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发表于 2011-3-25 14:47 | 只看该作者

Reading 63: Swap Markets and Contracts-LOS j 习题精选

2011, difference, between, border
Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 63: Swap Markets and Contracts

LOS j: Define swap spread and relate it to credit risk.

 

 

A swap spread is the difference between:

A)
 LIBOR and the fixed rate on the swap.
B)
 the fixed-rate and floating-rate payment rates at the inception of the swap.
C)
 the fixed rate on an interest rate swap and the rate on a Treasury bond of maturity equal to that of the swap.

 

A swap spread is the difference between the fixed rate on an interest rate swap and a Treasury bond of maturity equal to that of the swap.

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2#
发表于 2011-3-25 14:58 | 只看该作者

The swap spread will increase with:

A)
 the variability of interest rates.
B)
 an increase in the credit spread embedded in the reference.
C)
 a deterioration in one party’s credit.

The swap spread is the spread between the fixed-rate on a market-rate swap and the Treasury rate on a similar maturity note/bond. Since the fixed rate is calculated from the reference rate yield curve, it is increased as the credit spread embedded in the reference rate yield curve increases.

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3#
发表于 2011-3-25 15:02 | 只看该作者

A swap spread depends primarily on the:

A)
 shape of the reference rate yield curve.
B)
 credit of the parties involved in the swap.
C)
 general level of credit risk in the overall economy.

The swap spread depends primarily on the general level of credit risk in the overall economy.

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4#
发表于 2011-3-25 15:02 | 只看该作者

For an interest rate swap, the swap spread is the difference between the:

A)
 fixed rate and the floating rate in a given period.
B)
 swap rate and the corresponding Treasury rate.
C)
 average fixed rate and the average floating rate over the life of the contract.

The swap spread is the swap rate minus the corresponding Treasury rate.

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