Evaluate the following pure-yield pickup swap: You currently hold a 20-year, AA-rated, 9.0 percent coupon bond priced to yield 11.0 percent. As a swap candidate, you are considering a 20-year, AA-rated, 11 percent coupon bond priced to yield 11.5 percent. (Assume reinvestment at 11.5 percent.)

Current Bond Candidate Bond Dollar investment S 840.73 S 961.45 Coupon S 90.00 S 110.00 on one coupon S 10.35 S 12.65 Pricipal Value at year e $ 843.21 962.02 Total accrues S 943.56 1,084.67 Realized compound yield Value of Swap: basis points in one year