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LOS j: Define swap spread and relate it to credit risk.
Q1. 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.
Q2. The swap spread will increase with:
A) an increase in the credit spread embedded in the reference.
B) the variability of interest rates.
C) a deterioration in one party’s credit.
Q3. A swap spread depends primarily on the:
A) shape of the reference rate yield curve.
B) general level of credit risk in the overall economy.
C) credit of the parties involved in the swap.
Q4. 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. | 
发表于 2009-4-2 09:58
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