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Basic Question 7 of 12
If the fixed-rate of a five-year fixed-for-float LIBOR swap is 2.5%, and the five-year Treasury is yielding 2.0%, the swap spread is:
B. 50 bps
C. 75 bps
A. 25 bps
B. 50 bps
C. 75 bps
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Learning Outcome Statements
explain the swap rate curve and why and how market participants use it in valuation;
calculate and interpret the swap spread for a given maturity;
describe short-term interest rate spreads used to gauge economy-wide credit risk and liquidity risk;
CFA® 2025 Level II Curriculum, Volume 4, Module 26.