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@Alta12, its nice that we are going together 🙂 I was reading this reading today only 🙂
To answer your question, it says that “If the manager invests the entire $500 million in 4.75 percent, 10-year notes at par and the YTM immediately changes, what will happen to the dollar safety margin?
” and yield dropped to 3.75
so it says when it invested FV=500, N=20 (since 10 years), I/Y=4.75/2 , PV=500, PMT=(4.75%/2)*500
so when yield dropped to 3.75 => N=20, I/Y=3.75/2, PMT=(4.75%/2)*500, FV=500, PV=? which comes to 541.376