You are considering an Intermarket Spread Swap involving the following two

bonds:

YTM

BondPriceFaceMaturityCouponActualNormal

APa =$1,000$1,00025yrs.12%12%12.2%

BPb = $ 758.29$1,00015yrs.8%11.4%11%

The selling price of bond B, after one year, is P₁= 788.1787. You expect the spread to widen to its Normal level of 120 Basis Points as shown above. Perform an analysis of the spreadassuming buying bond B and selling bond Aand the workout period is one year. Specify the sources of all gains or losses.Interest payments are semi-annual.

TheNormaland theActual Spreads, respectively,for the above bonds A and B,in Basis Points, are?

The final realized spread (SP_f), in Basis Points, is?

The realized Basis Points Gain from bond b alone is?