Question #25
Reading: Reading 25 The Term Structure and Interest Rate Dynamics
PDF File: Reading 25 The Term Structure and Interest Rate Dynamics.pdf
Page: 10
Status: Correct
Correct Answer: B
Question
A swap spread is the difference between:
Answer Choices:
A. the fixed rate on an interest rate swap and the rate on a Treasury bond of maturity equal to that of the swap
B. the fixed-rate and floating-rate payment rates at the inception of the swap
C. MRR and the fixed rate on the swap
Explanation
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.