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Basic Question 6 of 12

The swap spread provides an indication of investors' required return for:

I. interest rate risk.
II. credit risk.
III. liquidity risk.
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User Contributed Comments 1

User Comment
CFAJ why liquidity risk?
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You have a wonderful website and definitely should take some credit for your members' outstanding grades.
Colin Sampaleanu

Colin Sampaleanu

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.