The following information relates to Questions 16-29

-A two-year fixed-for-floating libor swap is 1.00% and the two-year uS Treasury bond is yielding 0.63%. The swap spread is closest to:
A) 37 bps.
B) 100 bps.
C) 163 bps.

Question

The following information relates to Questions 16-29
 
-A two-year fixed-for-floating libor swap is 1.00% and the two-year uS Treasury bond is yielding 0.63%. The swap spread is closest to:
A) 37 bps. 
B) 100 bps. 
C) 163 bps.

Quizplus · Accepted Answer

The swap spread is calculated as the difference between the fixed rate on a swap and the yield on a comparable maturity US Treasury bond. In this case, the swap spread is 1.00% - 0.63% = 37 bps. So the correct choice is A).

The Following Information Relates to Questions 16-29