标题: Reading 63: Swap Markets and Contracts-LOS j 习题精选 [打印本页]
作者: 1215 时间: 2011-3-25 14:47 标题: [2011]Session 17-Reading 63: Swap Markets and Contracts-LOS j 习题精选
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.
作者: 1215 时间: 2011-3-25 14:58
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.
作者: 1215 时间: 2011-3-25 15:02
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.
作者: 1215 时间: 2011-3-25 15:02
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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