Reading 61: Swap Markets and Contracts-LOS j 习题精选 border, between, difference, div, class

土豆妮

Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 61: 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.

土豆妮

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.

土豆妮

A swap spread depends primarily on the:

A) general level of credit risk in the overall economy.

B) shape of the reference rate yield curve.

C) credit of the parties involved in the swap.

---

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

土豆妮

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

A) swap rate and the corresponding Treasury rate.

B) fixed rate and the floating rate in a given period.

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.