Aa 14 percent coupon bond priced to yield 10.00. Assume a reinvestment rate of 11 percent, semiannual compounding, and a one-year workout period.
$$\begin{array} { l c c } & \text { Wurrent Bond } & \text { Candidente Eand } \\\hline \text { Dollar Investrent } & \$ 1222 . [ 4 & 1343.18 \\\text { Caupan } & 110.00 & 140.00 \\\text { i an One Coupan } & 3.3 & ? \\\text { Principal Value at Year End } & 1218.04 & ? \\\text { Total Accrued } & 1341.34 & ? \\\text { Realized Campund Yield } 9.5351 \% & ? &\end{array}$$
-Refer to Exhibit 19.5.The value of the swap is ____ basis points in one year.

• A) 0.004921
• B) 0.4921
• C) 4.921
• D) 49.21
• E) 492.1

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